ACTS 450/850: Stochastic Processes for Actuaries

Prereqs: STAT 463 with a grade of "C" or better.
Introduction to stochastic processes and their applications in actuarial science. Discrete-time and continuous-time processes; Markov chains; the Poisson process; compound Poisson processes; non-homogeneous Poisson processes; arithmetic and geometric Brownian motions. Applications of these processes in computation of resident fees for continuing care retirement communities. Pricing of financial instruments.
Credit Hours: 3
Course Format: Lecture 3
Course Delivery: Classroom