Financial Modeling, Actuarial Valuation and Solvency in Insurance

Business & Finance, Industries & Professions, Insurance, Nonfiction, Science & Nature, Mathematics, Applied
Cover of the book Financial Modeling, Actuarial Valuation and Solvency in Insurance by Mario V. Wüthrich, Michael Merz, Springer Berlin Heidelberg
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Mario V. Wüthrich, Michael Merz ISBN: 9783642313929
Publisher: Springer Berlin Heidelberg Publication: April 4, 2013
Imprint: Springer Language: English
Author: Mario V. Wüthrich, Michael Merz
ISBN: 9783642313929
Publisher: Springer Berlin Heidelberg
Publication: April 4, 2013
Imprint: Springer
Language: English

Risk management for financial institutions is one of the key topics the financial industry has to deal with. The present volume is a mathematically rigorous text on solvency modeling. Currently, there are many new developments in this area in the financial and insurance industry (Basel III and Solvency II), but none of these developments provides a fully consistent and comprehensive framework for the analysis of solvency questions. Merz and Wüthrich combine ideas from financial mathematics (no-arbitrage theory, equivalent martingale measure), actuarial sciences (insurance claims modeling, cash flow valuation) and economic theory (risk aversion, probability distortion) to provide a fully consistent framework. Within this framework they then study solvency questions in incomplete markets, analyze hedging risks, and study asset-and-liability management questions, as well as issues like the limited liability options, dividend to shareholder questions, the role of re-insurance, etc.

This work embeds the solvency discussion (and long-term liabilities) into a scientific framework and is intended for researchers as well as practitioners in the financial and actuarial industry, especially those in charge of internal risk management systems. Readers should have a good background in probability theory and statistics, and should be familiar with popular distributions, stochastic processes, martingales, etc.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

Risk management for financial institutions is one of the key topics the financial industry has to deal with. The present volume is a mathematically rigorous text on solvency modeling. Currently, there are many new developments in this area in the financial and insurance industry (Basel III and Solvency II), but none of these developments provides a fully consistent and comprehensive framework for the analysis of solvency questions. Merz and Wüthrich combine ideas from financial mathematics (no-arbitrage theory, equivalent martingale measure), actuarial sciences (insurance claims modeling, cash flow valuation) and economic theory (risk aversion, probability distortion) to provide a fully consistent framework. Within this framework they then study solvency questions in incomplete markets, analyze hedging risks, and study asset-and-liability management questions, as well as issues like the limited liability options, dividend to shareholder questions, the role of re-insurance, etc.

This work embeds the solvency discussion (and long-term liabilities) into a scientific framework and is intended for researchers as well as practitioners in the financial and actuarial industry, especially those in charge of internal risk management systems. Readers should have a good background in probability theory and statistics, and should be familiar with popular distributions, stochastic processes, martingales, etc.

More books from Springer Berlin Heidelberg

Cover of the book A Concise Guide to Market Research by Mario V. Wüthrich, Michael Merz
Cover of the book Haustiere - zoologisch gesehen by Mario V. Wüthrich, Michael Merz
Cover of the book Symbiotic Fungi by Mario V. Wüthrich, Michael Merz
Cover of the book Bone Circulation and Bone Necrosis by Mario V. Wüthrich, Michael Merz
Cover of the book Physical Fundamentals of Remote Sensing by Mario V. Wüthrich, Michael Merz
Cover of the book China and International Human Rights by Mario V. Wüthrich, Michael Merz
Cover of the book Climate and Environmental Change in China: 1951–2012 by Mario V. Wüthrich, Michael Merz
Cover of the book Friction Welding by Mario V. Wüthrich, Michael Merz
Cover of the book The Human T-Cell Receptor Repertoire and Transplantation by Mario V. Wüthrich, Michael Merz
Cover of the book Malignant Mesothelioma by Mario V. Wüthrich, Michael Merz
Cover of the book Zeitreisen und Zeitmaschinen by Mario V. Wüthrich, Michael Merz
Cover of the book Drugs and Aging by Mario V. Wüthrich, Michael Merz
Cover of the book Integrierte Business-Informationssysteme by Mario V. Wüthrich, Michael Merz
Cover of the book Prostate Cancer Prevention by Mario V. Wüthrich, Michael Merz
Cover of the book Eating Disorders and the Skin by Mario V. Wüthrich, Michael Merz
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy