INSTITUTE OF APPLIED MATHEMATICS
Last Updated:
28/08/2017 - 21:10

IAM548 - Stochastic Processes for Insurance and Finance

Credit: 3(3-0); ECTS: 8.0
Instructor(s): Consent of IAM
Prerequisites: Consent of Instructor(s)

Course Catalogue Description

Essentials of stochastic integrals and stochastic differential equations. Probability distributions and heavy tails. Concepts from insurance and finance. Ordering of risks. Aggregate claim amount distributions. Risk processes. Renewal processes and random walks. Markov chains. Continuous Markov models. Martingale techniques and Brownian motion. Point processes. Diffusion models. Applications to insurance and finance processes.

Course Objectives

Course Learning Outcomes

Tentative (Weekly) Outline

Essentials of stochastic integrals and stochastic differential equations. Probability distributions and heavy tails. Concepts from insurance and finance. Ordering of risks. Aggregate claim amount distributions. Risk processes. Renewal processes and random walks. Markov chains. Continuous Markov models. Martingale techniques and Brownian motion. Point processes. Diffusion models. Applications to insurance and finance processes.

More Info on METU Catalogue

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