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Stochastic Methods in Finance and Insurance - ACST601
This unit covers applications of probability theory to life insurance, general insurance and finance. Topics include: conditional probability; Bayes Theorem; discrete and continuous random variable and distributions, with examples in insurance and finance; mathematical expectation with applications to insurance and finance; measures of variation and risk; moments and their interpretation; sums of independent random variables; discrete and continuous convolutions with applications; distribution of functions of random variables; probability generating functions, moment generating functions and characteristic functions; the central limit theorem; multivariate random variables and normal distribution theory; marginal and conditional distributions; covariance and correlation; and compound distributions.
| Credit Points: | 4 |
| When Offered: | S1 Day - Session 1, North Ryde, Day |
| Staff Contact(s): | Actuarial staff |
| Prerequisites: |
Admission to MActPrac or MCom or MAcc(Prof)MCom or MBioTechMCom |
| Corequisites: | |
| NCCW(s): | |
| Unit Designation(s): | |
| Assessed As: | Graded |
| Offered By: | Department of Applied Finance and Actuarial Studies Faculty of Business and Economics |
Timetable Information
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