Stochastic Processes for Insurance P

1. Auflage 2009
ISBN: 978-0-470-74363-8
Verlag: Wiley

Buch, Englisch, 672 Seiten, Format (B × H): 152 mm x 229 mm, Gewicht: 960 g

Reihe: Wiley Series in Probability and Statistics

The Wiley Paperback Series makes valuable content more accessible to a new generation of statisticians, mathematicians and scientists.

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 this subject and specifically address:

- the principle concepts of 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 rigorous treatment of insurance risk theory recommended for researchers and students interested in applied probability as well as practitioners of actuarial sciences.

"An excellent text."
—Australian & New Zealand Journal of Statistics

Autoren/Hrsg.

Rolski, Tomasz

Schmidli, Hanspeter

Schmidt, Volka

Schmidt, Volker

Teugels, Jozef L

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines

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

Über Autor(innen)

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.