Basic Stochastic Process
Basic Stochastic Process
Published on 1. July 2015
Book
Hardback
225 pages
978-1-78548-024-9 (ISBN)
Description
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.
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.
More details
Language
English
Place of publication
United Kingdom
Target group
Professional and scholarly
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
Dimensions
Height: 229 mm
Width: 152 mm
Thickness: 24 mm
Weight
513 gr
ISBN-13
978-1-78548-024-9 (9781785480249)
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Schweitzer Classification
Persons
Content
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
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