INTERNATIONAL STANDARD BOOK NUMBER
(Number (ISBN
9783642313929
NATIONAL BIBLIOGRAPHY NUMBER
Country Code
IR
Number
EN-52344
LANGUAGE OF THE ITEM
.Language of Text, Soundtrack etc
انگلیسی
COUNTRY OF PUBLICATION OR PRODUCTlON
Country of publication
IR
TITLE AND STATEMENT OF RESPONSIBILITY
Title Proper
Financial Modeling, Actuarial Valuation and Solvency in Insuranc
General Material Designation
[Book]
Other Title Information
:[delta
First Statement of Responsibility
/ by Mario V. W?╝thrich, Michael Merz
.PUBLICATION, DISTRIBUTION, ETC
Place of Publication, Distribution, etc.
Berlin, Heidelberg
Name of Publisher, Distributor, etc.
: Springer Berlin Heidelberg :Imprint: Springer,
Date of Publication, Distribution, etc.
, 2013.
PHYSICAL DESCRIPTION
Specific Material Designation and Extent of Item
XIV, 432 p. 100 illus., 2 illus. in color., online resource.
SERIES
Series Title
(Springer Finance,1616-0533)
NOTES PERTAINING TO PUBLICATION, DISTRIBUTION, ETC.
Text of Note
Electronic
CONTENTS NOTE
Text of Note
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 W?╝thrich 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 theoryand statistics, and should be familiar with popular distributions, stochastic processes, martingales, etc.
Text of Note
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.?╗╣
SERIES
Title
Springer Finance,1616-0533
TOPICAL NAME USED AS SUBJECT
Mathematics
Finance
Economics, Statistics
Electronic books
LIBRARY OF CONGRESS CLASSIFICATION
Class number
E-BOOK
PERSONAL NAME - PRIMARY RESPONSIBILITY
W?╝thrich, Mario V.
PERSONAL NAME - SECONDARY RESPONSIBILITY
Merz, Michael
SpringerLink (Online service)
ORIGINATING SOURCE
Country
ایران
ELECTRONIC LOCATION AND ACCESS
Host name
9783642313912.pdf
Access number
عادی
Compression information
عادی
Date and Hour of Consultation and Access
9783642313912.pdf
Electronic Format Type
متن
old catalog
e
BL
1
a
Y
