ACST601: Stochastic methods in Finance and Insurance
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 |
| Contact Hours: | 3 |
| When Offered: | D1 - Day; Offered in the first half-year |
| Staff Contact: | Associate Professor Leonie Tickle |
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| Unit Designations: | Commerce |
| Assessed As: | Graded |
| Offered By: |
Faculty of Business and Economics |