Lin Introductory Stochastic Analysis for Finance and Insurance

1. Auflage 2006
ISBN: 978-0-471-79320-5
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 248 Seiten, E-Book

Reihe: Wiley Series in Probability and Statistics

Incorporates the many tools needed for modeling and pricing infinance and insurance
Introductory Stochastic Analysis for Finance and Insuranceintroduces readers to the topics needed to master and use basicstochastic analysis techniques for mathematical finance. The authorpresents the theories of stochastic processes and stochasticcalculus and provides the necessary tools for modeling and pricingin finance and insurance. Practical in focus, the book's emphasisis on application, intuition, and computation, rather thantheory.
Consequently, the text is of interest to graduate students,researchers, and practitioners interested in these areas. While thetext is self-contained, an introductory course in probabilitytheory is beneficial to prospective readers.
This book evolved from the author's experience as an instructor andhas been thoroughly classroom-tested. Following an introduction,the author sets forth the fundamental information and tools neededby researchers and practitioners working in the financial andinsurance industries:
* Overview of Probability Theory
* Discrete-Time stochastic processes
* Continuous-time stochastic processes
* Stochastic calculus: basic topics
The final two chapters, Stochastic Calculus: Advanced Topics andApplications in Insurance, are devoted to more advanced topics.Readers learn the Feynman-Kac formula, the Girsanov's theorem, andcomplex barrier hitting times distributions. Finally, readersdiscover how stochastic analysis and principles are applied inpractice through two insurance examples: valuation of equity-linkedannuities under a stochastic interest rate environment andcalculation of reserves for universal life insurance.
Throughout the text, figures and tables are used to help simplifycomplex theory and pro-cesses. An extensive bibliography opens upadditional avenues of research to specialized topics.
Ideal for upper-level undergraduate and graduate students, thistext is recommended for one-semester courses in stochastic financeand calculus. It is also recommended as a study guide forprofessionals taking Causality Actuarial Society (CAS) and Societyof Actuaries (SOA) actuarial examinations.

Autoren/Hrsg.

Lin, X. Sheldon

Inhaltsverzeichnis

List of Figures.
List of Tables.
Preface.
1. Introduction.
2. Overview of Probability Theory.
3. Discrete-Time Stochastic Processes.
4. Continuous-Time Stochastic Processes.
5. Stochastic Calculus: Basic Topics.
6. Stochastic Calculus: Advanced Topics.
7. Applications in Insurance.
References.
Topic Index.

Über Autor(innen)

X. SHELDON LIN, PhD, ASA, is Professor of Actuarial Sciences in the Department of Statistics, University of Toronto. He is an Associate of the Society of Actuaries and an Associate Editor for North American Actuarial Journal and Insurance: Mathematics and Economics. Dr. Lin's research interests include mathematical finance, actuarial science, and applied probability. He is an author or coauthor of more than 40 research papers in these areas. He jointly received two annual prizes of the Society of Actuaries in 1998 and 2004 for his research in actuarial science.