TY  - BOOK
AU  - Wüthrich,Mario V.
AU  - Merz,Michael
ED  - SpringerLink (Online service)
TI  - Financial Modeling, Actuarial Valuation and Solvency in Insurance
T2  - Springer Finance,
SN  - 9783642313929
AV  - HB135-147 
U1  - 519 23
PY  - 2013///
CY  - Berlin, Heidelberg
PB  - Springer Berlin Heidelberg, Imprint: Springer
KW  - Mathematics
KW  - Economics, Mathematical
KW  - Actuarial science
KW  - Statistics
KW  - Quantitative Finance
KW  - Actuarial Sciences
KW  - Statistics for Business/Economics/Mathematical Finance/Insurance
N1  - 1.Introduction -- Part I: Financial Valuation Principles -- 2.State price deflators and stochastic discounting -- 3.spot 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
N2  - 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
UR  - http://dx.doi.org/10.1007/978-3-642-31392-9
ER  -