000 | 03660nam a22005177a 4500 | ||
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001 | sulb-eb0023943 | ||
003 | BD-SySUS | ||
005 | 20160413122416.0 | ||
007 | cr nn 008mamaa | ||
008 | 130405s2013 gw | s |||| 0|eng d | ||
020 |
_a9783642313929 _9978-3-642-31392-9 |
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024 | 7 |
_a10.1007/978-3-642-31392-9 _2doi |
|
050 | 4 | _aHB135-147 | |
072 | 7 |
_aKF _2bicssc |
|
072 | 7 |
_aMAT003000 _2bisacsh |
|
072 | 7 |
_aBUS027000 _2bisacsh |
|
082 | 0 | 4 |
_a519 _223 |
100 | 1 |
_aWüthrich, Mario V. _eauthor. |
|
245 | 1 | 0 |
_aFinancial Modeling, Actuarial Valuation and Solvency in Insurance _h[electronic resource] / _cby Mario V. Wüthrich, Michael Merz. |
264 | 1 |
_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg : _bImprint: Springer, _c2013. |
|
300 |
_aXIV, 432 p. _bonline resource. |
||
336 |
_atext _btxt _2rdacontent |
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337 |
_acomputer _bc _2rdamedia |
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338 |
_aonline resource _bcr _2rdacarrier |
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347 |
_atext file _bPDF _2rda |
||
490 | 1 |
_aSpringer Finance, _x1616-0533 |
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505 | 0 | _a1.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. | |
520 | _aRisk 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. | ||
650 | 0 | _aMathematics. | |
650 | 0 | _aEconomics, Mathematical. | |
650 | 0 | _aActuarial science. | |
650 | 0 | _aStatistics. | |
650 | 1 | 4 | _aMathematics. |
650 | 2 | 4 | _aQuantitative Finance. |
650 | 2 | 4 | _aActuarial Sciences. |
650 | 2 | 4 | _aStatistics for Business/Economics/Mathematical Finance/Insurance. |
700 | 1 |
_aMerz, Michael. _eauthor. |
|
710 | 2 | _aSpringerLink (Online service) | |
773 | 0 | _tSpringer eBooks | |
776 | 0 | 8 |
_iPrinted edition: _z9783642313912 |
830 | 0 |
_aSpringer Finance, _x1616-0533 |
|
856 | 4 | 0 | _uhttp://dx.doi.org/10.1007/978-3-642-31392-9 |
912 | _aZDB-2-SMA | ||
942 |
_2Dewey Decimal Classification _ceBooks |
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999 |
_c46035 _d46035 |