Aims and Fit of Module
Stochastic process is the most important theoretical tool for modeling in actuarial science and financial mathematics. This module will equip students with theoretical knowledge and practical skills, necessary for stochastic modeling in insurance and finance. Students will learn the concepts of the theory of stochastic processes and the most important types of stochastic processes at an advanced level. Students will also examine the various properties and characteristics underlying these processes.
A. Describe and classify the stochastic processes.
B. Define and make use of the Poisson process and its extension.
C. Explain and apply renewal theory.
D. Define and utilise discrete-time Markov chain.
E. Illustrate and apply continuous-time Markov chain and Markov processes.
F. Explain the properties of Martingales.
G. Formulate the appropriate processes of modelling in insurance and finance.
Method of teaching and learning
This module is delivered through formal lectures and tutorials.