Course Information

Course Title	Code	Semester	L+U Hour	Credits	ECTS
STOCHASTIC PROCESSES FOR INSURANCE AND FINANCE	UAKT304	6. Semester	2 + 2	3.0	4.0

Prerequisites

None

Language of Instruction	Turkish
Course Level	Bachelor's Degree
Course Type	Compulsory
Mode of delivery	Oral presentation
Course Coordinator
Instructors
Assistants
Goals	To inform students about the techniques used to model the stochastic processes
Course Content	Markov Processes, Continuous-Time and Discrete-Time Markov Chains; Poisson and Compound Poisson Processes, Birth-Death Processes, Brownian-Motion Process
Learning Outcomes	1) Understand general framework of actuarial modelling 2) Get information about types and the general concepts of stochastic processes 3) Solve the insurance and finance problems with Markov processes 4) Model the processes of assets and liabilities

Week	Topics	Teaching and Learning Methods and Techniques	Study Materials
1. Week	Discrete–Time Markov Chains	Lecture	Presentation (Including Preparation Time)
2. Week	Discrete–Time Markov Chains	Lecture	Presentation (Including Preparation Time)
3. Week	Discrete–Time Markov Chains	Lecture	Presentation (Including Preparation Time)
4. Week	Problem Solving	Lecture	Presentation (Including Preparation Time)
5. Week	Continuous–Time Markov Chains	Lecture	Presentation (Including Preparation Time)
6. Week	Problem Solving	Lecture	Presentation (Including Preparation Time)
7. Week	Poisson Process	Lecture	Presentation (Including Preparation Time)
8. Week	Midterm exam
9. Week	Poisson Process	Lecture	Presentation (Including Preparation Time)
10. Week	Problem Solving	Lecture	Presentation (Including Preparation Time)
11. Week	Compound Poisson Process	Lecture	Presentation (Including Preparation Time)
12. Week	Birth-Death Processes	Lecture	Presentation (Including Preparation Time)
13. Week	Random Walk Process	Lecture	Presentation (Including Preparation Time)
14. Week	Brownian-Motion Process	Lecture	Presentation (Including Preparation Time)
15. Week	Preparation for final exam	Lecture	Presentation (Including Preparation Time)
16. Week	Final exam

Recommended Sources

Brovkov, K., Elements of Stochastic Modelling, World Scientific, University of Melbourne, Australia, 200

İnal, C., Olasılıksal Süreçlere Giriş (Markov Zincirleri), Hacettepe Üniversitesi Yayınları, Ankara, 1988.

Rolski ,T., et al., Stochastic Processes for Insurance and Finance, Wiley, 1999.

Ross, S.M., Introduction to Probability Models, Elsevier Inc., USA, 2006.

*DK = Course's Contrubution.

	0	1	2	3	4	5
Level of contribution	None	Very Low	Low	Fair	High	Very High

Event	Quantity	Duration (Hour)	Total Workload (Hour)
Course Duration (Total weeks*Hours per week)	14	4	56
Work Hour outside Classroom (Preparation, strengthening)	14	3	42
Midterm Exam	1	2	2
Time to prepare for Midterm Exam	1	24	24
Final Exam	1	2	2
Time to prepare for Final Exam	1	24	24
Total Workload
Total Workload / 30 (s)
ECTS Credit of the Course			30