Financial modeling, actuarial valuation and solvency in insurance Mario V. Wüthrich, Michael Merz

Format:

Book

Author/Creator:

Wüthrich, Mario V.

Contributor:

Merz, Michael

Series:

Springer finance

Springer finance 1616-0533

Language:

English

Subjects (All):

Insurance--Mathematical models.

Insurance.

Insurance--Statistical methods.

Physical Description:

1 online resource

Place of Publication:

Berlin New York Springer ©2013

System Details:

text file

PDF

Summary:

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

Contents:

Financial Valuation Principles. State Price Deflators and Stochastic Discounting Spot Rate Models Stochastic Forward Rate and Yield Curve Modeling Pricing of Financial Assets Actuarial Valuation and Solvency. Actuarial and Financial Modeling Valuation Portfolio Protected Valuation Portfolio Solvency Selected Topics and Examples Appendix. Auxiliary Considerations

Notes:

Includes bibliographical references and index

Other Format:

Printed edition:

ISBN:

9783642313929

3642313922

3642313914

9783642313912

OCLC:

839671313

Access Restriction:

Restricted for use by site license