Topics include premium principles, including variance principle, Esscher principle, risk adjusted principle; applications of utility theory, premium calculation and optimal reinsurance retention levels; reinsurance problems; ruin theory, Lundberg's inequality, explicit solutions for the probability of ultimate ruin, application of Panjer's recursion formula, the probability and severity of ruin, the effect of reinsurance on ruin probabilities. -- Course Website
Prerequisites: The following: Subject Study Period Commencement: Credit Points: ACTL40002 Risk Theory I Semester 1 12.50