Generalized Poisson Models And Their Applications In Insurance And Finance
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Generalized Poisson Models And Their Applications In Insurance And Finance
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Author : Vladimir E. Bening
language : en
Publisher: Walter de Gruyter
Release Date : 2012-06-11
Generalized Poisson Models And Their Applications In Insurance And Finance written by Vladimir E. Bening and has been published by Walter de Gruyter this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-06-11 with Business & Economics categories.
The series is devoted to the publication of high-level monographs and surveys which cover the whole spectrum of probability and statistics. The books of the series are addressed to both experts and advanced students.
Generalized Poisson Models And Their Applications In Insurance And Finance
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Author : Vladimir E. Bening
language : en
Publisher: VSP
Release Date : 2002-01-01
Generalized Poisson Models And Their Applications In Insurance And Finance written by Vladimir E. Bening and has been published by VSP this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-01-01 with Science categories.
This volume in the "Modern Probability and Statistics series aims to fill the gap in existing literature on compound Cox processes, i.e. sums of independent identically distributed random variables up to a doubly stochastic Poisson process, which are very important, especially for insurance and financial applications where they provide good asymptotic approximations for basic characteristics such as the distributions of the surplus of an insurance company under risk and portfolio fluctuations or of increments of stock prices under non-constant intensity of trade. It presents the present state-of-the-art in the field of compound Cox processes and their applications in insurance and finance. Besides a review of well-known classical results on compound and mixed Poisson processes and risk theory, it contains many new, recently obtained results by the authors. Among these are: new convergence criteria, convergence rate estimates, asymptotic expansions for quantiles of stochastic processes and many others. From the applied problems considered in this book, four deserve to be mentioned especially: 1) modelling the distribution of increments of stock prices, closely connected with prediction of the behaviour of financial indexes; 2) the description of asymptotic behaviour of the so-called generalized risk processes, which take into account both risk and portfolio fluctuations; 3) statistical estimation of the probability of ruin for a generalized risk process; 4) construction of refined approximations to the ruin probability, based on its asymptotic expansions with small safety loading. This book will be of great value to specialists in applied probability and to those who use modelsand methods of probability theory to solve practical problems in the fields of insurance and finance.
Generalized Poisson Models And Their Applications In Insurance And Finance
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Author : Victor Yu Korolev
language : en
Publisher:
Release Date :
Generalized Poisson Models And Their Applications In Insurance And Finance written by Victor Yu Korolev and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
Stability Problems For Stochastic Models Theory And Applications
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Author : Alexander Zeifman
language : en
Publisher: MDPI
Release Date : 2021-03-05
Stability Problems For Stochastic Models Theory And Applications written by Alexander Zeifman and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-03-05 with Mathematics categories.
The aim of this Special Issue of Mathematics is to commemorate the outstanding Russian mathematician Vladimir Zolotarev, whose 90th birthday will be celebrated on February 27th, 2021. The present Special Issue contains a collection of new papers by participants in sessions of the International Seminar on Stability Problems for Stochastic Models founded by Zolotarev. Along with research in probability distributions theory, limit theorems of probability theory, stochastic processes, mathematical statistics, and queuing theory, this collection contains papers dealing with applications of stochastic models in modeling of pension schemes, modeling of extreme precipitation, construction of statistical indicators of scientific publication importance, and other fields.
Backward Stochastic Differential Equations With Jumps And Their Actuarial And Financial Applications
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Author : Łukasz Delong
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-12
Backward Stochastic Differential Equations With Jumps And Their Actuarial And Financial Applications written by Łukasz Delong and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-12 with Mathematics categories.
Backward stochastic differential equations with jumps can be used to solve problems in both finance and insurance. Part I of this book presents the theory of BSDEs with Lipschitz generators driven by a Brownian motion and a compensated random measure, with an emphasis on those generated by step processes and Lévy processes. It discusses key results and techniques (including numerical algorithms) for BSDEs with jumps and studies filtration-consistent nonlinear expectations and g-expectations. Part I also focuses on the mathematical tools and proofs which are crucial for understanding the theory. Part II investigates actuarial and financial applications of BSDEs with jumps. It considers a general financial and insurance model and deals with pricing and hedging of insurance equity-linked claims and asset-liability management problems. It additionally investigates perfect hedging, superhedging, quadratic optimization, utility maximization, indifference pricing, ambiguity risk minimization, no-good-deal pricing and dynamic risk measures. Part III presents some other useful classes of BSDEs and their applications. This book will make BSDEs more accessible to those who are interested in applying these equations to actuarial and financial problems. It will be beneficial to students and researchers in mathematical finance, risk measures, portfolio optimization as well as actuarial practitioners.
Modern Problems In Insurance Mathematics
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Author : Dmitrii Silvestrov
language : en
Publisher: Springer
Release Date : 2014-06-06
Modern Problems In Insurance Mathematics written by Dmitrii Silvestrov and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-06 with Business & Economics categories.
