Handbook

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 discrete-time and continuous-time Markov chains and their applications to experience rating; Markov process models and applications to actuarial modelling practice including in areas such as insurance, financial risk, and social policy; methods for simulation of a stochastic process; estimation of Markov chains. Students will be expected to implement models using the R software in a numerical computer package.