STAT40640 Stat. Methods for Actuaries

Academic Year 2021/2022

• Risk and Ruin Theory
• Credibility Theory
• An Introduction to Generalized Linear Models
• Concepts of Monte Carlo simulation.
• Concepts underlying analysis of time series models

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Curricular information is subject to change

Learning Outcomes:

An ability to understand how premium rates, claim rates, reserves, reinsurance arrangements and other parameters in a surplus process contribute to the probability of ruin. To understand how to use practical methods incorporating both sample and collateral information in estimating premium and claim rates. To obtain a basic understanding of how the techniques of generalized linear models may be used in modelling insurance claim rates and amounts. Simulation methods.An understanding of the main concepts underlying the anaylsis of time series models.

Indicative Module Content:

Risk and Ruin Theory - Surplus processes and the probability of ruin, Reinsurance and the adjustment coefficient.
• Credibility Theory - Bayes approach to credibility theory, Empirical Bayes credibility theory.
• An Introduction to Generalized Linear Models - Exponential families, Poisson regression, Logistic models, link functions, deviance, residuals and goodness of fit.
• Concepts of Monte Carlo simulation.
• Concepts underlying analysis of time series models – stationary series, autoregressive models, random walks, model selection and diagnostics, forecasts.


Student Effort Hours: 
Student Effort Type Hours
Lectures

32

Tutorial

10

Autonomous Student Learning

78

Total

120

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

Actuarial Statistics I - STAT40020


Module Requisites and Incompatibles
Co-requisite:
STAT40020 - Actuarial Statistics I


 
Assessment Strategy  
Description Timing Open Book Exam Component Scale Must Pass Component % of Final Grade
Examination: < Description > 3 hour End of Trimester Exam No Other No

80

Continuous Assessment: < Description > Throughout the Trimester n/a Other No

20


Carry forward of passed components
Yes
 
Resit In Terminal Exam
Summer Yes - 3 Hour
Please see Student Jargon Buster for more information about remediation types and timing. 
Feedback Strategy/Strategies

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

How will my Feedback be Delivered?

individually graded assignments returned with feedback. Group feedback given in tutorials.

Name Role
Mr Damian Conway Lecturer / Co-Lecturer
Dr Florian Maire Lecturer / Co-Lecturer
Ms Jinbo Zhao Tutor