Registry
Module Specifications
Archived Version 2003 - 2004
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| Module Aims | |||||||||||||||||||||||||||||
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To give a comprehensive introduction to the Stochastic Processes and their application to Actuarial Science
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| Learning Outcomes | |||||||||||||||||||||||||||||
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As a result of this module the students will have a good understanding of the most important properties of Markov chains and Markov jump processes. They will gain experience of these tools for modelling in actuarial science.
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| NOTE | |||||||||||||||||||||||||||||
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Assume that a 7.5 credit module load represents approximately 112.5 hours' work, which includes all teaching, in-course assignments, laboratory work or other specialised training and an estimated private learning time associated with the module. | |||||||||||||||||||||||||||||
| Indicative Syllabus | |||||||||||||||||||||||||||||
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| Indicative Reading List | |||||||||||||||||||||||||||||
| Essential Bhattacharya, R.N., and Waymire R.C., Stochastic Processes with Applications, New-York, Wiley, 1990. Grimmett, G.R. and Stirzaker, D.R., Probability and Random Processes, 2dn ed.Oxford University Press, 1992. Karlin, S. and Taylor, H.M., A First course in Stochastic Processes, 2nd ed., NewYork Academic Press, 1975. | |||||||||||||||||||||||||||||
| Programme or List of Programmes | |||||||||||||||||||||||||||||
| FM | BSc in Financial & Actuarial Mathematics | ||||||||||||||||||||||||||||
| MS | BSc in Mathematical Sciences | ||||||||||||||||||||||||||||
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