Random Processes in Actuarial Science

Teaching results

Teaching results:
After completing the course Random Processes in Actuarial science, it is assumed that students will acquire knowledge and skills in the field of random processes, which will be able to apply in solving selected tasks in the field of actuarial science. Based on the software support of the R language, they will model these processes through simulations of their trajectories and use it to analyze the created studies.
Knowledge
Students will gain knowledge about random processes and their classification, specific knowledge of Markov processes, Poisson process and Wiener process (Brownian motion). Furthermore, they will gain knowledge about the possibilities of modeling these processes by using R(packages).
Competences
Within the new acquired competencies, students can, based on knowledge from the full range of presented random processes, orient themselves in the selection of a suitable model for solving the selected problem and use the knowledge of random process simulation to achieve the desired results.
Skills
According to the choice of issues in the presented project, students will be able to present practical skills on a data set in the environment of the R language, for example in the modeling of state development and the number of policyholders in the multi-state model, the number of claims in non-life insurance, the surplus of the insurance company in the collective risk model for longer periods of time, or in financial modeling.