Programa

Probability and Stochastic Processes

Mestrado Bolonha em Ciências Actuariais

Programa

- Distributions and basic distributional quantities: random variable, distribution and survival functions, multivariate random variables, moments, quantiles, generating functions, sums of random variables, residual life, censored random variables, limited random variables, tails of distributions - Characteristics of actuarial models: the role of the parameters, the exponential and the linear exponential family - Continuous models: creating new distributions; identification of some distributions; extreme value distributions - Introduction to copulas - General notions of stochastic processes and their classification - Discrete time Markov chains - Continuous time homogeneous Markov chains - Time Inhomogeneous Markov Chains - Actuarial Applications