Page 43 - Handbook PG 20182019

Faculty of Science Postgraduate Booklet, Session 2018/2019

SQB7013 Statistical Time Series

Basic concept of model-building. Stationary model linear. Autoregressive and moving average model
(ARMA). ARMA process includes identification, estimation, fitting and prediction. Non-stationary and
seasonal model. GARCH model. Multivariate time series. State-space model.

Assessment Methods:
Continuous Assessment 50%
Final Examination 50%

Medium of Instruction:
English

Transferable Skills:
Data analysis skills

Humanity Skill:
CS5, CT5, LL3

References:
1. Shumway, R. H. and Stoffer, D. S. (2011). Time Series Analysis and Its Applications: with R
nd
examples. 2 Ed., Springer.
nd
2. Brockwell, P. J. and Davis, R. A. (2010). Introduction to Time Series and Forecasting. 2 Ed.,
Springer.
3. Box, G.E.P., Jenkins, G.W., and Reinsel, G. (2008) Time Series Analysis, Forecasting and
Control. 4th Ed., Prentice Hall.
4. Cryer, J.D. (2008). Time Series Analysis: With Application in R. Springer.

SQB7014 Risk Theory

This course will emphasize on the applications of probabilistic models in the risky business,
especially in insurance using the theory in stochastic processes. The topics include: individual risk
model, computation of net premium, security loading and reinsurance, utility theory and its
applications in reinsurance, collective risk model, number of claims distribution, aggregate claims
distribution, surplus process and ruin probabilities.

Assessment Methods:
Continuous Assessment 50%
Final Examination 50%

Medium of Instruction:
Malay/English

Transferable Skills:
-

Humanity Skill:
TS4, LS4

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