|Unit convenor and teaching staff||
Unit convenor and teaching staff
Unit Convenor and Lecturer
4ER, Level 7
STAT810 or STAT8310 or STAT806
This unit explores the use of statistical models in insurance: loss distributions with and without risk sharing, compound distributions and their applications in risk modelling, introduction to copulas, extreme value theory. The concepts underlying time series models and actuarial applications of time series models are also studied. Students gaining a weighted average of credit across all of ACST8084, ACST8085 and the CS2-related components of the assessment in ACST8086 (minimum mark of 60% on all three components) will satisfy the requirements for exemption from the professional subject CS2 of the Actuaries Institute.
Information about important academic dates including deadlines for withdrawing from units are available at https://www.mq.edu.au/study/calendar-of-dates
On successful completion of this unit, you will be able to:
Assessment criteria for all assessment tasks will be provided on the unit iLearn site.
It is the responsibility of students to view their marks for each within-session-assessment on iLearn within 20 days of posting. If there are any discrepancies, students must contact the unit convenor immediately. Failure to do so will mean that queries received after the release of final results regarding assessment tasks (not including the final exam mark) will not be addressed.
Late submissions of assessments
Sometimes unavoidable circumstances occur that might prevent you from submitting an assessment on time and, in that case, you may be eligible to lodge a Special Consideration request.
Unless a Special Consideration request has been submitted and approved, please note that no extensions to assessment deadlines will be granted. Assessments that are submitted late will attract a late penalty:
|Assignment||20%||No||Week 3 and Week 12|
|Class Test||20%||No||Week 7|
|Final Exam||60%||No||University Examination Period|
There are two individual written assignments on problem solving using R.
The test will be approximately 90 minutes, to be held during class time.
The final examination will be closed book, a three-hour written paper with ten minutes reading time, to be held during the University Examination period.
1 If you need help with your assignment, please contact:
2 Indicative time-on-task is an estimate of the time required for completion of the assessment task and is subject to individual variation
The timetable for classes can be found on:
Lecture notes are available for download from iLearn. You will need to print the lecture notes and bring them to classes to complete.
The major references include:
Dickson, D. (2016). Insurance Risk and Ruin. Cambridge University Press.
Tsay, R. (2002). Analysis of Financial Time Series. John Wiley & Sons, Inc.
Nelsen, R. (2006). An Introduction to Copulas. Springer-Verlag New York.
Embrechts, P., Kluppelberg, C., Mikosch, T. (1997). Modelling Extremal Events for Insurance and Finance. Springer-Verlag Berlin Heidelberg.
Students will be required to use iLearn, R, Excel, PDF, Word, and a non-programmable calculator.
|8||Extreme Value Theory|
|9||Extreme Value Theory|
|12||Time Series Models|
|13||Time Series Models|
TBC in lectures
Macquarie University policies and procedures are accessible from Policy Central (https://policies.mq.edu.au). Students should be aware of the following policies in particular with regard to Learning and Teaching:
Students seeking more policy resources can visit Student Policies (https://students.mq.edu.au/support/study/policies). It is your one-stop-shop for the key policies you need to know about throughout your undergraduate student journey.
Macquarie University students have a responsibility to be familiar with the Student Code of Conduct: https://students.mq.edu.au/admin/other-resources/student-conduct
Results published on platform other than eStudent, (eg. iLearn, Coursera etc.) or released directly by your Unit Convenor, are not confirmed as they are subject to final approval by the University. Once approved, final results will be sent to your student email address and will be made available in eStudent. For more information visit ask.mq.edu.au or if you are a Global MBA student contact firstname.lastname@example.org
Information regarding supplementary exams, including dates, is available at:
Macquarie University provides a range of support services for students. For details, visit http://students.mq.edu.au/support/
Learning Skills (mq.edu.au/learningskills) provides academic writing resources and study strategies to help you improve your marks and take control of your study.
The Library provides online and face to face support to help you find and use relevant information resources.
Students with a disability are encouraged to contact the Disability Service who can provide appropriate help with any issues that arise during their studies.
For all student enquiries, visit Student Connect at ask.mq.edu.au
If you are a Global MBA student contact email@example.com
For help with University computer systems and technology, visit http://www.mq.edu.au/about_us/offices_and_units/information_technology/help/.
When using the University's IT, you must adhere to the Acceptable Use of IT Resources Policy. The policy applies to all who connect to the MQ network including students.
Unit information based on version 2021.02 of the Handbook