This module runs in Term 2 and is available for students on a course where it is a listed option. It is not available as an Unusual Option to students with their home department outside Statistics.
Prerequisites:
Integrated Masters: ST318 Probability Theory
MSc: ST903 Statistical Methods
Results from this module may be partly used to determine exemption eligibility in the Institute and Faculty of Actuaries module CM2. (Independent application with the IFoA may be required to receive the exemption.)
This module partly fulfils the aim of the MMORSE stream in Actuarial and Financial Mathematics to enable students to study more deeply the area named in the stream. It will cover material of use in general insurance such as loss distributions, ruin problems in compound Poisson processes and credibility theory.
This is an indicative module outline only to give an indication of the sort of topics that may be covered. Actual sessions held may differ.
Decision theory.
Loss distributions: standard examples. Excesses and retention limits.
Bayesian Statistics.
Ruin problem in compound Poisson processes; the adjustment coefficient and
Lundberg's inequality.
Credibility theory: Bayes and empirical Bayes approaches.
Run-off triangles: projection of future development; chain ladder method.
Use of GLMs in general insurance.
Time Series.
Simulation of a Stochastic Process.
By the end of the module, students should be able to:
P.J. Boland (2007) Statistical and probabilistic methods in actuarial sciences.
C.D. Daykin, T. Pentikainen, M. Pesonon (1994) Practical Risk Theory for Actuaries.
S.A. Klugman (1985) Loss distributions.
P. McCullagh, J.A. Nelder. (1989) Generalized Linear Models. Chapman and Hall, London.
View reading list on Talis Aspire
TBC
TBC
| Type | Required | Optional |
|---|---|---|
| Lectures | 30 sessions of 1 hour (20%) | 2 sessions of 1 hour |
| Tutorials | 9 sessions of 1 hour (6%) | |
| Private study | 111 hours (74%) | |
| Total | 150 hours |
Weekly revision of lecture notes and materials, wider reading, practice exercises and preparing for class tests and the examination.
No further costs have been identified for this module.
You do not need to pass all assessment components to pass the module.
Students can register for this module without taking any assessment.
| Weighting | Study time | Eligible for self-certification | |
|---|---|---|---|
| Class Test 1 | 10% | No | |
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Term 2 Week 7 |
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| Class Test 2 | 10% | No | |
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Term 2 Week 10 |
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| In-person Examination | 80% | No | |
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Answer ALL questions.
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| Weighting | Study time | Eligible for self-certification | |
|---|---|---|---|
| In-person Examination - Resit | 100% | No | |
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Answer ALL questions.
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Feedback on Class Test 1 will be returned after 2 weeks, and feedback on Class Test 2 will be returned after 3 weeks, following each test. If the number of registered students is less than 30 then they will be given the opportunity to receive feedback via face-to-face meetings. Solutions and cohort level feedback will be provided for the examination.
This module is Optional for:
This module is Option list A for:
This module is Option list D for:
This module is Option list E for: