Financial modeling, actuarial valuation and solvency in insurance
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 Solve...
Sparad:
| Huvudupphovsmän: | , |
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| Materialtyp: | Livre numérique |
| Språk: | Anglais |
| Publicerad: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer
[20..].
Cham : Springer Nature |
| Serie: | Springer Finance
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| Länkar: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Anmärkning: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Financial Modeling, Actuarial Valuation and Solvency in Insurance, by Mario V. Wüthrich, Michael Merz, 2013, Heidelberg, Springer-Verlag, 1 vol. (XIV-432 p.), Springer Finance, 978-3-642-31391-2 • Financial Modeling, Actuarial Valuation and Solvency in Insurance, by Mario V. Wüthrich, Michael Merz, 2013, Heidelberg, Springer-Verlag, 1 vol. (XIV-432 p.), Springer Finance, 978-3-642-31391-2 |
| Sammanfattning: | 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 |
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| Beskrivning: | Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| ISBN: | 9783642313929 |
| ISSN: | 2195-0687 |
| Tillgång: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |