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Stochastic Models for Actuarial Applications - ACTL2003
 Library lawn

   
 
School:  School of Risk & Actuarial St
 
 
Course Outline: ACTL2003 Course Outline
 
 
Campus: Kensington Campus
 
 
Career: Undergraduate
 
 
Units of Credit: 6
 
 
EFTSL: 0.12500 (more info)
 
 
Indicative Contact Hours per Week: 4
 
 
Enrolment Requirements:
 
 
Prerequisite: ACTL2002 or MATH2801 or MATH2901
 
 
CSS Contribution Charge:Band 3 (more info)
 
   
 
Further Information: See Class Timetable
 
  

Description

This course provides an introduction to the stochastic models used by actuaries to model both liabilities and assets and illustrates their applications in actuarial work. Topics covered include the terminology of stochastic processes; main features of a Markov chain and application to experience rating; Markov process models and application to survival, sickness and marriage models; simple time series models including random walk and auto-regressive models and their application to investment variables; properties of Brownian motion and applications to investment variables; methods for simulation of a stochastic process. Students will be required to implement models using spreadsheets and programs in a numerical computer package.

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© The University of New South Wales (CRICOS Provider No.: 00098G), 2004-2011. The information contained in this Handbook is indicative only. While every effort is made to keep this information up-to-date, the University reserves the right to discontinue or vary arrangements, programs and courses at any time without notice and at its discretion. While the University will try to avoid or minimise any inconvenience, changes may also be made to programs, courses and staff after enrolment. The University may also set limits on the number of students in a course.