• Offered by Rsch Sch of Finance, Actuarial Studies & App Stats
  • ANU College ANU College of Business and Economics
  • Classification Advanced
  • Course subject Statistics
  • Areas of interest Actuarial Studies
  • Academic career PGRD
  • Course convener
    • Dr Timothy Higgins
  • Mode of delivery In Person
  • Co-taught Course
  • Offered in First Semester 2019
    See Future Offerings

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. Demonstrate a superior ability to estimate using skewed distributions with and without the presence of censoring and truncation
  2. An in-depth knowledge of aggregation of random quantities through compound distribution theory
  3. To communicate 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: a mid-semester exam and a final exam (null) [LO null]

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Workload

Students are expected to commit at least 10 hours per week to completing the work in this course. This will include at least 3 contact hours per week and up to 7 hours of private study time.

Inherent Requirements

Not applicable

Requisite and Incompatibility

To enrol in this course you must have completed STAT7004. Incompatible with STAT3035, STAT3057, STAT3058, STAT4035, STAT8057 and STAT8058.

Prescribed Texts


 

Specialisations

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
2019 $3840
International fee paying students
Year Fee
2019 $5460
Note: Please note that fee information is for current year only.

Offerings and Dates

The list of offerings for future years is indicative only

First Semester

Class number Class start date Last day to enrol Census date Class end date Mode Of Delivery Class Summary
2557 25 Feb 2019 04 Mar 2019 31 Mar 2019 31 May 2019 In Person View

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