Veja também o livros de soluções para os exercícios
Table of Contents:
Chapter 1 Introduction
Chapter 2 Generating Random Digits and Uniform Random
Numbers over [0,1)
Chapter 3 The Inversion Method of Generating Random
Numbers from Continuous and Discrete Distributions
Chapter 4 Other Methods for Generating Random Numbers from
Continuous and Discrete Disbributions
Chapter 5 Integral Estimation – Variance Reduction Techniques
Chapter 6 Quasi-Monte Carlo Methods
Chapter 7 Sample Size and Precision
Chapter 8 Sample Reuse Procedures – The Bootstrap
Chapter 9 Choosing the Optimal Statistical Model
Chapter 10 Generating Stochastic Interest Rates
Chapter 11 Modeling Home Equity Conversion Mortgages
Chapter 12 Introduction to Value at Risk
Chapter 13 A Test of Stock Market Efficiency
Answers to Textbook Exercises
Bibliography
Index
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Monte Carlo methods are useful in solving a wide range of problems, both stochastic and deterministic, that cannot easily be solved using analytic methods. In this text, the authors describe a number of schemes for generating sequences of both pseudo-random and quasi-random numbers from a wide variety of probability distributions. They discuss several variance reduction methods aimed at improving the efficiency and the robustness of the simulation process.
The text illustrates the practical application of such methods to real-life problems in finance and insurance by presenting several in-depth case studies, including a model for generating stochastic interest rates and issues having to do with the important concept of value at risk, a measure for assessing the risk and/or performance of assets and/or liabilities. It is thus an excellent source for continuing education involving solutions to new and unique actuarial problems.
This book, while certainly formidable, describes the current state of the art in something approaching ordinary English (along with lots of formulas)." - Bruce Schobel, Contingencies, September/October 2004
This book demonstrates the practical application of complex and state-of-the-art applied modeling techniques by way of extremely helpful and easy to understand examples. - Ron Harasym, Vice President & Chief Risk Officer, Aegon Canada, Inc.
The authors take you through several examples showing how Monte Carlo methods can be used in a financial environment. Demonstrations of the estimation of mortgage prepayments, the measurement of Value at Risk of a portfolio of assets and liabilities, and the calculation of the annuity payments from a reverse mortgage are included. From there the reader will be prepared to use Monte Carlo Methods to build model offices of insurance products, analyze the impact of alternative investment strategies, perform asset liability management, forecast the impact of natural catastrophes, and perform dynamic solvency testing.
