|MRM 8320||Stochastic Risk Management Models|
This course introduces stochastic models for risk manage- ment, broadly defined. The course has two main components. The first component covers single-period models including severity models, frequency models, compound distributions, and aggregate loss models. The second component covers multi-period models by intro- ducing stochastic processes with emphasis on Markov chains, Poisson processes, and Brownian motion. Applications to insurance appear throughout the course. The second component adds applications to finance such as the Black/Scholes/Merton model and credit loss models.