Probability for Risk Management

by Matthew J. Hassett, Donald G. Stewart

This text is listed on the Course of Reading for the Exam P of the Society of Actuaries and the Exam 1 of the Casualty Actuarial Society. This unique text differs from most intermediate probability texts in that it focuses the theory directly on applications in the general field of financial risk management, including insurance, economics and finance. It will be appropriate for a first course in probability for students who have previously had two semesters of calculus. Past actuarial exam questions are included at the end of each chapter. This book will serve as an excellent background text for the more advanced probability material included on the Exams MLC and C of the SOA, Exams 3L and 4 of the CAS and the EA-1 Exam of the Joint Board for the Enrollment of Actuaries. It was designed for several audiences, including students of actuarial science, mathematical economics, finance and risk management. It will provide an interesting and appropriate preparation for mathematically gifted students in finance and economics. It is not abstract or proof-oriented. Rather, it shows the student how to use probability theory to solve real-world problems.

Genres: Reference, Mathematics

434 pages, Paperback

First published July 28, 2006

Reviews

[Kiyoshi · Rating 3 out of 5]

Basic probability concepts learned in junior/senior level college statistics course for actuarial students. Not math heavy so good book for an overall review.

Structurally, starts off with counting/elementary set theory; definitions of probability; discrete distributions (uniform, binomial, hypergeometric, Poisson, geometric, negative binomial) and its applications; continuous distributions (uniform, exponential, gamma, normal, lognormal, Pareto, Weibull, Beta) and its applications; multivariate distributions, its applications, and double expectation theorems; and finally a brief introduction to stochastic processes. For the applications sections, it consists mostly of anything related to expected values/variances of functions of random variables as well as the calculation of moments.

[David · Rating 5 out of 5]

This book was the main resource that helped me pass the Exam P administered by the SOA. I would recommend picking it up along with its solutions manual, if you're interested in taking the exam. The practice problems at the end of each chapter were great preparation for me. My thanks to the authors.