Probability Finance And Insurance

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Probability, Finance and Insurance

T. L. Lai,Hailiang Yang,Siu Pang Yung
Probability Finance and Insurance Book PDF

Author : T. L. Lai,Hailiang Yang,Siu Pang Yung
Publisher : World Scientific
Page : 253 pages
File Size : 41,5 Mb
Release : 2004
Category : Business & Economics
ISBN : 9789812702715

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Probability, Finance and Insurance by T. L. Lai,Hailiang Yang,Siu Pang Yung Pdf

This workshop was the first of its kind in bringing together researchers in probability theory, stochastic processes, insurance and finance from mainland China, Taiwan, Hong Kong, Singapore, Australia and the United States. In particular, as China has joined the WTO, there is a growing demand for expertise in actuarial sciences and quantitative finance. The strong probability research and graduate education programs in many of China's universities can be enriched by their outreach in fields that are of growing importance to the country's expanding economy, and the workshop and its proceedings can be regarded as the first step in this direction. This book presents the most recent developments in probability, finance and actuarial sciences, especially in Chinese probability research. It focuses on the integration of probability theory with applications in finance and insurance. It also brings together academic researchers and those in industry and government. With contributions by leading authorities on probability theory OCo particularly limit theory and large derivations, valuation of credit derivatives, portfolio selection, dynamic protection and ruin theory OCo it is an essential source of ideas and information for graduate students and researchers in probability theory, mathematical finance and actuarial sciences, and thus every university should acquire a copy. The proceedings have been selected for coverage in: . OCo Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings). OCo Index to Social Sciences & Humanities Proceedings- (ISSHP- / ISI Proceedings). OCo Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings). OCo CC Proceedings OCo Engineering & Physical Sciences. Contents: Limit Theorems for Moving Averages (T L Lai); On Large Deviations for Moving Average Processes (L Wu); Recent Progress on Self-Normalized Limit Theorems (Q-M Shao); Limit Theorems for Independent Self-Normalized Sums (B-Y Jing); Phase Changes in Random Recursive Structures and Algorithms (H-K Hwang); JohnsonOCoMehl Tessellations: Asymptotics and Inferences (S N Chiu); Rapid Simulation of Correlated Defaults and the Valuation of Basket Default Swaps (Z Zhang et al.); Dynamic Protection with Optimal Withdrawal (H U Gerber & E S W Shiu); Ruin Probability for a Model Under Markovian Switching Regime (H Yang & G Yin); and other papers. Readership: Researchers and graduate students in probability and statistics."

Risk Analysis in Finance and Insurance

Alexander Melnikov
Risk Analysis in Finance and Insurance Book PDF

Author : Alexander Melnikov
Publisher : CRC Press
Page : 267 pages
File Size : 53,8 Mb
Release : 2004-06-02
Category : Mathematics
ISBN : 9781135437459

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Risk Analysis in Finance and Insurance by Alexander Melnikov Pdf

Historically, financial and insurance risks were separate subjects most often analyzed using qualitative methods. The development of quantitative methods based on stochastic analysis is an important achievement of modern financial mathematics, one that can naturally be extended and applied in actuarial mathematics. Risk Analysis in Finance and Insurance offers the first comprehensive and accessible introduction to the ideas, methods, and probabilistic models that have transformed risk management into a quantitative science and led to unified methods for analyzing insurance and finance risks. The author's approach is based on a methodology for estimating the present value of future payments given current financial, insurance, and other information, which leads to proper, practical definitions of the price of a financial contract, the premium for an insurance policy, and the reserve of an insurance company. Self-contained and full of exercises and worked examples, Risk Analysis in Finance and Insurance serves equally well as a text for courses in financial and actuarial mathematics and as a valuable reference for financial analysts and actuaries. Ancillary electronic materials will be available for download from the publisher's Web site.

