文档介绍：Stochastic Processes for
Insurance and Finance
August 5, 1998
Tomasz Rolski
Mathematical Institute, University of Wroc law, Poland
Hanspeter Schmidli
Department of Theoretical Statistics, Aarhus University, Denmark
Volker Schmidt
Faculty of Mathematics and Economics, University of Ulm, Germany
Jozef L. Teugels
Department of Mathematics, Catholic University of Leuven, Belgium
JOHN WILEY & SONS
Chichester . New York . Brisbane . Toronto . Singapore
Preface
This book is designed for a beginning or an intermediate graduate course in
stochastic modelling. It is intended for a serious student in probability theory,
statistics, actuarial sciences or financial mathematics. The overall objective of
the manuscript, is to make the basic concepts of stochastic modelling and
insurance accessible to students and research workers in prehensive
manner. Renewal theory, random walks, discrete and continuous-time Markov
processes, martingale theory and point processes are among the major subjects
treated. The selection of the topics has been largely made on the basis of their
relevance within an actuarial or financial context. In this sense, the book is
rather special. On the other hand, one could have written a similar textbook
but with queueing theory or works as scrutinizing subject.
A few words are in order about the selection of topics. Not only space
limitations have forced us to make a choice from the union of stochastic
processes, actuarial mathematics and mathematics of finance. Each one of
the authors, coming from four European countries, had a list of favourite
topics when the writing project got in the starting blocks.
One advantage of using insurance questions as guidelines in the selection
of the topics, is that the treated subjects gain in coherence. Another facet
is that any important actuarial problem is highlighted from a variety of
different stochastic angles. A possible disadvantage might be that important
subjects are not duly treat