Probability, Finance And Insurance: Proceedings Of The Workshop at the Unviversity of Hong Kong 15-17 July 2002

by LAI, TZE LEUNG; YANG, HAILIANG; YUNG, SIU PANG

• ISBN13: 9789812388537
• ISBN10: 9812388532
• Format: Hardcover
• Copyright: 2004-09-30
• Publisher: WORLD SCIENTIFIC PUB CO INC

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 acturial 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.

Table of Contents

Preface	v
List of Participants	vi
Limit theorems for moving averages	1	(14)
Tze Leung LAI
On large deviations for moving average processes	15	(35)
Liming WU
Recent progress on self-normalized limit theorems	50	(19)
Qi-Man SHAO
Limit theorems for independent self-normalized sums	69	(13)
Bing-Yi JING
Phase changes in random recursive structures and algorithms	82	(16)
Hsien-Kuei HWANG
Iterated random function system: convergence theorems	98	(14)
Cheng-Der FUH
Asymptotic properties of adaptive designs via strong approximations	112	(24)
Li-Xin ZHANG
Johnson-Mehl tessellations: asymptotics and inferences	136	(14)
Sung Nok CHIU
Rapid simulation of correlated defaults and the valuation of basket default swaps	150	(14)
Zhifeng ZHANG, Kin PANG, Peter COTTON, Chak WONG and Shikhar RANJAN
Optimal consumption and portfolio in a market where the volatility is driven by fractional Brownian motion	164	(10)
Yaozhong HU
MLE for change-point in ARMA-GARCH models with a changing drift	174	(21)
Shiqing LING
Dynamic protection with optimal withdrawal	195	(11)
Hans U. GERBER and Elias Sai Wan SHIU
Ruin probability for a model under Markovian switching regime	206	(12)
Hailiang YANG and G. YIN
Heavy-tailed distributions and their applications	218	(19)
Chun SU and Qihe TANG
The insurance regulatory regime in Hong Kong (with an emphasis on the actuarial aspect)	237
August CHOW