This course introduces the theory of compound Poisson processes, with a particular emphasis on their application to insurance portfolios (though their applicability in other areas is also noted)
Topics include: Modelling loss distributions; Skewed parametric distribution families; Method of moments, method of percentiles and maximum likelihood estimation; Pearson goodness-of-fit testing for distribution assessment; Truncated and censored data, including applications to reinsurance and policy excess schemes; Random sums, convolutions and compound distributions, particularly for modeling aggregate claim distributions; Normal and gamma approximations to compound distributions; Compound Poisson process theory, including applications to insurance portfolio surplus processes; Ultimate and finite-time ruin probabilities; Adjustment coefficients and optimal reinsurance contracts.
Learning Outcomes
Upon successful completion, students will have the knowledge and skills to:
- Perform estimation using skewed distributions with and without the presence of censoring and truncation;
- Aggregate random quantities through compound distribution theory; and,
- Use Compound Poisson process theory including approximation of boundary crossing probabilities as applied to calculating risk for insurance portfolios.
Other Information
Indicative Assessment
- Typical assessment may include, but is not restricted to: exams, assignments, quizzes, presentations and other assessment as appropriate. (100) [LO 1,2,3]
The ANU uses Turnitin to enhance student citation and referencing techniques, and to assess assignment submissions as a component of the University's approach to managing Academic Integrity. While the use of Turnitin is not mandatory, the ANU highly recommends Turnitin is used by both teaching staff and students. For additional information regarding Turnitin please visit the ANU Online website.
Workload
Students are expected to commit 130 hours of work in completing this course. This includes time spent in scheduled classes and self-directed study time.
Inherent Requirements
Not applicable
Requisite and Incompatibility
Prescribed Texts
Information about the prescribed textbook will be available via the Class Summary.
Fees
Tuition fees are for the academic year indicated at the top of the page.
Commonwealth Support (CSP) Students
If you have been offered a Commonwealth supported place, your fees are set by the Australian Government for each course. At ANU 1 EFTSL is 48 units (normally 8 x 6-unit courses). More information about your student contribution amount for each course at Fees.
- Student Contribution Band:
- 1
- Unit value:
- 6 units
If you are a domestic graduate coursework student with a Domestic Tuition Fee (DTF) place or international student you will be required to pay course tuition fees (see below). Course tuition fees are indexed annually. Further information for domestic and international students about tuition and other fees can be found at Fees.
Where there is a unit range displayed for this course, not all unit options below may be available.
| Units | EFTSL |
|---|---|
| 6.00 | 0.12500 |
Course fees
- Domestic fee paying students
| Year | Fee |
|---|---|
| 2021 | $4110 |
- International fee paying students
| Year | Fee |
|---|---|
| 2021 | $5880 |
Offerings, Dates and Class Summary Links
ANU utilises MyTimetable to enable students to view the timetable for their enrolled courses, browse, then self-allocate to small teaching activities / tutorials so they can better plan their time. Find out more on the Timetable webpage.
