300-316 Models for Insurance and Finance

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300-316 Models for Insurance and Finance
Note	Student may not gain credit for both 300-316 Models for Insurance and Finance and 300-332 Modelling in Insurance and Finance II.
Credit Points	12.5
Coordinator	S Li
Prerequisites	300-334 Financial Mathematics III, 620-202 Statistics and 620-123 Applied Mathematics (Advanced).
Semester	2 (view timetable)
Contact	Three hours of lectures and/or tutorials per week
Subject Description	Topics include: probability concepts; martingales in actuarial studies and finance; applications of Brownian Motion, geometric Brownian Motion and the lognormal distribution; stochastic calculus; models for financial time series; applications of Monte Carlo simulation in insurance and finance.
Generic Skills	High level of development: written communication; problem solving; statistical reasoning; application of theory to practice; synthesis of data and other information.
Assessment	A 2-hour end of semester examination (80%) and up to three assignments totalling not more than 20 pages (20%).

Search : Index : Faculty of Economics and Commerce : Actuarial Studies
Prev 300-315 Actuarial Statistics
Next 300-334 Financial Mathematics III

Status:                   Official 2007
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