Probability and Stochastic Processes (1 º Sem 2020/2021)

CA (Actuarial Science)

Linhas Programáticas

- 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