Risk and Stochastics
Ragnar Norberg
Business & Finance, Industries & Professions, Insurance, Finance & Investing, Finance
| Author: | Pauline Barrieu | ISBN: | 9781786341969 |
| Publisher: | World Scientific Publishing Company | Publication: | April 18, 2019 |
| Imprint: | WSPC (EUROPE) | Language: | English |
| Author: | Pauline Barrieu |
| ISBN: | 9781786341969 |
| Publisher: | World Scientific Publishing Company |
| Publication: | April 18, 2019 |
| Imprint: | WSPC (EUROPE) |
| Language: | English |
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.
0
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.
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