Financial and Insurance Formulas

Tomas Cipra
Financial and Insurance Formulas Book PDF

Author : Tomas Cipra
Publisher : Springer Science & Business Media
Page : 418 pages
File Size : 50,7 Mb
Release : 2010-07-16
Category : Business & Economics
ISBN : 9783790825930

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Financial and Insurance Formulas by Tomas Cipra Pdf

Financial and insurance calculations become more and more frequent and helpful for many users not only in their profession life but sometimes even in their personal life. Therefore a survey of formulas of ?nancial and insurance mathematics that can be applied to such calculations seems to be a suitable aid. In some cases one should use instead of the term formula more suitable terms of the type method, p- cedure or algorithm since the corresponding calculations cannot be simply summed up to a single expression, and a verbal description without introducing complicated symbols is more appropriate. The survey has the following ambitions: • The formulas should be applicable in practice: it has motivated their choice for this survey ?rst and foremost. On the other hand it is obvious that by time one puts to use in practice seemingly very abstract formulas of higher mathematics, e.g. when pricing ?nancial derivatives, evaluating ?nancial risks, applying accou- ing principles based on fair values, choosing alternative risk transfers ARL in insurance, and the like. • The formulas should be error-free (though such a goal is not achievable in full) since in the ?nancial and insurance framework one publishes sometimes in a h- tic way various untried formulas and methods that may be incorrect. Of course, the formulas are introduced here without proofs because their derivation is not the task of this survey.

Probability, Finance And Insurance, Proceedings Of A Workshop

Siu Pang Yung,Tze Leung Lai,Hailiang Yang
Probability Finance And Insurance Proceedings Of A Workshop Book PDF

Author : Siu Pang Yung,Tze Leung Lai,Hailiang Yang
Publisher : World Scientific
Page : 252 pages
File Size : 51,5 Mb
Release : 2004-06-28
Category : Mathematics
ISBN : 9789814482615

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Probability, Finance And Insurance, Proceedings Of A Workshop by Siu Pang Yung,Tze Leung Lai,Hailiang Yang Pdf

This workshop was the first of its kind in bringing together researchers in probability theory, stochastic processes, insurance and finance from mainland China, Taiwan, Hong Kong, Singapore, Australia and the United States. In particular, as China has joined the WTO, there is a growing demand for expertise in actuarial sciences and quantitative finance. The strong probability research and graduate education programs in many of China's universities can be enriched by their outreach in fields that are of growing importance to the country's expanding economy, and the workshop and its proceedings can be regarded as the first step in this direction.This book presents the most recent developments in probability, finance and actuarial sciences, especially in Chinese probability research. It focuses on the integration of probability theory with applications in finance and insurance. It also brings together academic researchers and those in industry and government. With contributions by leading authorities on probability theory — particularly limit theory and large derivations, valuation of credit derivatives, portfolio selection, dynamic protection and ruin theory — it is an essential source of ideas and information for graduate students and researchers in probability theory, mathematical finance and actuarial sciences, and thus every university should acquire a copy.The proceedings have been selected for coverage in:• Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings® (ISSHP® / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)• CC Proceedings — Engineering & Physical Sciences

Risk and Insurance

Søren Asmussen,Mogens Steffensen
Risk and Insurance Book PDF

Author : Søren Asmussen,Mogens Steffensen
Publisher : Springer Nature
Page : 505 pages
File Size : 45,5 Mb
Release : 2020-04-17
Category : Mathematics
ISBN : 9783030351762

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Risk and Insurance by Søren Asmussen,Mogens Steffensen Pdf

This textbook provides a broad overview of the present state of insurance mathematics and some related topics in risk management, financial mathematics and probability. Both non-life and life aspects are covered. The emphasis is on probability and modeling rather than statistics and practical implementation. Aimed at the graduate level, pointing in part to current research topics, it can potentially replace other textbooks on basic non-life insurance mathematics and advanced risk management methods in non-life insurance. Based on chapters selected according to the particular topics in mind, the book may serve as a source for introductory courses to insurance mathematics for non-specialists, advanced courses for actuarial students, or courses on probabilistic aspects of risk. It will also be useful for practitioners and students/researchers in related areas such as finance and statistics who wish to get an overview of the general area of mathematical modeling and analysis in insurance.

Introductory Stochastic Analysis for Finance and Insurance

X. Sheldon Lin,Society of Actuaries
Introductory Stochastic Analysis for Finance and Insurance Book PDF

Author : X. Sheldon Lin,Society of Actuaries
Publisher : John Wiley & Sons
Page : 224 pages
File Size : 54,9 Mb
Release : 2006-04-21
Category : Mathematics
ISBN : 9780471793205

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Introductory Stochastic Analysis for Finance and Insurance by X. Sheldon Lin,Society of Actuaries Pdf

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.

