| Type: | Postgraduate Subject |
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| Code: | ACSC71-306 |
| EFTSL: | 0.125 |
| Faculty: | Bond Business School |
| Semesters offered: |
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| Credit: | 10 |
| Study areas: |
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| Subject fees: |
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Description
The focus of this subject is stochastic processes that are typically used to model the dynamic behaviour of random variables indexed by time. The close-of-day exchange rate is an example of a discrete-time stochastic process. There are also continuous-time stochastic processes that involve continuously observing variables, such as the water level within significant rivers. This subject covers discrete Markov chains, continuous-time stochastic processes and some simple time-series models. It also covers applications to insurance, reinsurance and insurance policy excesses, amongst others.
Subject details
Learning outcomes
- Explain in detail the type of a stochastic process and whether it possesses certain well-known properties.
- Define, estimate and analyse Markov chains, including their long-run behaviour.
- Define, estimate and analyse Markov jump processes, both time-homogeneous and time-inhomogeneous.
- Define, estimate, analyse and compare compound stochastic processes including their applications to insurance, reinsurance and policy excess.
- Estimate, analyse and compare some basic time-series models, including ARIMA and exponential smoothing models.
- Use statistical software commonly used by practitioners to model stochastic processes.
Enrolment requirements
| Requisites: |
Pre-requisites:Co-requisites:There are no co-requisites |
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| Assumed knowledge: |
Assumed knowledge is the minimum level of knowledge of a subject area that students are assumed to have acquired through previous study. It is the responsibility of students to ensure they meet the assumed knowledge expectations of the subject. Students who do not possess this prior knowledge are strongly recommended against enrolling and do so at their own risk. No concessions will be made for students’ lack of prior knowledge. Assumed Prior Learning (or equivalent):
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| Restrictions: |
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Subject outlines
- January 2025 [Standard - Stochastic Processes]
- September 2024 [Standard - Stochastic Processes]
- January 2024 [Standard - Stochastic Processes]
- September 2023 [Standard - Stochastic Processes]
- January 2023 [Standard - Stochastic Processes]
- September 2022 [Standard - Stochastic Processes]
- January 2022 [Standard - Stochastic Processes]
- September 2021 [Standard - Stochastic Processes]
- January 2021 [Standard - Stochastic Processes]
Subject dates
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January 2024
Standard Offering Enrolment opens: 12/11/2023 Semester start: 15/01/2024 Subject start: 15/01/2024 Cancellation 1: 29/01/2024 Cancellation 2: 05/02/2024 Last enrolment: 28/01/2024 Withdraw - Financial: 10/02/2024 Withdraw - Academic: 02/03/2024 Teaching census: 09/02/2024 -
September 2024
Standard Offering Enrolment opens: 14/07/2024 Semester start: 09/09/2024 Subject start: 09/09/2024 Cancellation 1: 23/09/2024 Cancellation 2: 30/09/2024 Last enrolment: 22/09/2024 Withdraw - Financial: 05/10/2024 Withdraw - Academic: 26/10/2024 Teaching census: 04/10/2024 -
January 2025
Standard Offering Enrolment opens: 10/11/2024 Semester start: 20/01/2025 Subject start: 20/01/2025 Cancellation 1: 03/02/2025 Cancellation 2: 10/02/2025 Last enrolment: 02/02/2025 Withdraw - Financial: 15/02/2025 Withdraw - Academic: 08/03/2025 Teaching census: 14/02/2025
| Standard Offering | |
|---|---|
| Enrolment opens: | 12/11/2023 |
| Semester start: | 15/01/2024 |
| Subject start: | 15/01/2024 |
| Cancellation 1: | 29/01/2024 |
| Cancellation 2: | 05/02/2024 |
| Last enrolment: | 28/01/2024 |
| Withdraw - Financial: | 10/02/2024 |
| Withdraw - Academic: | 02/03/2024 |
| Teaching census: | 09/02/2024 |
| Standard Offering | |
|---|---|
| Enrolment opens: | 14/07/2024 |
| Semester start: | 09/09/2024 |
| Subject start: | 09/09/2024 |
| Cancellation 1: | 23/09/2024 |
| Cancellation 2: | 30/09/2024 |
| Last enrolment: | 22/09/2024 |
| Withdraw - Financial: | 05/10/2024 |
| Withdraw - Academic: | 26/10/2024 |
| Teaching census: | 04/10/2024 |
| Standard Offering | |
|---|---|
| Enrolment opens: | 10/11/2024 |
| Semester start: | 20/01/2025 |
| Subject start: | 20/01/2025 |
| Cancellation 1: | 03/02/2025 |
| Cancellation 2: | 10/02/2025 |
| Last enrolment: | 02/02/2025 |
| Withdraw - Financial: | 15/02/2025 |
| Withdraw - Academic: | 08/03/2025 |
| Teaching census: | 14/02/2025 |