Stochastic Processes for Insurance and Finance
Published on 12. September 2009
680 pages
978-0-470-31788-4 (ISBN)
Description
Stochastic Processes for Insurance and Finance offers athorough yet accessible reference for researchers and practitionersof insurance mathematics. Building on recent and rapid developmentsin applied probability, the authors describe in general termsmodels based on Markov processes, martingales and various types ofpoint processes.
Discussing frequently asked insurance questions, the authorspresent a coherent overview of the subject and specificallyaddress:
* The principal concepts from insurance and finance
* Practical examples with real life data
* Numerical and algorithmic procedures essential for moderninsurance practices
Assuming competence in probability calculus, this book willprovide a fairly rigorous treatment of insurance risk theoryrecommended for researchers and students interested in appliedprobability as well as practitioners of actuarial sciences.
Wiley Series in Probability and Statistics
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Other editions
Additional editions
Tomasz Rolski | Volka Schmidt
Stochastic Processes for Insurance and Finance
Book
10/2008
Wiley
€107.50
Shipment within 10-20 days
Software
05/2008
Wiley
€190.00
No shipping information available
Tomasz Rolski | Hanspeter Schmidli | Volker Schmidt
Stochastic Processes for Insurance and Finance
Book
01/1999
Wiley
€284.50
Shipment within 10-20 days
Persons
Tomasz Rolski, Mathematical Institute, University of Wroclaw, Poland.
Hanspeter Schmidli, Department of Theoretical Statistics, Aarhus University, Denmark.
Volker Schmidt, Faculty of Mathematics and Economics, University of Ulm, Germany.
Jozef Teugels, Department of Mathematics, Catholic University of Leuven, Belgium.
Content
Concepts from Insurance and Finance.
Probability Distributions.
Premiums and Ordering of Risks.
Distributions of Aggregate Claim Amount.
Risk Processes.
Renewal Processes and Random Walks.
Markov Chains.
Continuous-Time Markov Models.
Martingale Techniques I.
Martingale Techniques II.
Piecewise Deterministic Markov Processes.
Point Processes.
Diffusion Models.
Distribution Tables.
References.
Index.
