• Offered by Rsch Sch of Finance, Actuarial Studies & App Stats
  • ANU College ANU College of Business and Economics
  • Course subject Statistics
  • Areas of interest Actuarial Studies, Statistics

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:

  1. Perform estimation using skewed distributions with and without the presence of censoring and truncation;
  2. Aggregate random quantities through compound distribution theory; and,
  3. Use Compound Poisson process theory including approximation of boundary crossing probabilities as applied to calculating risk for insurance portfolios.

Other Information

Indicative Assessment

  1. Typical assessment may include, but is not restricted to: exams, assignments, quizzes, presentations and other assessment as appropriate. (100) [LO 1,2,3]

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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

To enrol in this course you must have completed STAT2005. Incompatible with STAT3057 and STAT3058.

Prescribed Texts

Information about the prescribed textbook will be available via the Class Summary.

Majors

Fees

Tuition fees are for the academic year indicated at the top of the page.  

If you are a domestic graduate coursework or international student you will be required to pay tuition fees. Tuition fees are indexed annually. Further information for domestic and international students about tuition and other fees can be found at Fees.

Student Contribution Band:
2
Unit value:
6 units

If you are an undergraduate student and 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). You can find your student contribution amount for each course 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
Domestic fee paying students
Year Fee
2020 $4050
International fee paying students
Year Fee
2020 $5760
Note: Please note that fee information is for current year only.

Offerings, Dates and Class Summary Links

The list of offerings for future years is indicative only.
Class summaries, if available, can be accessed by clicking on the View link for the relevant class number.

First Semester

Class number Class start date Last day to enrol Census date Class end date Mode Of Delivery Class Summary
2335 24 Feb 2020 02 Mar 2020 31 Mar 2020 29 May 2020 In Person N/A

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