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University of Melbourne

Areas of Study

Risk Theory II

  • ACTL40003
  • Contact Hours: Three hours of lectures and/or tutorials per week
    Total Time Commitment: Not available
  • 12.50
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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



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