Math 380 Stochastic Processes

Math 380: Stochastic Processes
1. A review of probability theory and applications in insurance
2. A review on Random Variables and their distributions with applications in insurance
3. Conditional Probability and Conditional Expectation
4. Discrete time processes: Markov Chains
5. The Exponential Distribution and the Poisson Process
6. Continuous-time processes: Brownian motions and related processes

Text books:
1. An Introduction to Stochastic Modeling, Howard M. Taylor and Samuel Karlin, 3rd ed. (1998), Academic Press, Inc.
2. A First Course in Stochastic Processes, Howard M. Taylor and Samuel Karlin, 2nd ed. (1975), Academic Press, Inc.
3. Probability and Statistical Inference, Robert V. Hogg, Elliot A. Tanis and Dale Zimmerman, 9th ed., (2015) (Chap. 1—5)
4. Probability for risk management, Matthew J. Hassett and Donald G. Stewart. 2nd ed. , (2006) (all chapters)
5. Introduction to Probability Models, Sheldon M. Ross. Tenth Edition, (2010) (Chp. 3—6)