Financial Modeling, Actuarial Valuation an...

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Beschreibung

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.

Zusammenfassung

Addressed to practitioners in the financial and actuarial industry as well as more academic researchers

Takes into account all current solvency developments of the financial industry

Core text for enterprise risk management in Chartered Enterprise Risk Analyst (CERA) training and qualification ?

Includes supplementary material: [...]

Inhaltsverzeichnis

1.Introduction.- Part I: Financial Valuation Principles.- [...] price deflators and stochastic discounting.- [...] rate models.- 4.Stochastic forward rate and yield curve modeling.- 5.Pricing of financial assets.- Part II: Actuarial Valuation and Solvency.- 6.Actuarial and financial modeling.- 7.Valuation portfolio.- 8.Protected valuation portfolio.- 9.Solvency.- 10.Selected topics and examples.- Part III: Appendix.- 11.Auxiliary considerations.- References.- Index.

Details

Erscheinungsjahr:	2013
Fachbereich:	Allgemeines
Genre:	Recht , Sozialwissenschaften , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Buch
Reihe:	Springer Finance
Inhalt:	xiv 432 S.
ISBN-13:	9783642313912
ISBN-10:	3642313914
Sprache:	Englisch
Herstellernummer:	86114100
Ausstattung / Beilage:	HC runder Rücken kaschiert
Einband:	Gebunden
Autor:	Merz, Michael Wüthrich, Mario V.
Hersteller:	Springer-Verlag GmbH Springer Berlin Heidelberg Springer Finance
Verantwortliche Person für die EU:	Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com
Maße:	241 x 160 x 29 mm
Von/Mit:	Michael Merz (u. a.)
Erscheinungsdatum:	17.04.2013
Gewicht:	0,834 kg

Artikel-ID: 106398696