Stochastic Processes for Insurance and Finance

Tomasz Rolski,Hanspeter Schmidli,V. Schmidt,Jozef L. Teugels
Stochastic Processes for Insurance and Finance Book PDF

Author : Tomasz Rolski,Hanspeter Schmidli,V. Schmidt,Jozef L. Teugels
Publisher : John Wiley & Sons
Page : 680 pages
File Size : 40,8 Mb
Release : 2009-09-25
Category : Mathematics
ISBN : 9780470317884

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Stochastic Processes for Insurance and Finance by Tomasz Rolski,Hanspeter Schmidli,V. Schmidt,Jozef L. Teugels Pdf

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

Statistical Tools for Finance and Insurance

Pavel Cizek,Wolfgang Karl Härdle,Rafał Weron
Statistical Tools for Finance and Insurance Book PDF

Author : Pavel Cizek,Wolfgang Karl Härdle,Rafał Weron
Publisher : Springer Science & Business Media
Page : 518 pages
File Size : 44,6 Mb
Release : 2005-12-06
Category : Business & Economics
ISBN : 9783540273950

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Statistical Tools for Finance and Insurance by Pavel Cizek,Wolfgang Karl Härdle,Rafał Weron Pdf

Written in an accessible and engaging style, this self-instructional book makes a good use of extensive examples and full explanations. The electronic edition, allowing the reader to run, modify, and enhance all quantlets on the spot, can be downloaded at no cost via the attached license registration card.

Risk and Insurance

Søren Asmussen
Risk and Insurance Book PDF

Author : Søren Asmussen
Publisher : Unknown
Page : 505 pages
File Size : 44,9 Mb
Release : 2020
Category : Actuarial science
ISBN : 3030351777

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Risk and Insurance by Søren Asmussen Pdf

This textbook provides a broad overview of the present state of insurance mathematics and some related topics in risk management, financial mathematics and probability. Both non-life and life aspects are covered. The emphasis is on probability and modeling rather than statistics and practical implementation. Aimed at the graduate level, pointing in part to current research topics, it can potentially replace other textbooks on basic non-life insurance mathematics and advanced risk management methods in non-life insurance. Based on chapters selected according to the particular topics in mind, the book may serve as a source for introductory courses to insurance mathematics for non-specialists, advanced courses for actuarial students, or courses on probabilistic aspects of risk. It will also be useful for practitioners and students/researchers in related areas such as finance and statistics who wish to get an overview of the general area of mathematical modeling and analysis in insurance.

Statistical Tools for Finance and Insurance

Pavel Cizek,Wolfgang Karl Härdle,Rafał Weron
Statistical Tools for Finance and Insurance Book PDF

Author : Pavel Cizek,Wolfgang Karl Härdle,Rafał Weron
Publisher : Springer Science & Business Media
Page : 420 pages
File Size : 53,7 Mb
Release : 2011-03-18
Category : Business & Economics
ISBN : 9783642180620

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Statistical Tools for Finance and Insurance by Pavel Cizek,Wolfgang Karl Härdle,Rafał Weron Pdf

Statistical Tools for Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field, this book offers a unique combination of topics from which every market analyst and risk manager will benefit. Features of the significantly enlarged and revised second edition: Offers insight into new methods and the applicability of the stochastic technology Provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations Covers topics such as - expected shortfall for heavy tailed and mixture distributions* - pricing of variance swaps* - volatility smile calibration in FX markets - pricing of catastrophe bonds and temperature derivatives* - building loss models and ruin probability approximation - insurance pricing with GLM* - equity linked retirement plans*(new topics in the second edition marked with*) Presents extensive examples

Risk, Ruin and Survival

Ricardas Zitikis,Jiandong Ren,Kristina Sendova
Risk Ruin and Survival Book PDF

Author : Ricardas Zitikis,Jiandong Ren,Kristina Sendova
Publisher : MDPI
Page : 210 pages
File Size : 46,7 Mb
Release : 2020-04-02
Category : Business & Economics
ISBN : 9783039285167

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Risk, Ruin and Survival by Ricardas Zitikis,Jiandong Ren,Kristina Sendova Pdf

Developing techniques for assessing various risks and calculating probabilities of ruin and survival are exciting topics for mathematically-inclined academics. For practicing actuaries and financial engineers, the resulting insights have provided enormous opportunities but also created serious challenges to overcome, thus facilitating closer cooperation between industries and academic institutions. In this book, several renown researchers with extensive interdisciplinary research experiences share their thoughts that, in one way or another, contribute to the betterment of practice and theory of decision making under uncertainty. Behavioral, cultural, mathematical, and statistical aspects of risk assessment and modelling have been explored, and have been often illustrated using real and simulated data. Topics range from financial and insurance risks to security-type risks, from one-dimensional to multi- and even infinite-dimensional risks. The articles in the book were written with a broad audience in mind and should provide enjoyable reading for those with university level degrees and/or those who have studied for accreditation by various actuarial and financial societies.

