Probability, Finance And Insurance, Proceedings Of A Workshop
- 252 pages
- English
- PDF
- Available on iOS & Android
Probability, Finance And Insurance, Proceedings Of A Workshop
About this book
This workshop was the first of its kind in bringing together researchers in probability theory, stochastic processes, insurance and finance from mainland China, Taiwan, Hong Kong, Singapore, Australia and the United States. In particular, as China has joined the WTO, there is a growing demand for expertise in actuarial sciences and quantitative finance. The strong probability research and graduate education programs in many of China's universities can be enriched by their outreach in fields that are of growing importance to the country's expanding economy, and the workshop and its proceedings can be regarded as the first step in this direction.This book presents the most recent developments in probability, finance and actuarial sciences, especially in Chinese probability research. It focuses on the integration of probability theory with applications in finance and insurance. It also brings together academic researchers and those in industry and government. With contributions by leading authorities on probability theory — particularly limit theory and large derivations, valuation of credit derivatives, portfolio selection, dynamic protection and ruin theory — it is an essential source of ideas and information for graduate students and researchers in probability theory, mathematical finance and actuarial sciences, and thus every university should acquire a copy.The proceedings have been selected for coverage in:• Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings® (ISSHP® / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)• CC Proceedings — Engineering & Physical Sciences
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Table of contents
- CONTENTS
- Preface
- List of Participants
- Limit theorems for moving averages
- On large deviations for moving average processes
- Recent progress on self-normalized limit theorems
- Limit theorems for independent self-normalized sums
- Phase changes in random recursive structures and algorithms
- Iterated random function system: convergence theorems
- Asymptotic properties of adaptive designs via strong approximations
- Johnson-Mehl tessellations: asymptotics and inferences
- Rapid simulation of correlated defaults and the valuation of basket default swaps
- Optimal consumption and portfolio in a market where the volatility is driven by fractional Brownian motion
- MLE for change-point in ARMA-GARCH models with a changing drift
- Dynamic protection with optimal withdrawal
- Ruin probability for a model under Markovian switching regime
- Heavy-tailed distributions and their applications
- The insurance regulatory regime in Hong Kong (with an emphasis on the actuarial aspect)