This book presents basic stochastic processes, stochastic calculus including Lévy processes on one hand, and Markov and Semi Markov models on the other. From the financial point of view, essential concepts such as the Black and Scholes model, VaR indicators, actuarial evaluation, market values, fair pricing play a central role and will be presented.
The authors also present basic concepts so that this series is relatively self-contained for the main audience formed by actuaries and particularly with ERM (enterprise risk management) certificates, insurance risk managers, students in Master in mathematics or economics and people involved in Solvency II for insurance companies and in Basel II and III for banks.
Author(s): Devolder, Pierre; Janssen, Jacques; Manca, Raimondo
Series: Oregon State monographs. Mathematics and statistics series
Edition: 1
Publisher: Wiley-ISTE
Year: 2015
Language: English
Pages: 326
Tags: Математика;Теория вероятностей и математическая статистика;Теория случайных процессов;
Content: Basic Probabilistic Tools for Stochastic Modeling / Pierre Devolder, Jacques Janssen, Raimondo Manca --
Homogeneous and Non-Homogeneous Renewal Models / Pierre Devolder, Jacques Janssen, Raimondo Manca --
Markov Chains / Pierre Devolder, Jacques Janssen, Raimondo Manca --
Homogeneous and Non-Homogeneous Semi-Markov Models / Pierre Devolder, Jacques Janssen, Raimondo Manca --
Stochastic Calculus / Pierre Devolder, Jacques Janssen, Raimondo Manca --
Lévy Processes / Pierre Devolder, Jacques Janssen, Raimondo Manca --
Actuarial Evaluation, VaR and Stochastic Interest Rate Models / Pierre Devolder, Jacques Janssen, Raimondo Manca.
