300-331 Modelling in Insurance and Finance I

Subject information

Search : Index : Faculty of Economics and Commerce : Actuarial studies
Prev 300-330 Survival Models: Theory and Applications
Next 300-332 Modelling in Insurance and Finance II

300-331 Modelling in Insurance and Finance I
Note	Students may not gain credit for both 300-331 Modelling in Insurance and Finance I and 620-301 Stochastic Modelling.
Credit Points	12.5
HECS Band	2
Coordinator	K. Borovkov
Prerequisites	300-204 Financial Mathematics II, 620-202 Statistics, and 620-123 Applied Mathematics (Advanced) or 620-143 Applied Mathematics.
Semester	1 (view timetable)
Contact	Three hours of lectures per week and up to 12 practice classes per semester
Subject Description	Topics include review of probability theory; Markov chains and their applications; random walks; Poisson process and applications; general jump Markov processes and applications; time series with applications (Wilkie model); and elements of simulation, including the basics of MCMC.
Assessment	A 3-hour end-of-semester examination (80%) and either a mid-semester test or up to 50 pages of assignments (20%).

Search : Index : Faculty of Economics and Commerce : Actuarial studies
Prev 300-330 Survival Models: Theory and Applications
Next 300-332 Modelling in Insurance and Finance II

Status:                   Official 2003
Last Modified:            Monday April 28 22:11
SGML to HTML Conversion:  Information Division - CWIS (SDI)
Authorised by:            Academic Registrar
Enquiries:                http://unimelb.custhelp.com/