Rolski / Schmidli / Schmidt Stochastic Processes for Insurance and Finance

1. Auflage 2009
ISBN: 978-0-470-31788-4
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 680 Seiten, E-Book

Reihe: Wiley Series in Probability and Statistics

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

Autoren/Hrsg.

Rolski, Tomasz

Schmidli, Hanspeter

Schmidt, Volker

Teugels, Jozef L.

Inhaltsverzeichnis

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.