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Overview

This course introduces the stochastic models used by actuaries to model both liabilities and assets and illustrates their applications in actuarial work. Topics covered include main features of a Markov chain and applications to experience rating; Markov process models and applications to insurance, survival, sickness and marriage models; simple time series models including random walk and auto-regressive models and their application to investment variables; methods for simulation of a stochastic process. Students will be expected to implement models using the R software in a numerical computer package.

Study Level

Undergraduate

Offering Terms

Term 2

Campus

Kensington

Indicative contact hours

4.5

Conditions for Enrolment

Prerequisite:ACTL2131 or MATH2901 and (enrolment in 3154, 3155, 3586, 3587, 3588, 3589 or 4737)

Course Outline

To access course outline, please visit:

Pre-2019 Handbook Editions

Access past handbook editions (2018 and prior)

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