Special Issue "Application of Stochastic Processes in Insurance"
A special issue of Risks (ISSN 2227-9091).
Deadline for manuscript submissions: closed (1 November 2013) | Viewed by 47521
Interests: insurance mathematics; ruin theory; path dependent options; point processes
Interests: insurance mathematics; ruin theory; path dependent options; point processes; financial mathematics; excursion theory
Special Issues, Collections and Topics in MDPI journals
Stochastic methods have been intensively used in insurance for a very long time, making the application of stochastic processes in this domain a well-established field both for asset and liability modeling. For example, several kinds of stochastic processes generalizing the classical Cramér-Lundberg model have been successful in the modeling of both the timing and the size of losses. These include dynamics incorporating returns on investments, reinsurance, dividends and taxes as well as stochastic dependence structure between claims amounts and/or arrival times. On the other hand, the management of both pension funds and sophisticated savings products has recently required the use of stochastic processes for modeling several type of risks such as longevity, mortality and policyholders behaviors risks. This volume aim to highlight these diverse applications of stochastic processes in insurance.
Prof. Dr. Pierre Patie
Dr. Angelos Dassios
Prof. Dr. Erhan Bayraktar
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