302399 (v.2) Actuarial Statistics 301

Area:

Department of Mathematics and Statistics

Credits:

25.0

Contact Hours:

4.0

Lecture:

3 x 1 Hours Weekly

Tutorial:

1 x 1 Hours Weekly

Syllabus:

Application of stochastic models in actuarial work. Markov chains and their application to experience rating. Markov process models with application to survival, sickness and marriage models, simple time series modeling including random walk auto auto-regressive models and their application to investment variables, simple simulation models.

Unit Outcomes:

On successful completion of this unit students will have gained the knowledge to describe the principles of actuarial modeling, apply stochastic processes in actuarial work, define Markov chains and apply to experience rating, define Markov process models and apply to survival, sickness and marriage models, define simple time series modeling including random walk and auto-regressive, models and apply them to investment variables, define and apply Gauss-Wiener processes and explain 'Monte Carlo' simulation models.

Text and references listed above are for your information only and current as of September 30, 2003. Please check with the unit coordinator for up-to-date information.

Unit References:

Karlin, S. and Taylor, H. M., (1981), 'A Second Course in Stochastic Processes', Academic press. Ross, S., (1983), 'Stochastic Process', John Wiley. Brzezniak, Z., and Zastawniak, T., (1998), 'Basic Stochastic Processes: A Course Through Exercises', Springer. Kulkarni, V. G., (1995), 'Modelling and Analysis of Stochastic Systems', Thomas Science and Professional. Wei, W. S., (1989), 'Time Series Analysis', Addison-Wesley. Vanadaele, W., 1983,' Applied Time Series Analysis and Box-Jenkins Models', Academic Press. Brockwell, R. A., (2002), 'Introduction to Time Series and Forecasting', Second Edition, Springer.

Unit Texts:

ActEd Study Materials. 2003 Examinations Subject 103 Stochastic Mathematics Course Notes, The Actuarial Education Company. Hoel, P. G., Port S. C. and Stone, C. J., (1999), 'Introduction to Stochastic Processes', Waveland Press.

Unit Assessment Breakdown:

Weekly Assignments 10%. Mid Term Test 10%. Major Assignments 15%. Final Examination 65%. This is a grade/mark assessment.

Year	Location	Period	Internal	Area External	Central External
2004	Bentley Campus	Semester 1	Y