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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Lai, T. L., Yang, Hailiang, Yung, Siu Pang
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Singapore ; River Edge : World Scientific, ©2004.
Temas:
Investments > Mathematics > Congresses.
Finance > Mathematical models > Congresses.
Insurance > Statistical methods > Congresses.
Investissements > Mathématiques > Congrès.
Finances > Modèles mathématiques > Congrès.
Assurance > Méthodes statistiques > Congrès.
BUSINESS & ECONOMICS > Investments & Securities > General.
Finance > Mathematical models.
Insurance > Statistical methods.
Investments > Mathematics.
Financiering.
Verzekeringen.
Waarschijnlijkheid (statistiek)
Congress
Conference papers and proceedings.
Actes de congrès.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.

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