Stochastic Processes for Actuaries

Markov chains are used to model many phenomena which arise in some statistical problems. The course covers an introduction to probability theory, conditional probability, and conditional expectation. Moreover, discrete time Markov chains are introduced, as well as branching processes, time reversible Markov chains, and hidden Markov chains. Then exponential distributions and the Poisson processes are defined. Finally, Continuous time Markov chains are introduced as well as their transition probability function.