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Non-Life Insurance Mathematics
"Offers a mathematical introduction to non-life insurance and, at the same time, to a multitude of applied stochastic processes. It gives detailed discussions of the fundamental models for claim sizes, claim arrivals, the total claim amount, and their probabilistic properties....The reader gets to know how the underlying probabilistic structures allow one to determine premiums in a portfolio or in an individual policy." --Zentralblatt für Didaktik der Mathematik
Introduction to Stochastic Programming
The aim of stochastic programming is to find optimal decisions in problems which involve uncertain data. This field is currently developing rapidly with contributions from many disciplines including operations research, mathematics, and probability. At the same time, it is now being applied in a wide variety of subjects ranging from agriculture to financial planning and from industrial engineering to computer networks. This textbook provides a first course in stochastic programming suitable for students with a basic knowledge of linear programming, elementary analysis, and probability. The authors aim to present a broad overview of the main themes and methods of the subject. Its prime goal i...
Principles of Inventory Management
Inventories are prevalent everywhere in the commercial world, whether it be in retail stores, manufacturing facilities, government stockpile material, Federal Reserve banks, or even your own household. This textbook examines basic mathematical techniques used to sufficiently manage inventories by using various computational methods and mathematical models. The text is presented in a way such that each section can be read independently, and so the order in which the reader approaches the book can be inconsequential. It contains both deterministic and stochastic models along with algorithms that can be employed to find solutions to a variety of inventory control problems. With exercises at the end of each chapter and a clear, systematic exposition, this textbook will appeal to advanced undergraduate and first-year graduate students in operations research, industrial engineering, and quantitative MBA programs. It also serves as a reference for professionals in both industry and government worlds. The prerequisite courses include introductory optimization methods, probability theory (non-measure theoretic), and stochastic processes.
Extreme Values, Regular Variation and Point Processes
This book examines the fundamental mathematical and stochastic process techniques needed to study the behavior of extreme values of phenomena based on independent and identically distributed random variables and vectors. It emphasizes the core primacy of three topics necessary for understanding extremes: the analytical theory of regularly varying functions; the probabilistic theory of point processes and random measures; and the link to asymptotic distribution approximations provided by the theory of weak convergence of probability measures in metric spaces.
Cooperative Stochastic Differential Games
Numerical Optimization presents a comprehensive and up-to-date description of the most effective methods in continuous optimization. It responds to the growing interest in optimization in engineering, science, and business by focusing on the methods that are best suited to practical problems. For this new edition the book has been thoroughly updated throughout. There are new chapters on nonlinear interior methods and derivative-free methods for optimization, both of which are used widely in practice and the focus of much current research. Because of the emphasis on practical methods, as well as the extensive illustrations and exercises, the book is accessible to a wide audience. It can be used as a graduate text in engineering, operations research, mathematics, computer science, and business. It also serves as a handbook for researchers and practitioners in the field. The authors have strived to produce a text that is pleasant to read, informative, and rigorous - one that reveals both the beautiful nature of the discipline and its practical side.
Production Planning by Mixed Integer Programming
This textbook provides a comprehensive modeling, reformulation and optimization approach for solving production planning and supply chain planning problems, covering topics from a basic introduction to planning systems, mixed integer programming (MIP) models and algorithms through the advanced description of mathematical results in polyhedral combinatorics required to solve these problems. Based on twenty years worth of research in which the authors have played a significant role, the book addresses real life industrial production planning problems (involving complex production structures with multiple production stages) using MIP modeling and reformulation approach. The book provides an int...
Extreme Value Theory
Focuses on theoretical results along with applications All the main topics covering the heart of the subject are introduced to the reader in a systematic fashion Concentration is on the probabilistic and statistical aspects of extreme values Excellent introduction to extreme value theory at the graduate level, requiring only some mathematical maturity
Linear and Integer Programming vs Linear Integration and Counting
This book analyzes and compares four closely related problems, namely linear programming, integer programming, linear integration, and linear summation (or counting). The book provides some new insights on duality concepts for integer programs.