Modelling Extremal Events

Paul Embrechts,Claudia Klüppelberg,Thomas Mikosch
Modelling Extremal Events Book PDF

Author : Paul Embrechts,Claudia Klüppelberg,Thomas Mikosch
Publisher : Springer Science & Business Media
Page : 648 pages
File Size : 47,6 Mb
Release : 2013-03-14
Category : Business & Economics
ISBN : 9783642334832

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Modelling Extremal Events by Paul Embrechts,Claudia Klüppelberg,Thomas Mikosch Pdf

"A reader's first impression on leafing through this book is of the large number of graphs and diagrams, used to illustrate shapes of distributions...and to show real data examples in various ways. A closer reading reveals a nice mix of theory and applications, with the copious graphical illustrations alluded to. Such a mixture is of course dear to the heart of the applied probabilist/statistician, and should impress even the most ardent theorists." --MATHEMATICAL REVIEWS

Risk Analysis in Finance and Insurance

Alexander Melnikov
Risk Analysis in Finance and Insurance Book PDF

Author : Alexander Melnikov
Publisher : Chapman and Hall/CRC
Page : 253 pages
File Size : 40,9 Mb
Release : 2004
Category : Business & Economics
ISBN : 1584884290

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Risk Analysis in Finance and Insurance by Alexander Melnikov Pdf

Historically, financial and insurance risks were separate subjects most often analyzed using qualitative methods. The development of quantitative methods based on stochastic analysis is an important achievement of modern financial mathematics, one that can naturally be extended and applied in actuarial mathematics. Risk Analysis in Finance and Insurance offers the first comprehensive and accessible introduction to the ideas, methods, and probabilistic models that have transformed risk management into a quantitative science and led to unified methods for analyzing insurance and finance risks. The author's approach is based on a methodology for estimating the present value of future payments given current financial, insurance, and other information, which leads to proper, practical definitions of the price of a financial contract, the premium for an insurance policy, and the reserve of an insurance company. Self-contained and full of exercises and worked examples, Risk Analysis in Finance and Insurance serves equally well as a text for courses in financial and actuarial mathematics and as a valuable reference for financial analysts and actuaries. Ancillary electronic materials will be available for download from the publisher's Web site.

Semi-Markov Risk Models for Finance, Insurance and Reliability

Jacques Janssen,Raimondo Manca
Semi Markov Risk Models for Finance Insurance and Reliability Book PDF

Author : Jacques Janssen,Raimondo Manca
Publisher : Springer Science & Business Media
Page : 441 pages
File Size : 46,7 Mb
Release : 2007-05-15
Category : Mathematics
ISBN : 9780387707303

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Semi-Markov Risk Models for Finance, Insurance and Reliability by Jacques Janssen,Raimondo Manca Pdf

Everyone working in related fields from applied mathematicians to statisticians to actuaries and operations researchers will find this a brilliantly useful practical text. The book presents applications of semi-Markov processes in finance, insurance and reliability, using real-life problems as examples. After a presentation of the main probabilistic tools necessary for understanding of the book, the authors show how to apply semi-Markov processes in finance, starting from the axiomatic definition and continuing eventually to the most advanced financial tools.

Mathematical and Statistical Methods for Insurance and Finance

Cira Perna,Marilena Sibillo
Mathematical and Statistical Methods for Insurance and Finance Book PDF

Author : Cira Perna,Marilena Sibillo
Publisher : Springer Science & Business Media
Page : 208 pages
File Size : 54,7 Mb
Release : 2007-12-12
Category : Business & Economics
ISBN : 9788847007048

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Mathematical and Statistical Methods for Insurance and Finance by Cira Perna,Marilena Sibillo Pdf

The interaction between mathematicians and statisticians reveals to be an effective approach to the analysis of insurance and financial problems, in particular in an operative perspective. The Maf2006 conference, held at the University of Salerno in 2006, had precisely this purpose and the collection published here gathers some of the papers presented at the conference and successively worked out to this aim. They cover a wide variety of subjects in insurance and financial fields.