Skip to main content Skip to navigation

ST402 Risk Theory

Please note that all lectures for Statistics modules taught in the 2022-23 academic year will be delivered on campus, and that the information below relates only to the hybrid teaching methods utilised in 2021-22 as a response to Coronavirus. We will update the Additional Information (linked on the right side of this page) prior to the start of the 2022/23 academic year.

Throughout the 2021-22 academic year, we will be adapting the way we teach and assess your modules in line with government guidance on social distancing and other protective measures in response to Coronavirus. Teaching will vary between online and on-campus delivery through the year, and you should read the additional information linked on the right hand side of this page for details of how this will work for this module. The contact hours shown in the module information below are superseded by the additional information. You can find out more about the University’s overall response to Coronavirus at: https://warwick.ac.uk/coronavirus.

All dates for assessments for Statistics modules, including coursework and examinations, can be found in the Statistics Assessment Handbook at http://go.warwick.ac.uk/STassessmenthandbook

ST402-15 Risk Theory

Academic year
21/22
Department
Statistics
Level
Undergraduate Level 4
Module leader
Larbi Alili
Credit value
15
Module duration
10 weeks
Assessment
Multiple
Study location
University of Warwick main campus, Coventry
Introductory description

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.)

Module web page

Module aims

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.

Outline syllabus

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.

Learning outcomes

By the end of the module, students should be able to:

  • Know how probability models are used in general insurance
  • Understand the concept of methods of re-insurance to hedge against risk.
Indicative reading list

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

Subject specific skills

TBC

Transferable skills

TBC

Study time

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
Private study description

Weekly revision of lecture notes and materials, wider reading, practice exercises and preparing for class tests and the examination.

Costs

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.

Assessment group D1
Weighting Study time
Class Test 1 10%

Term 2 Week 7

Class Test 2 10%

Term 2 Week 10

On-campus Examination 80%

Answer ALL questions.

~Platforms - Moodle


  • Answerbook Pink (12 page)
  • Students may use a calculator
Assessment group R
Weighting Study time
In-person Examination - Resit 100%

Answer ALL questions.

~Platforms - Moodle

Feedback on assessment

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.

Past exam papers for ST402

Courses

This module is Optional for:

  • Year 1 of TMAA-G1PE Master of Advanced Study in Mathematical Sciences
  • Year 1 of TSTA-G4P1 Postgraduate Taught Statistics
  • USTA-G300 Undergraduate Master of Mathematics,Operational Research,Statistics and Economics
    • Year 3 of G300 Mathematics, Operational Research, Statistics and Economics
    • Year 4 of G300 Mathematics, Operational Research, Statistics and Economics

This module is Option list A for:

  • Year 4 of USTA-G300 Undergraduate Master of Mathematics,Operational Research,Statistics and Economics
  • Year 5 of USTA-G301 Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated
  • USTA-G1G3 Undergraduate Mathematics and Statistics (BSc MMathStat)
    • Year 3 of G1G3 Mathematics and Statistics (BSc MMathStat)
    • Year 4 of G1G3 Mathematics and Statistics (BSc MMathStat)
  • USTA-G1G4 Undergraduate Mathematics and Statistics (BSc MMathStat) (with Intercalated Year)
    • Year 4 of G1G4 Mathematics and Statistics (BSc MMathStat) (with Intercalated Year)
    • Year 5 of G1G4 Mathematics and Statistics (BSc MMathStat) (with Intercalated Year)

This module is Option list D for:

  • USTA-G300 Undergraduate Master of Mathematics,Operational Research,Statistics and Economics
    • Year 4 of G30C Master of Maths, Op.Res, Stats & Economics (Operational Research and Statistics Stream)
    • Year 4 of G30C Master of Maths, Op.Res, Stats & Economics (Operational Research and Statistics Stream)
  • Year 5 of USTA-G301 Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated

This module is Option list E for:

  • Year 4 of USTA-G300 Undergraduate Master of Mathematics,Operational Research,Statistics and Economics
  • Year 5 of USTA-G301 Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated