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Probability, finance and insurance : proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 /
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 ex...
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Singapore ; River Edge :
World Scientific,
©2004.
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| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 245 | 0 | 0 | |a Probability, finance and insurance : |b proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / |c Tze Leung Lai, Hailiang Yang, Siu Pang Yung, editors. |
| 260 | |a Singapore ; |a River Edge : |b World Scientific, |c ©2004. | ||
| 300 | |a 1 online resource (ix, 242 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 504 | |a Includes bibliographical references. | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a Limit theorems for moving averages / Tze Leung Lai -- On large deviations for moving average processes / Liming Wu -- Recent progress on self-normalized limit theorems / Qi-Man Shao -- Limit theorems for independent self-normalized sums / Bing-Yi Jing -- Phase changes in random recursive structures and algorithms / Hsien-Kuei Hwang -- Iterated random function system: convergence theorems / Cheng-Der Fuh -- Asymptotic properties of adaptive designs via strong approximations / Li-Xin Zhang -- Johnson-Mehl tessellations: asymptotics and inferences / Sung Nok Chiu -- Rapid simulation of correlated defaults and the valuation of basket default swaps / Zhifeng Zhang [and others] -- Optimal consumption and portfolio in a market where the volatility is driven by fractional Brownian motion / Yaozhong Hu -- MLE for change-point in ARMA-GARCH models with a changing drift / Shiqing Ling -- Dynamic protection with optimal withdrawal / Hans U. Gerber and Elias Sai Wan Shiu -- Ruin probability for a model under Markovian switching regime / Hailiang Yang and G. Yin -- Heavy-tailed distributions and their applications / Chun Su and Qihe Tang -- The insurance regulatory regime in Hong Kong (with an emphasis on the actuarial aspect) / August Chow. | |
| 520 | |a 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. | ||
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| 650 | 0 | |a Investments |x Mathematics |v Congresses. | |
| 650 | 0 | |a Finance |x Mathematical models |v Congresses. | |
| 650 | 0 | |a Insurance |x Statistical methods |v Congresses. | |
| 650 | 6 | |a Investissements |x Mathématiques |v Congrès. | |
| 650 | 6 | |a Finances |x Modèles mathématiques |v Congrès. | |
| 650 | 6 | |a Assurance |x Méthodes statistiques |v Congrès. | |
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| 700 | 1 | |a Lai, T. L. | |
| 700 | 1 | |a Yang, Hailiang. | |
| 700 | 1 | |a Yung, Siu Pang. | |
| 776 | 0 | 8 | |i Print version: |t Probability, finance and insurance. |d Singapore ; River Edge : World Scientific, ©2004 |z 9812388532 |z 9789812388537 |w (OCoLC)56716861 |
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