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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. |
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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. |
Texts and references listed below are for your information only and current as of September 30, 2003. Some units taught offshore are modified at selected locations. Please check with the unit coordinator for up-to-date information and approved offshore variations to unit information before finalising study and textbook purchases. |
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. |
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Unit Assessment Breakdown: | Weekly Assignments 10%. Mid Term Test 10%. Major Assignments 15%. Final Examination 65%. This is a grade/mark assessment. |
Field of Education: | 29900 Other Information Technology (Narrow Grouping) | HECS Band (if applicable): | 2 |
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Extent to which this unit or thesis utilises online information: | Informational | Result Type: | Grade/Mark |
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Availability
| Year | Location | Period | Internal | Area External | Central External | | 2004 | Bentley Campus | Semester 1 | Y | | |
Area
External | refers to external course/units run by the School or Department, offered online or through Web CT, or offered by research. |
Central
External | refers to external course/units run through the Curtin Bentley-based Distance Education Area |
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