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ACSC13-302: Advanced Modelling

Description

The focus of this subject is stochastic and survival modelling. Stochastic processes 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 also introduces simple discrete Markov chains and continuous-time stochastic processes.

Subject details

TypeUndergraduate
CodeACSC13-302
EFTSL0.125
FacultyBond Business School
Semesters offered
  • September 2018 [Standard Offering]
  • January 2019 [Standard Offering]
  • September 2019 [Standard Offering]
Credit10
Study abroadAvailable to Study Abroad students
Study areas
  • Actuarial Science
Subject fees
  • Commencing in 2018: $4,247
  • Commencing in 2019: $4,290

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. Demonstrate an understanding of censoring and lifetime random variables in survival modelling, including the ability to perform calculations involving lifetime random variables.
5. Estimate and analyse a variety survival models, including Weibull, Gompertz, Kaplan-Meier, Nelson-Aalen, Cox Proportional Hazards, Markov multi-state, Binomial and Poisson models.
6. Describe and perform multiple hypothesis tests applicable to survival modelling.
7. Demonstrate an understanding of the benefit of smoothing/graduation and the key trade-off involved.
8. Use statistical software commonly used by practitioners to model stochastic processes and survival models.

Prerequisites

Students must have successfully completed ACSC12-200 Mathematical Statistics or equivalent prior to undertaking ACSC13-302

Subject outlines

Subject dates

Standard
Enrolment opens16/07/2017
Semester start11/09/2017
Subject start11/09/2017
Cancellation 1?25/09/2017
Cancellation 2?02/10/2017
Last enrolment24/09/2017
Last withdrawal?06/10/2017
Teaching census?06/10/2017
Standard Offering
Enrolment opens12/11/2017
Semester start15/01/2018
Subject start15/01/2018
Cancellation 1?29/01/2018
Cancellation 2?05/02/2018
Last enrolment28/01/2018
Last withdrawal?09/02/2018
Teaching census?09/02/2018
Standard Offering
Enrolment opens15/07/2018
Semester start10/09/2018
Subject start10/09/2018
Cancellation 1?24/09/2018
Cancellation 2?01/10/2018
Last enrolment23/09/2018
Last withdrawal?05/10/2018
Teaching census?05/10/2018