Stochastic Processes for Insurance & Finance
Gebonden Engels 1999 9780471959250Samenvatting
Stochastic Processes for Insurance and Finance offers a thorough yet accessible reference for researchers and practitioners of insurance mathematics. Building on recent and rapid developments in applied probability, the authors describe in general terms models based on Markov processes, martingales and various types of point processes.
Discussing frequently asked insurance questions, the authors present a coherent overview of the subject and specifically address:
The principal concepts from insurance and finance
Practical examples with real life data
Numerical and algorithmic procedures essential for modern insurance practices
Assuming competence in probability calculus, this book will provide a fairly rigorous treatment of insurance risk theory recommended for researchers and students interested in applied probability as well as practitioners of actuarial sciences.
Wiley Series in Probability and Statistics
Specificaties
Lezersrecensies
Inhoudsopgave
<p>Probability Distributions.</p>
<p>Premiums and Ordering of Risks.</p>
<p>Distributions of Aggregate Claim Amount.</p>
<p>Risk Processes.</p>
<p>Renewal Processes and Random Walks.</p>
<p>Markov Chains.</p>
<p>Continuous–Time Markov Models.</p>
<p>Martingale Techniques I.</p>
<p>Martingale Techniques II.</p>
<p>Piecewise Deterministic Markov Processes.</p>
<p>Point Processes.</p>
<p>Diffusion Models.</p>
<p>Distribution Tables.</p>
<p>References.</p>
<p>Index.</p>
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