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Models for Insurance and Finance (ACTL30005)

Undergraduate level 3Points: 12.5On Campus (Parkville)

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Overview

Year of offer2017
Subject levelUndergraduate Level 3
Subject codeACTL30005
Campus
Parkville
Availability
Semester 2
FeesSubject EFTSL, Level, Discipline & Census Date

Topics include: probability concepts; martingales in actuarial studies and finance; applications of Brownian motion, geometric Brownian motion and the lognormal distribution; stochastic calculus; models for financial time series; applications of Monte Carlo simulation in insurance and finance.

Intended learning outcomes

• Have an understanding of some probability concepts to solve problems using sigma-algebras, probability measures, random variables, distributions and expectations of random variables;

• Describe conditional expectations and apply their properties to simplify calculations;

• Construct and apply martingales in solving problems in insurance and finance;

• Gain basic knowledge of Brownian motion and geometric Brownian motion.

• Perform calculations with stochastic integrals and Ito's formula.

Generic skills

  • High level of development: written communication; problem solving; statistical reasoning; application of theory to practice; synthesis of data and other information.

Last updated: 15 July 2017