- Docente: Simone Giannerini
- Credits: 6
- SSD: SECS-S/01
- Language: Italian
- Teaching Mode: Traditional lectures
- Campus: Rimini
- Corso: Second cycle degree programme (LM) in Statistical, Financial and Actuarial Sciences (cod. 8877)
Learning outcomes
The course deals with the basics of stochastic processes with applications in insurance and finance. At the end of the course the student is able to work with some of the most important kinds of random processes such as Markov chains, Poisson processes, birth and death processes and Brownian motion.
Course contents
1. (Pre-requisite) Random variables and probability distributions. Limit theorems for sequences of random variables.
- Ch. 1: §1.1 - §1.6 included.
- Ch. 2: §2.1 - §2.5 included
- Ch. 3: §3.1, 3.2, 3.3, 3.5, 3.6, 3.7.
- Ch. 4: §4.1, 4.2, 4.3, 4.5, 4.6.
- Ch. 7: §7.1, 7.2, 7.4, 7.5.
- Ch. 8: §8.1, 8.2
- Ch. 9: §9.1, 9.5
- Ch. 3: §3.9, 3.10
- Ch. 5: §5.3
- Ch. 6: §6.1, 6.2, 6.3, 6.4
Ch. 6: §6.8
Readings/Bibliography
Textbook
- Probability and Random Processes, G.R. Grimmett and D.R. Stirzaker, 3rd Edition, Oxford university Press, 2001.
Additional readings
- Elements of Applied Stochastic Processes, 3rd Edition U.N. Bhat, G.K. Miller, John Wiley & Sons, 2002.
- Stochastic Processes for Insurance and Finance, T. Rolski, H. Schmidli, V. Schmidt, J. Teugels, John Wiley & Sons, 2009.
Teaching methods
- Classes
- Exercises
Assessment methods
A two-hour written examination that includes
- theoretical questions
- exercises
Teaching tools
Links to further information
http://www2.stat.unibo.it/giannerini/didattica/Rimini/default.htm#processi
Office hours
See the website of Simone Giannerini