|Faculty:||Bond Business School|
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.
- Explain in detail the type of a stochastic process and whether it possesses certain well-known properties.
- Define, estimate and analyse Markov chains, including their long-run behaviour.
- Define, estimate and analyse Markov jump processes, both time-homogeneous and time-inhomogeneous.
- Define, estimate, analyse and compare compound stochastic processes including their applications to insurance, reinsurance and policy excess.
- Estimate, analyse and compare some basic time-series models, including ARIMA and exponential smoothing models.
- Use statistical software commonly used by practitioners to model stochastic processes.
There are no co-requisites
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.
Standard Offering Enrolment opens: 17/07/2022 Semester start: 12/09/2022 Subject start: 12/09/2022 Cancellation 1: 26/09/2022 Cancellation 2: 03/10/2022 Last enrolment: 25/09/2022 Withdraw - Financial: 08/10/2022 Withdraw - Academic: 29/10/2022 Teaching census: 07/10/2022
Standard Offering Enrolment opens: 13/11/2022 Semester start: 16/01/2023 Subject start: 16/01/2023 Cancellation 1: 30/01/2023 Cancellation 2: 06/02/2023 Last enrolment: 29/01/2023 Withdraw - Financial: 11/02/2023 Withdraw - Academic: 04/03/2023 Teaching census: 10/02/2023
|Withdraw - Financial:||08/10/2022|
|Withdraw - Academic:||29/10/2022|
|Withdraw - Financial:||11/02/2023|
|Withdraw - Academic:||04/03/2023|