The first three volumes of this series present new stochastic models both for non-life and life insurance and their practical applications. This series presents the basic concepts in a self-contained format, ideal for actuaries holding an ERM (enterprise risk management) certificate, insurance risk managers, and postgraduate students within the field of mathematics or economics and practitioners using either Solvency II for insurance companies and Basel II and III for banking systems.
This first book presents the basic stochastic processes which are reflected in the proceeding volumes, focusing on the two largest families of stochastic processes : stochastic calculus, including Levy processes, and Markov and Semi Markov models.
Sprache
Verlagsort
Zielgruppe
Für Beruf und Forschung
Actuaries, particularly with ERM (enterprise risk management) certificate, insurance risk managers, students in Master in mathematics or economic and people involved in Solvency II for insurance companies and in Basel II and III for banks
Maße
Höhe: 229 mm
Breite: 152 mm
Dicke: 24 mm
Gewicht
ISBN-13
978-1-78548-024-9 (9781785480249)
Copyright in bibliographic data is held by Nielsen Book Services Limited or its licensors: all rights reserved.
Schweitzer Klassifikation
Autor*in
Universite catholique de Louvain, Belgium
Solvay Business School, Brussels, Belgium
University "La Sapienza?, Rome, Italy
Chapter 1: Basic Probabilistic Tools for Stochastic Modeling
Chapter 2: Homogeneous and Non- Homogeneous Renewal Models
Chapter 3: Markov Chains
Chapter 4: Homogeneous and Non- Homogeneous Semi-Markov Models
Chapter 5: Stochastic Calculus
Chapter 6: Levy Processes
Chapter 7: Actuarial Evaluation, VaR and Stochastic Interest Rate Models
