Probabilistic Models in Insurance and Finance

Dear Colleagues,

Probability theory together with mathematical statistics are very important mathematical tools for studying various processes in nature and society where the behavior of underlying observed phenomena is driven by randomness. This approach, where deterministic description is inefficient and should be replaced by stochastic models, is often used in insurance, finance, physics, chemistry, medicine, and many other fields.  In insurance and finance, stochastic models are widely used for the forecasting of future states. First of all, the insurance and financial business raises specific questions related to extreme value theory, time-series analysis, heavy-tailed distributions, survival analysis, premium calculation principles, risk measures analysis, ruin probabilities estimation, etc.

The purpose of this Special Issue is to gather a collection of articles reflecting the latest developments in insurance and finance of applied probability, such as long memory processes in finance, risk renewal processes in insurance, risks measures in insurance and finance, the properties of heavy-tailed distributions, conditional heteroscedasticity, extreme value theory, the properties of survival functions, and others.

Prof. Dr. Jonas Šiaulys
Guest Editor

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