Risk and Stochastics
eBook - ePub

Risk and Stochastics

Ragnar Norberg

  1. 320 pages
  2. English
  3. ePUB (mobile friendly)
  4. Available on iOS & Android
eBook - ePub

Risk and Stochastics

Ragnar Norberg

Book details
Table of contents
Citations

About This Book

with an autobiography from Ragnar Norberg

The Risk and Stochastics Conference, held at the Royal Statistical Society in April 2015, brought together academics from the worlds of actuarial science, stochastic calculus, finance and statistics to celebrate the achievements of Professor Ragnar Norberg as he turned 70. After the conference, Ragnar Norberg suddenly fell very ill and passed away; this book honours his life and work.

This collection of articles is written by speakers of the conference, themselves respected academics who have influenced and been influenced by the life and work of Professor Norberg. His professional and academic achievements are celebrated here, most significantly the instrumental work he put into setting up the world-renowned Risk and Stochastics Enterprise at the London School of Economics (LSE). Subjects covered include discussion of risk measurements, ruin constraint, supporting stable pensions, filtration in discrete time, Riesz means and Beurling moving averages and orthonormal polynomial expansions. Also featured are notes from contributors giving account of their personal relations with Professor Norberg, as well as an autobiographical chapter from the man himself.

Aimed at graduate level students and researchers interested in the life and work of Ragnar Norberg, this book provides a unique opportunity to reflect on and understand key findings and ground-breaking research in modern actuarial and financial mathematics and their interface, while giving intimate insights into the life of a leading academic mind.

Contents:

  • Foreword
  • Letter from Vibeke
  • Letter from Christian Hipp
  • Letter from Knut K Aase
  • Letter from Hans Föllmer
  • Letter from Freddy Delbaen
  • Letter from Monique Jeanblanc
  • Letter from Nick Bingham
  • Letter from Odd O Aalen
  • Letter from Angelos Dassios
  • Letter from Søren Asmussen
  • Letter from Tomas Björk
  • The Work of Ragnar Norberg (N H Bingham)
  • Maybe You Chose the Wrong Niche in Life, Norberg Ragnar (Ragnar Norberg)
  • Dividend Payment with Ruin Constraint (Christian Hipp)
  • Consistency Properties of Systemic Risk Measures (Hans Föllmer)
  • The Pedestrian's Guide to Local Time (Tomas Björk)
  • On a Theory that Supports Stable Pensions (Knut K Aase)
  • Enlargement of Filtration in Discrete Time (C Blanchet-Scalliet, M Jeanblanc and R Romo Romero)
  • Orthonormal Polynomial Expansions and Lognormal Sum Densities (Søren Asmussen, Pierre-Olivier Goffard and Patrick J Laub)
  • Remark on the Paper 'Entropic Value-at-Risk: A New Coherent Risk Measure' by Amir Ahmadi-Javid (Freddy Delbaen)
  • Riesz Means and Beurling Moving Averages (N H Bingham)
  • Index


Readership: For graduate level students and researchers interested in the life and work of Ragnar Norberg and in modern actuarial and financial mathematics and their interface.Stochastics;Actuarial Mathematics;Financial Mathematics;Finance;Statistics;Stochastic Processes;Riesz Means;Buerling Moving Averages;LSE;Risk and Stochastics00

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Information

Publisher
WSPC (EUROPE)
Year
2019
ISBN
9781786341969
Topic
Business
Subtopic
Insurance
Index
Business

Table of contents

  1. Cover
  2. Halftitle
  3. Title
  4. Copyright
  5. Contents
  6. Foreword
  7. Letter from Vibeke
  8. Letter from Christian Hipp
  9. Letter from Knut K. Aase
  10. Letter from Hans Föllmer
  11. Letter from Freddy Delbaen
  12. Letter from Monique Jeanblanc
  13. Letter from Nick Bingham
  14. Letter from Odd O. Aalen
  15. Letter from Angelos Dassios
  16. Letter from SĂžren Asmussen
  17. Letter from Tomas Björk
  18. The Work of Ragnar Norberg
  19. Maybe You Chose the Wrong Niche in Life, Norberg Ragnar
  20. Chapter 1 Dividend Payment with Ruin Constraint
  21. Chapter 2 Consistency Properties of Systemic Risk Measures
  22. Chapter 3 The Pedestrian’s Guide to Local Time
  23. Chapter 4 On a Theory that Supports Stable Pensions
  24. Chapter 5 Enlargement of Filtration in Discrete Time
  25. Chapter 6 Orthonormal Polynomial Expansions and Lognormal Sum Densities
  26. Chapter 7 Remark on the Paper “Entropic Value-at-Risk: A New Coherent Risk Measure” by Amir Ahmadi-Javid, J. Optim. Theory Appl., 155(3) (2001) 1105–1123
  27. Chapter 8 Riesz Means and Beurling Moving Averages
  28. Index