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ACSC71-306: Stochastic Processes


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

FacultyBond Business School
Semesters offered
  • September 2022 [Standard Offering]
  • January 2023 [Standard Offering]
  • September 2023 [Standard Offering]
Study areas
  • Actuarial Science
Subject fees
  • Commencing in 2022: $5,310
  • Commencing in 2023: $5,450

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 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
Standard Offering
Enrolment opens17/07/2022
Semester start12/09/2022
Subject start12/09/2022
Cancellation 1?26/09/2022
Cancellation 2?03/10/2022
Last enrolment25/09/2022
Withdraw – Financial?08/10/2022
Withdraw – Academic?29/10/2022
Teaching census?07/10/2022