This book is a compilation of 21 papers presented at the International Cramér Symposium on Insurance Mathematics (ICSIM) held at Stockholm University in June, 2013. The book comprises selected contributions from several large research communities in modern insurance mathematics and its applications. The main topics represented in the book are modern risk theory and its applications, stochastic modelling of insurance business, new mathematical problems in life and non-life insurance and related topics in applied and financial mathematics. The book is an original and useful source of inspiration and essential reference for a broad spectrum of theoretical and applied researchers, research students and experts from the insurance business. In this way, Modern Problems in Insurance Mathematics will contribute to the development of research and academy–industry co-operation in the area of insurance mathematics and its applications.
Quantitative Risk Management
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Author : Alexander J. McNeil
language : en
Publisher: Princeton University Press
Release Date : 2015-05-26
Quantitative Risk Management written by Alexander J. McNeil and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-05-26 with Business & Economics categories.
This book provides the most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management. Whether you are a financial risk analyst, actuary, regulator or student of quantitative finance, Quantitative Risk Management gives you the practical tools you need to solve real-world problems. Describing the latest advances in the field, Quantitative Risk Management covers the methods for market, credit and operational risk modelling. It places standard industry approaches on a more formal footing and explores key concepts such as loss distributions, risk measures and risk aggregation and allocation principles. The book's methodology draws on diverse quantitative disciplines, from mathematical finance and statistics to econometrics and actuarial mathematics. A primary theme throughout is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. Proven in the classroom, the book also covers advanced topics like credit derivatives. Fully revised and expanded to reflect developments in the field since the financial crisis Features shorter chapters to facilitate teaching and learning Provides enhanced coverage of Solvency II and insurance risk management and extended treatment of credit risk, including counterparty credit risk and CDO pricing Includes a new chapter on market risk and new material on risk measures and risk aggregation
Limit Theorems For Randomly Stopped Stochastic Processes
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Author : Dmitrii S. Silvestrov
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Limit Theorems For Randomly Stopped Stochastic Processes written by Dmitrii S. Silvestrov and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
Limit theorems for stochastic processes are an important part of probability theory and mathematical statistics and one model that has attracted the attention of many researchers working in the area is that of limit theorems for randomly stopped stochastic processes. This volume is the first to present a state-of-the-art overview of this field, with many of the results published for the first time. It covers the general conditions as well as the basic applications of the theory, and it covers and demystifies the vast, and technically demanding, Russian literature in detail. A survey of the literature and an extended bibliography of works in the area are also provided. The coverage is thorough, streamlined and arranged according to difficulty for use as an upper-level text if required. It is an essential reference for theoretical and applied researchers in the fields of probability and statistics that will contribute to the continuing extensive studies in the area andremain relevant for years to come.
Perturbed Semi Markov Type Processes I
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Author : Dmitrii Silvestrov
language : en
Publisher: Springer Nature
Release Date : 2022-03-25
Perturbed Semi Markov Type Processes I written by Dmitrii Silvestrov and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-03-25 with Mathematics categories.
This book is the first volume of a two-volume monograph devoted to the study of limit and ergodic theorems for regularly and singularly perturbed Markov chains, semi-Markov processes, and multi-alternating regenerative processes with semi-Markov modulation. The first volume presents necessary and sufficient conditions for weak convergence for first-rare-event times and convergence in the topology J for first-rare-event processes defined on regularly perturbed finite Markov chains and semi-Markov processes. The text introduces new asymptotic recurrent algorithms of phase space reduction. It also addresses both effective conditions of weak convergence for distributions of hitting times as well as convergence of expectations of hitting times for regularly and singularly perturbed finite Markov chains and semi-Markov processes. The book also contains a comprehensive bibliography of major works in the field. It provides an effective reference for both graduate students as well as theoretical and applied researchers studying stochastic processes and their applications.
American Type Options
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Author : Dmitrii S. Silvestrov
language : en
Publisher: Walter de Gruyter
Release Date : 2013-11-27
American Type Options written by Dmitrii S. Silvestrov and has been published by Walter de Gruyter this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-27 with Mathematics categories.
The book gives a systematical presentation of stochastic approximation methods for models of American-type options with general pay-off functions for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on convergence of stochastic space skeleton and tree approximations for option rewards are applied to a variety of models of multivariate modulated Markov price processes. The principal novelty of presented results is based on consideration of multivariate modulated Markov price processes and general pay-off functions, which can depend not only on price but also an additional stochastic modulating index component, and use of minimal conditions of smoothness for transition probabilities and pay-off functions, compactness conditions for log-price processes and rate of growth conditions for pay-off functions. The book also contains an extended bibliography of works in the area. This book is the first volume of the comprehensive two volumes monograph. The second volume will present results on structural studies of optimal stopping domains, Monte Carlo based approximation reward algorithms, and convergence of American-type options for autoregressive and continuous time models, as well as results of the corresponding experimental studies.