Wednesday, July 8, 2009
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
.
Review:
"...an excellent text..." -- Australian & New Zealand Journal of Statistics
This book is designed for a beginning or an intermediate graduate course in
stochastic modelling. It is intended for a serious student in probability theory,
statistics, actuarial sciences or financial mathematics. The overall objective is
to make the basic concepts of stochastic modelling and insurance accessible to
students and research workers in a comprehensive manner. Renewal theory,
random walks, discrete and continuowtime Markov processes, martingde
theory and point processes are among the major subjects treated. The
selection of the topics has been largely made on the basis of their relevance
within an actuarial or financial context. In this sense, the book is rather
special. On the other hand, one could have written a similar textbook but
with queueing theory or stochastic networks as the scrutinizing subject.
A few words are in order about the selection of topics. Space limitations have
forced us to make a choice from stochastic processes, actuarial mathematics
and the mathematics of finance. Also, each one of the authors, coming from
four European countries, had a list of favourite topics when the writing project
began
Product Details:
Hardcover: 680 pages
Publisher: Wiley; 1 edition (March 31, 1999)
Language: English
ISBN-10: 0471959251
ISBN-13: 978-0471959250
