Objective: This course introduces the theory of compound Poisson processes, with a particular emphasis on their application to insurance portfolios (though their applicability in other areas is also noted)

Topics include: Modelling loss distributions; Skewed parametric distribution families; Method of moments, method of percentiles and maximum likelihood estimation; Pearson goodness-of-fit testing for distribution assessment; Truncated and censored data, including applications to reinsurance and policy excess schemes; Random sums, convolutions and compound distributions, particularly for modeling aggregate claim distributions; Normal and gamma approximations to compound distributions; Compound Poisson process theory, including applications to insurance portfolio surplus processes; Ultimate and finite-time ruin probabilities; Adjustment coefficients and optimal reinsurance contracts.

• Assignment 20%
• Final Exam 80%

Three contact hours per week plus private study time.

STAT3004 Stochastic Modelling

See Course Website:  http://ecocomm.anu.edu.au/courses/course.asp?code=STAT3035

For further information please refer to http://ecocomm.anu.edu.au/courses/course.asp?code=STAT3035