Stochastic Processes for Insurance and Finance / Edition 1

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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:

  1. the principle concepts of insurance and finance
  2. practical examples with real life data
  3. 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

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Editorial Reviews

A text/reference for students of probability theory, statistics, actuarial sciences, or financial mathematics, in beginning and intermediate graduate courses in stochastic modeling. Renewal theory, random walks, discrete and continuous-time Markov processes, martingale theory, and point processes are among the major topics treated. Topics have been selected on the basis of their relevance within an actuarial or financial context. Overviews principle concepts of insurance and finance, details numerical and algorithmic procedures essential for modern insurance practices, and offers practical examples with real life data. Annotation c. Book News, Inc., Portland, OR (
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Product Details

Table of Contents

List of Principal Notation
1 Concepts from Insurance and Finance 1
2 Probability Distributions 23
3 Premiums and Ordering of Risks 79
4 Distributions of Aggregate Claim Amount 99
5 Risk Processes 147
6 Renewal Processes and Random Walks 205
7 Markov Chains 269
8 Continuous-Time Markov Models 309
9 Martingale Techniques I 375
10 Martingale Techniques II 403
11 Piecewise Deterministic Markov Processes 437
12 Point Processes 483
13 Diffusion Models 553
Distribution Tables 609
References 617
Index 639
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