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1、StochasticProcessesforInsuranceandFinanceAugust5,1998TomaszRolskiMathematicalInstitute,UniversityofWroclaw,PolandHanspeterSchmidliDepartmentofTheoreticalStatistics,AarhusUniversity,DenmarkVolkerSchmidtFacultyofMathematicsandEconomics,UniversityofUlm,GermanyJozef
2、L.TeugelsDepartmentofMathematics,CatholicUniversityofLeuven,BelgiumJOHNWILEY&SONSChichester.NewYork.Brisbane.Toronto.SingaporePrefaceThisbookisdesignedforabeginningoranintermediategraduatecourseinstochasticmodelling.Itisintendedforaseriousstudentinprobabilitythe
3、ory,statistics,actuarialsciencesorfinancialmathematics.Theoverallobjectiveofthemanuscript,istomakethebasicconceptsofstochasticmodellingandinsuranceaccessibletostudentsandresearchworkersinacomprehensivemanner.Renewaltheory,randomwalks,discreteandcontinuous-timeMar
4、kovprocesses,martingaletheoryandpointprocessesareamongthemajorsubjectstreated.Theselectionofthetopicshasbeenlargelymadeonthebasisoftheirrelevancewithinanactuarialorfinancialcontext.Inthissense,thebookisratherspecial.Ontheotherhand,onecouldhavewrittenasimilartextb
5、ookbutwithqueueingtheoryorstochasticnetworksasscrutinizingsubject.Afewwordsareinorderabouttheselectionoftopics.Notonlyspacelimitationshaveforcedustomakeachoicefromtheunionofstochasticprocesses,actuarialmathematicsandmathematicsoffinance.Eachoneoftheauthors,coming
6、fromfourEuropeancountries,hadalistoffavouritetopicswhenthewritingprojectgotinthestartingblocks.Oneadvantageofusinginsurancequestionsasguidelinesintheselectionofthetopics,isthatthetreatedsubjectsgainincoherence.Anotherfacetisthatanyimportantactuarialproblemishigh
7、lightedfromavarietyofdifferentstochasticangles.Apossibledisadvantagemightbethatimportantsubjectsarenotdulytreated.Weconsiderthetopicsthatarecoveredasthebasicintersectionofstochasticmodelling,insurancemathematicsandfinancialmathematics.Asaresult,weonlygiveafeweleme
8、ntsofbranchingprocessesorofjump-diffusionprocesses.Inthesamefashion,wedonotcovercredibilitytheory,IBNRclaims(IBNR=incurredbutnotreported)ortopicsfromadvancedfinance.Ont
