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
Undergraduate |
ACSC13-306 |
0.125 |
Bond Business School |
- September 2022 [Standard Offering]
- January 2023 [Standard Offering]
- September 2023 [Standard Offering]
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10 |
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- Commencing in 2022: $3,950
- Commencing in 2023: $4,050
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Learning outcomes
1. Determine 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 and analyse compound stochastic processes including their applications to insurance, reinsurance and policy excess. 5. Estimate and analyse 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. |
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Restrictions: ? | Anti-requisites: ?- ACSC13-304 Stochastic Modelling
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Subject dates
| Standard Offering |
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18/07/2021 |
13/09/2021 |
13/09/2021 |
27/09/2021 |
04/10/2021 |
26/09/2021 |
09/10/2021 |
30/10/2021 |
08/10/2021 |
| Standard Offering |
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14/11/2021 |
17/01/2022 |
17/01/2022 |
31/01/2022 |
07/02/2022 |
30/01/2022 |
12/02/2022 |
05/03/2022 |
11/02/2022 |