You are viewing this page as an international student.
Change to Domestic

You are a domestic student if you are an Australian citizen, a New Zealand citizen or the holder of an Australian permanent visa.

You are an international student whether you are within or outside Australia and you do not meet the domestic student criteria.

COVID-19 (coronavirus): Latest advice for the Bond community.

ACSC71-306: Stochastic Processes

Description

The focus of this subject is stochastic processes that are typically used to model the dynamic behaviour of random variables indexed by time. The close-of-day exchange rate is an example of a discrete-time stochastic process. There are also continuous-time stochastic processes that involve continuously observing variables, such as the water level within significant rivers. This subject covers discrete Markov chains, continuous-time stochastic processes and some simple time-series models. It also covers applications to insurance, reinsurance and insurance policy excesses, amongst others.

Subject details

TypePostgraduate
CodeACSC71-306
EFTSL0.125
FacultyBond Business School
Semesters offered
  • September 2022 [Standard Offering]
  • January 2023 [Standard Offering]
  • September 2023 [Standard Offering]
Credit10
Study areas
  • Actuarial Science
Subject fees
  • Commencing in 2022: $5,710
  • Commencing in 2023: $5,860

Learning outcomes

1. Explain in detail the type of a stochastic process and whether it possesses certain well-known properties. 2. Define, estimate and analyse Markov chains, including their long-run behaviour. 3. Define, estimate and analyse Markov jump processes, both time-homogeneous and time-inhomogeneous. 4. Define, estimate, analyse and compare compound stochastic processes including their applications to insurance, reinsurance and policy excess. 5. Estimate, analyse and compare some basic time-series models, including ARIMA and exponential smoothing models. 6. Use statistical software commonly used by practitioners to model stochastic processes.

Enrolment requirements

Requisites: ?

Pre-requisites: ?

Co-requisites: ?

There are no co-requisites.

Restrictions: ?

Anti-requisites: ?

  • ACSC71-304 Stochastic Modelling

Subject outlines

Subject dates

Standard Offering
Enrolment opens18/07/2021
Semester start13/09/2021
Subject start13/09/2021
Cancellation 1?27/09/2021
Cancellation 2?04/10/2021
Last enrolment26/09/2021
Withdraw – Financial?09/10/2021
Withdraw – Academic?30/10/2021
Teaching census?08/10/2021
Standard Offering
Enrolment opens14/11/2021
Semester start17/01/2022
Subject start17/01/2022
Cancellation 1?31/01/2022
Cancellation 2?07/02/2022
Last enrolment30/01/2022
Withdraw – Financial?12/02/2022
Withdraw – Academic?05/03/2022
Teaching census?11/02/2022