M439J PROBABILITY MODELS WITH ACTUARIAL APPLICATIONS

Prerequisite and degree relevance:

In conjunction with M339U and M439V, this covers the content of SoA/CAS Exam 3 on actuarial models. Topics covered: Markov chains; Brownian motion; the Black-Scholes formula; frequency- and severity-of-loss random variables; compound distributions; ruin theory. Meets with M389J, the corresponding graduate-course number.

Course description:

Probability (M362K) is a prerequisite.

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