IAM548 STOCHASTIC PROCESSES FOR INSURANCE AND FINANCE
| Course Code: |
9700548 |
| METU Credit (Theoretical-Laboratory hours/week): |
3(3-0) |
| ECTS Credit: |
8.0 |
| Department: |
Institute Of Applied Mathematics |
| Language of Instruction: |
English |
| Level of Study: |
Graduate |
| Course Coordinator: |
|
| Offered Semester: |
Fall or Spring Semesters. |
Course Content
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.
