Basic Stochastic Process

Erscheinungsjahr 2015
ISBN: 978-1-78548-024-9
Verlag: ISTE Press Ltd - Elsevier Inc

Buch, Englisch, 225 Seiten, Format (B × H): 152 mm x 229 mm, Gewicht: 513 g

The first three volumes of this series present new stochastic models both for non-life and life insurance and their practical applications. This series presents the basic concepts in a self-contained format, ideal for actuaries holding an ERM (enterprise risk management) certificate, insurance risk managers, and postgraduate students within the field of mathematics or economics and practitioners using either Solvency II for insurance companies and Basel II and III for banking systems. This first book presents the basic stochastic processes which are reflected in the proceeding volumes, focusing on the two largest families of stochastic processes: stochastic calculus, including Lévy processes, and Markov and Semi Markov models.

Zielgruppe

<p>Actuaries, particularly with ERM (enterprise risk management) certificate, insurance risk managers, students in Master in mathematics or economic and people involved in Solvency II for insurance companies and in Basel II and III for banks</p>

Autoren/Hrsg.

Devolder, Pierre

Janssen, Jacques

Manca, Raimondo

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik

Inhaltsverzeichnis

Chapter 1: Basic Probabilistic Tools for Stochastic Modeling Chapter 2: Homogeneous and Non- Homogeneous Renewal Models Chapter 3: Markov Chains Chapter 4: Homogeneous and Non- Homogeneous Semi-Markov Models Chapter 5: Stochastic Calculus Chapter 6: Lévy Processes Chapter 7: Actuarial Evaluation, VaR and Stochastic Interest Rate Models