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Module Specifications

Archived Version 2007 - 2008

Module Title Time Series
Module Code MS447
School School of Mathematical Sciences

Online Module Resources

Module Co-ordinatorProfessor John ApplebyOffice NumberX133
Level 4 Credit Rating 7.5
Pre-requisite None
Co-requisite None
Module Aims
The module aims to explain fundamental concepts of a generalised linear model (GLM) and explain the situations in which such a model will apply. It also seeks to introduce the main conceptsunderlying the analysis of Time Series models. It aims to cover the syllabus of the Time Series part of the Institute and Faculty of Actuaries Core Technical subject CT6.

Learning Outcomes
On completion of this model students should be able to: 1. Understand the role and scope of the General Linear Model; 2. Apply time series models to problems in insurance and finance; 3. Diagnose the type of a time series from data; 4. Be able to apply Monte-Carlo simulation techniques to problems in non-life insurance mathematics.

Indicative Time Allowances
Independent Learning Time 112.5

Total 112.5
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
Generalised Linear Model: exponential family of distributions, link function. Prediction. Parameter estimation in a GLM. Deviance and deviance residuals. Time Series: Stationary, integrated time series. Filtering. Linear time series: AR, ARMA, ARIMA. Random walk theory applied to time series. Multivariate autoregression. Cointegration. Introductionto nonlinear time series. Applications of Time Series: Diagnostics of time series. Applications of theory to investment variables and financial time series. Deterministic forecasts. Monte Carlo simulation: Pseudo-random number generation. Generation of random variates. Variance reduction. Simulation of time series. Reliability of simulation.
Continuous Assessment25% Examination Weight75%
Indicative Reading List
J. Franke, W. Hardle, C. Hafner. Statistics of Financial Markets, Springer, 2003. P. Brockwell, R. Davis. Time Series: Theory and Methods, Springer, 1991.
Programme or List of Programmes
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BSSAOStudy Abroad (DCU Business School)
ECSAStudy Abroad (Engineering & Computing)
ECSAOStudy Abroad (Engineering & Computing)
FMBSc in Financial & Actuarial Mathematics
HMSAStudy Abroad (Humanities & Soc Science)
HMSAOStudy Abroad (Humanities & Soc Science)
SHSAStudy Abroad (Science & Health)
SHSAOStudy Abroad (Science & Health)