Course

Foundations of Actuarial Models - ACTL2102

Faculty: UNSW Business School

School: School of Risk and Actuarial Studies

Course Outline: ACTL2102 Course Outline

Campus: Sydney

Career: Undergraduate

Units of Credit: 6

EFTSL: 0.12500 (more info)

Indicative Contact Hours per Week: 4

Enrolment Requirements:

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

Equivalent: ACTL5103

CSS Contribution Charge: 2 (more info)

Tuition Fee: See Tuition Fee Schedule

Further Information: See Class Timetable

View course information for previous years.

Description

This course provides an introduction to the probability models used by actuaries for both liabilities and assets. 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. Students will be required to implement models using spreadsheets and programs in a numerical computer package.
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