Stochastic Modelling for Actuaries

This course introduces the stochastic models used by actuaries to model both liabilities and assets and illustrates their applications in actuarial work.

Topics covered include main features of a Markov chain and applications to experience rating;

Markov process models and applications to insurance, survival, sickness and marriage models;

simple time … For more content click the Read More button below.This course introduces the stochastic models used by actuaries to model both liabilities and assets and illustrates their applications in actuarial work.

Topics covered include main features of a Markov chain and applications to experience rating;

Markov process models and applications to insurance, survival, sickness and marriage models;

simple time series models including random walk and auto-regressive models and their application to investment variables;

methods for simulation of a stochastic process.

Students will be expected to implement models using the R software in a numerical computer package.Read More