Gaussian Process: Overview

Abstract

Abstract The class of Gaussian stochastic processes plays an important role in stochastic modeling and is widely used as a rich source of models in many areas of applied probability, including actuarial and financial mathematics. There are many practical and theoretical reasons for using Gaussian processes to model actuarial problems. For instance, the family of Gaussian processes covers a large class of correlation structures and enables explicit analysis of models for which classical renewal‐type tools do not work. On the other hand, theoretical results, mostly based on central limit theorem‐type argumentation, formally justify the use of Gaussian processes.