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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

Type: Postgraduate Subject
Code: ACSC71-306
EFTSL: 0.125
Faculty: Bond Business School
Semesters offered:
  • September 2023 [Standard Offering]
  • January 2024 [Standard Offering]
Credit: 10
Study areas:
  • Actuarial Science and Data Analytics
Subject fees:
  • Commencing in 2023: $5,450.00
  • Commencing in 2024: $5,560.00
  • Commencing in 2023: $5,860.00
  • Commencing in 2024: $6,220.00

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

Assumed knowledge:

Assumed knowledge is the minimum level of knowledge of a subject area that students are assumed to have acquired through previous study. It is the responsibility of students to ensure they meet the assumed knowledge expectations of the subject. Students who do not possess this prior knowledge are strongly recommended against enrolling and do so at their own risk. No concessions will be made for students’ lack of prior knowledge.

Assumed Prior Learning (or equivalent):

Restrictions:

Subject dates

  • Standard Offering
    Enrolment opens: 16/07/2023
    Semester start: 11/09/2023
    Subject start: 11/09/2023
    Cancellation 1: 25/09/2023
    Cancellation 2: 02/10/2023
    Last enrolment: 24/09/2023
    Withdraw - Financial: 07/10/2023
    Withdraw - Academic: 28/10/2023
    Teaching census: 06/10/2023
  • Standard Offering
    Enrolment opens: 12/11/2023
    Semester start: 15/01/2024
    Subject start: 15/01/2024
    Cancellation 1: 29/01/2024
    Cancellation 2: 05/02/2024
    Last enrolment: 28/01/2024
    Withdraw - Financial: 10/02/2024
    Withdraw - Academic: 02/03/2024
    Teaching census: 09/02/2024
Standard Offering
Enrolment opens: 16/07/2023
Semester start: 11/09/2023
Subject start: 11/09/2023
Cancellation 1: 25/09/2023
Cancellation 2: 02/10/2023
Last enrolment: 24/09/2023
Withdraw - Financial: 07/10/2023
Withdraw - Academic: 28/10/2023
Teaching census: 06/10/2023