Stochastic sequences. A proseminar with applications in insurance mathematics (Q2339799): Difference between revisions

This book is addressed to undergraduate students interested in probability and its applications to insurance mathematics. This text is devoted to stochastic sequences, which are introduced and comprehensively studied in the text. The author starts with the definition, analytical, geometrical and algebraical properties of the considered sequences. Then he proceeds with their stochastic interpretation and discusses basic discrete distributions, basic notions and operations of probability in the discrete setting: expectation, moments and binomial moments, convolution, compounding, etc. The applications to insurance mathematics are also presented. It ends with generalized Panjer- and phase-type sequences. This text provides many examples and exercises for the reader, the exposition is self-contained and supported by proofs and references. This book can be used both for the seminar work and for self-study.