Information for Part 2 Stochastic Models 2004/05

The Stochastic Models web pages now appear to be working. All materials can be access from there. Let me know if you have problems with them.

Part II Discrete Stochastic Modelling 2003/04

This course, together with next year's course in Continuous Stochastic Modelling, covers the material for subject 103 of the Institute and Faculty of Actuaries' examination syllabus.

The items I shall be making available from this page will largely consist of course notes, which in turn will simply consist of the OHP slides used during lectures.

Many of the files are in pdf format. You will need to obtain Acrobat Reader if you do not already have it.

General introduction to the course

Tutorial exercises

Coursework

Coursework generator is a web page from which you will be able to print off your own coursework.

Data for coursework 2.

Notes

0. Introduction
1. Modelling and Simulation and Simulation Methods
2. Stochastic Processes
3. Random Walks
4. Markov Chains
5. Time-inhomogeneous Markov Chains
6. Poisson Processes
7. Time Series: Theoretical
8. Time Series: Practical

Worksheets for lab sessions

1. Session 1
2. Session 2
3. Session 3

DAX data in the form of an Excel file.

Past exam questions

Some exam questions set in past years are available for practice. Note that the syllabus of this course and related courses is constantly changing, so you might encounter some parts of questions which you are unable to solve.

• Set 1: everything except Time Series.
• Solutions to Set 1
• Set 2: Time Series.
• Solutions to Set 2

In addition to these, solutions are provided to the May/June examination papers in 2000, 2001, 2002 and 2003.

External resources

Simple Symmetric Random Walk with two absorbing barriers: simulating the time until absorption. (Written in JavaScript)

Simulation of 60-step random walk to find the distribution of the end-point (Jim Carlson)

Gambler's ruin: simulation of random walk (Jim Carlson)

Course notes on Linear Congruential Generators (Hans Kowallik)

Not directly bearing on the syllabus, but maybe of interest anyway, is:
Mai Zhou's Java simulation of a one-d and a two-d brownian motion;
Jim Carlson's simulation of a two-d brownian motion

Russell Gerrard's index of course materials