Erschienen: 17.04.2013 Abbildung von Merz / Wüthrich | Financial Modeling, Actuarial Valuation and Solvency in Insurance | 2013

Merz / Wüthrich

Financial Modeling, Actuarial Valuation and Solvency in Insurance

lieferbar ca. 10 Tage als Sonderdruck ohne Rückgaberecht

117,69 €

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auch verfügbar als eBook (PDF) für 85.59 €

2013. Buch. xiv, 432 S. Bibliographien. Hardcover

Springer. ISBN 978-3-642-31391-2

Format (B x L): 15,5 x 23,5 cm

Gewicht: 830 g

In englischer Sprache

Das Werk ist Teil der Reihe: Springer Finance


Risk management for financial institutions is one of the main questions 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 and statistics, and should be familiar with popular distributions, stochastic processes, martingales, etc.


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