Definition of a stochastic process. Stationarity. Covariance stationary. Markov property. Random walk. Brownian motion. Markov chains. Chapman-Kolmogorov equations. Recurrent and transient states. First passage time. Occupation times. Markov jump processes. Poisson process. Birth and death processes. Structures of processes. Structure of the time-homogeneous Markov jump process. Applications in insurance. Practical statistical modelling, analysis and simulation using statistical computer packages and the interpretation of the output.
Faculty of Economic and Management Sciences Faculty of Natural and Agricultural Sciences
WST 211, WST 221, WTW 211 GS and WTW 218 GS
1 practical per week, 2 lectures per week
Language of tuition
Module is presented in English
Period of presentation
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