Stochastic Processes for Insurance & Finance

Stochastic Processes for Insurance & Finance

Author(s): Tomasz Rolski, Hanspeter Schmidli, Volker Schmidt, Jozef Teugels

Published Online: 27 MAY 2008

Print ISBN: 9780471959250

Online ISBN: 9780470317044

DOI: 10.1002/9780470317044

About this Book

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

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