List of Tables.
2. Overview of Probability Theory.
3. Discrete-Time Stochastic Processes.
4. Continuous-Time Stochastic Processes.
5. Stochastic Calculus: Basic Topics.
6. Stochastic Calculus: Advanced Topics.
7. Applications in Insurance.
"The actuarial topics discussed by the author are absolutely nonstandard and provide a strong point in favor of this book compared to its competitors…" (Mathematical Reviews, Issue 2007a)
"…very suitable for practitioners who just need to understand the main connections between some financial concepts and stochastic analysis." (MAA Reviews, April 30, 2006)
- It has been class-tested extensively in a variety of financial environments.
- It is written at a level which is friendly to actuaries, i.e. devoid of heavy proofs.
- There is an extensive bibliography at the rear of the book that serves as a primary source for new and timely publications in a constantly changing, dynamic marketplace.
- The last two chapters are devoted to advanced topics, such as the Feynman-Kac Formula, the Girsanov Theorem and complex barrier hitting times and two specific insurance applications, valuation of an equity-indexed annuity under a stochastic interest rate environment and calculated reserve for Universal Life.
- Unlike most introductory texts in probability theory, attention is paid to:
- the notion of information structure and how it relates to a probability space and a random variable.
- the notion of conditional probability and conditional expectation, and their respective calculations.