Committee login






Small thumbnail

Reliability Investigation of LED Devices for Public Light Applications

Durability, Robustness and Reliability of Photonic Devices Set

Small thumbnail

Aerospace Actuators 2

Signal-by-Wire and Power-by-Wire

Small thumbnail

Flash Memory Integration

Performance and Energy Considerations

Small thumbnail

Mechanics of Aeronautical Solids, Materials and Structures

Small thumbnail

Engineering Investment Process

Making Value Creation Repeatable

Small thumbnail

Space Strategy

Small thumbnail

Distributed Systems

Concurrency and Consistency

Small thumbnail

Fatigue of Textile and Short Fiber Reinforced Composites

Durability and Ageing of Organic Composite Materials Set Volume 1

Small thumbnail

Management of the Effects of Coastal Storms

Policy, Scientific and Historical Perspectives

Small thumbnail

Computational Color Science

Variational Retinex-like Methods

Small thumbnail

Basic Stochastic Processes

Pierre Devolder, University of West Brittany, Brest, France Jacques Janssen, Solvay Business School, Brussels, Belgium Raimondo Manca, University of Roma, Italy

ISBN: 9781848218826

Publication Date: August 2015   Hardback   326 pp.

130.00 USD

Add to cart


Ebook Ebook


In this book, the authors focus on two big families of stochastic processes: stochastic calculus, including Lévy processes, and Markov and semi-Markov models. From a financial point of view, essential concepts such as the Black and Scholes model, VaR indicators, actuarial evaluation, market values and fair pricing play a central role and will be presented.
The first chapter presents the essential probability tools for understanding stochastic models in insuranceand the next three chapters are respectively devoted to renewal processes, Markov chains and semi-Markov processes in both homogeneous and non-homogeneous time.
Chapter 5 gives the bases of stochastic calculus, whilst Chapter 6 is devoted to Lévy processes.
Finally, Chapter 7 presents a summary of Solvency II rules, actuarial evaluation, using stochastic instantaneous interest rate models and VaR methodology in risk management.
The authors also present basic concepts so that the book is relatively self-contained, at least for the main audience formed of actuaries (particularly those with the ERM certificate), insurance risk managers, Masters students in mathematics or economics and those involved in Solvency II for insurance companies and in Basel II and III for banking.


1. Basic Probabilistic Tools for Stochastic Modeling.
2. Homogeneous and Non-homogeneous Renewal Models.
3. Markov Chains.
4. Homogeneous and Non-homogeneous Semi-Markov Models.
5. Stochastic Calculus.
6. Lévy Processes.
7. Actuarial Evaluation, VaR and Stochastic Interest Rate Models.

About the Authors

Pierre Devolder is Professor of quantitative finance and actuarial sciences.
Jacques Janssen is Honorary Professor at the Solvay Business School in Brussels, Belgium and a member of Belgian, Swiss and French actuarial associations. His main research interests include stochastic processes, financial and actuarial mathematics, operations research and data mining.
Raimondo Manca is Professor of mathematical methods applied to economics, finance and actuarial science.


DownloadTable of Contents - PDF File - 126 Kb

Related Titles

0.02069 s.