|
|
|
PROBABILITY, FINANCE AND INSURANCE
Proceedings of a Workshop
The University of Hong Kong 15 - 17 July 2002
edited by Tze Leung Lai (Stanford University, USA), Hailiang Yang & Siu Pang Yung (The University of Hong Kong, China)
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
Contents:
- Limit Theorems for Moving Averages (T L Lai)
- On Large Deviations
for Moving Average Processes (L Wu)
- Recent Progress on Self-Normalized Limit Theorems (Q-M Shao)
- Limit Theorems for Independent Self-Normalized Sums (B-Y Jing)
- Phase Changes in Random Recursive Structures and Algorithms (H-K Hwang)
- Johnson–Mehl Tessellations: Asymptotics and Inferences (S N Chiu)
- Rapid Simulation of Correlated Defaults and the Valuation of Basket Default Swaps (Z Zhang et al.)
- Dynamic Protection with Optimal Withdrawal (H U Gerber & E S W Shiu)
- Ruin Probability for a Model Under Markovian Switching Regime (H Yang & G Yin)
- and other papers
Readership: Researchers and graduate students in probability and statistics.
| 252pp |
Pub. date: Jun 2004 |
|
|
