Stochastic Modelling for Actuaries - ACTL5103

This course provides an introduction to the stochastic models used by actuaries to model both liabilities and assets and illustrates their applications in actuarial work. Topics covered include the terminology of stochastic processes; main features of Markov chain and application to experience rating; Markov process models and application to survival, sickness and marriage models; simple time series models including random walk and auto-regressive models and their application to investment variables; properties of Brownian motion and applications to investment variables; methods for simulation of a stochastic process. Students will be required to implement models using spreadsheets and programs in a numerical computer package such as Matlab.