# STAT40020 Actuarial Statistics I

Loss Distributions. Classic distributions used for modelling in insurance and finance. Impact of Reinsurance on Loss. Simulating Loss distributions. Risk Theory. Collective and Individual Risk models for aggregate losses. Panjers model. Copulas. Extreme Value Theory. PCA.

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Curricular information is subject to change

Learning Outcomes:

To be able to select appropriate probability distributions for use in modelling losses in insurance and banking.Know how to predict and determine reserves for claims and losses taking into account trends and inflation. To be able to select a reasonable model for short term aggregate losses in a portfolio of policies or loans.

Indicative Module Content:

Loss distributions. Risk models. Copulas. Principal Components. Extreme Value Theory.

Student Effort Hours:
Student Effort Type Hours
Lectures

18

Tutorial

10

Computer Aided Lab

2

Autonomous Student Learning

84

Total

114

Approaches to Teaching and Learning:
active/task-based learning; lectures; reflective learning; lab/studio work; enquiry & problem-based learning;
Requirements, Exclusions and Recommendations
Learning Requirements:

A good basic knowledge of probability and statistics theory is a requirement to take this course.

Learning Recommendations:

Students should have a knowledge of statistical inference at a level equivalent to that which would be achieved upon completion of STAT20100, STAT20110, STAT30240.

Module Requisites and Incompatibles
Not applicable to this module.

Assessment Strategy
Description Timing Open Book Exam Component Scale Must Pass Component % of Final Grade
Examination: Final 2 hour exam 2 hour End of Trimester Exam No Other No

80

Continuous Assessment: Regular Homework Problems Varies over the Trimester n/a Other No

20

Carry forward of passed components
Yes

Resit In Terminal Exam
Spring Yes - 2 Hour
Feedback Strategy/Strategies

• Feedback individually to students, post-assessment
• Group/class feedback, post-assessment

How will my Feedback be Delivered?

3 assignments each worth 6.67% of final grade, marked with feedback and returned to students, plus group feedback in tutorial sessions.

Name Role
Mr Xian Gwee Tutor
Timetabling information is displayed only for guidance purposes, relates to the current Academic Year only and is subject to change.

Autumn

Tutorial Offering 1 Week(s) - Autumn: All Weeks Mon 10:00 - 10:50
Lecture Offering 1 Week(s) - Autumn: All Weeks Thurs 14:00 - 14:50
Lecture Offering 1 Week(s) - Autumn: All Weeks Tues 14:00 - 14:50
Autumn