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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| Other Authors: | , , |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Singapore ; River Edge :
World Scientific,
©2004.
|
| Subjects: | |
| Online Access: | DE-862 DE-863 |
| Summary: | 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. |
| Physical Description: | 1 online resource (ix, 242 pages) |
| Bibliography: | Includes bibliographical references. |
| ISBN: | 9789812702715 9812702717 |
Staff View
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| 504 | |a Includes bibliographical references. | ||
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| 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. | ||
| 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. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x General. |2 bisacsh | |
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| 650 | 7 | |a Insurance |x Statistical methods |2 fast | |
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| contents | 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. |
| ctrlnum | (OCoLC)260316075 |
| dewey-full | 332.60151 |
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| dewey-ones | 332 - Financial economics |
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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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. 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| genre | Congress https://id.nlm.nih.gov/mesh/D016423 proceedings (reports) aat Conference papers and proceedings fast Conference papers and proceedings. lcgft http://id.loc.gov/authorities/genreForms/gf2014026068 Actes de congrès. rvmgf |
| genre_facet | Congress proceedings (reports) Conference papers and proceedings Conference papers and proceedings. Actes de congrès. |
| id | ZDB-4-EBU-ocn260316075 |
| illustrated | Not Illustrated |
| indexdate | 2025-03-18T14:27:33Z |
| institution | BVB |
| isbn | 9789812702715 9812702717 |
| language | English |
| oclc_num | 260316075 |
| open_access_boolean | |
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| owner_facet | MAIN DE-862 DE-BY-FWS DE-863 DE-BY-FWS |
| physical | 1 online resource (ix, 242 pages) |
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| publishDate | 2004 |
| publishDateSearch | 2004 |
| publishDateSort | 2004 |
| publisher | World Scientific, |
| record_format | marc |
| spelling | Probability, finance and insurance : proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / Tze Leung Lai, Hailiang Yang, Siu Pang Yung, editors. Singapore ; River Edge : World Scientific, ©2004. 1 online resource (ix, 242 pages) text txt rdacontent computer c rdamedia online resource cr rdacarrier polychrome. rdacc http://rdaregistry.info/termList/RDAColourContent/1003 text file rdaft http://rdaregistry.info/termList/fileType/1002 Includes bibliographical references. Print version record. 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. 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. 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. bisacsh Finance Mathematical models fast Insurance Statistical methods fast Investments Mathematics fast Financiering. gtt Verzekeringen. gtt Waarschijnlijkheid (statistiek) gtt Congress https://id.nlm.nih.gov/mesh/D016423 proceedings (reports) aat Conference papers and proceedings fast Conference papers and proceedings. lcgft http://id.loc.gov/authorities/genreForms/gf2014026068 Actes de congrès. rvmgf Lai, T. L. http://id.loc.gov/authorities/names/n84198751 Yang, Hailiang. http://id.loc.gov/authorities/names/no2005006572 Yung, Siu Pang. http://id.loc.gov/authorities/names/no2005006571 has work: Probability, Finance and Insurance (Text) https://id.oclc.org/worldcat/entity/E39PCGxgYfXvPCBxdWjJ9t8mYd https://id.oclc.org/worldcat/ontology/hasWork Print version: Probability, finance and insurance. Singapore ; River Edge : World Scientific, ©2004 9812388532 9789812388537 (OCoLC)56716861 |
| spellingShingle | Probability, finance and insurance : proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / 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. 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. bisacsh Finance Mathematical models fast Insurance Statistical methods fast Investments Mathematics fast Financiering. gtt Verzekeringen. gtt Waarschijnlijkheid (statistiek) gtt |
| subject_GND | https://id.nlm.nih.gov/mesh/D016423 http://id.loc.gov/authorities/genreForms/gf2014026068 |
| title | Probability, finance and insurance : proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / |
| title_auth | Probability, finance and insurance : proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / |
| title_exact_search | Probability, finance and insurance : proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / |
| title_full | Probability, finance and insurance : proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / Tze Leung Lai, Hailiang Yang, Siu Pang Yung, editors. |
| title_fullStr | Probability, finance and insurance : proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / Tze Leung Lai, Hailiang Yang, Siu Pang Yung, editors. |
| title_full_unstemmed | Probability, finance and insurance : proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / Tze Leung Lai, Hailiang Yang, Siu Pang Yung, editors. |
| title_short | Probability, finance and insurance : |
| title_sort | probability finance and insurance proceedings of a workshop at the university of hong kong hong kong 15 17 july 2002 |
| title_sub | proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / |
| topic | 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. bisacsh Finance Mathematical models fast Insurance Statistical methods fast Investments Mathematics fast Financiering. gtt Verzekeringen. gtt Waarschijnlijkheid (statistiek) gtt |
| topic_facet | 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 proceedings (reports) Conference papers and proceedings Conference papers and proceedings. Actes de congrès. |
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