Becoming familiar with stochastic modelling of dependent stochastic variables, practicing practice examples of stochastic models.
A basic knowledge of probability theory and statistics is required. Furthermore, the students has to have the necessary basic calculus background to apply the basic knowledge to real cases and examples.
Is also included in other courses
After a number of introductory examples, we recall basic concepts of probability theory and statistics.
This will be followed by an extensive study of Poisson processes with their generalizations like the compound
Poisson process. Applications are given in the context of credit risk and actuarial sciences.
Next, discrete and continuous Markov chains are discussed.
Examples of population problems, waiting line theory, towards insurance and financial engineering are given.
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