Computation And Modelling In Insurance And Finance
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Computation And Modelling In Insurance And Finance
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Author : Erik Bølviken
language : en
Publisher: Cambridge University Press
Release Date : 2014-04-10
Computation And Modelling In Insurance And Finance written by Erik Bølviken and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-04-10 with Business & Economics categories.
This practical introduction outlines methods for analysing actuarial and financial risk at a fairly elementary mathematical level suitable for graduate students, actuaries and other analysts in the industry who could use simulation as a problem solver. Numerous exercises with R-code illustrate the text.
Computation And Modeling In Insurance And Finance
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Author : Erik Bølviken
language : en
Publisher:
Release Date : 2014
Computation And Modeling In Insurance And Finance written by Erik Bølviken and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Insurance categories.
Financial Modeling Actuarial Valuation And Solvency In Insurance
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Author : Mario V. Wüthrich
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-04-04
Financial Modeling Actuarial Valuation And Solvency In Insurance written by Mario V. Wüthrich and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-04 with Mathematics categories.
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.
Market Valuation Methods In Life And Pension Insurance
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Author : Thomas Møller
language : en
Publisher: Cambridge University Press
Release Date : 2007-01-18
Market Valuation Methods In Life And Pension Insurance written by Thomas Møller and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-01-18 with Business & Economics categories.
In classical life insurance mathematics the obligations of the insurance company towards the policy holders were calculated on artificial conservative assumptions on mortality and interest rates. However, this approach is being superseded by developments in international accounting and solvency standards coupled with other advances enabling a market-based valuation of risk, i.e., its price if traded in a free market. The book describes these approaches, and is the first to explain them in conjunction with more traditional methods. The various chapters address specific aspects of market-based valuation. The exposition integrates methods and results from financial and insurance mathematics, and is based on the entries in a life insurance company's market accounting scheme. The book will be of great interest and use to students and practitioners who need an introduction to this area, and who seek a practical yet sound guide to life insurance accounting and product development.
Handbook Of Computational Finance
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Author : Jin-Chuan Duan
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-10-25
Handbook Of Computational Finance written by Jin-Chuan Duan and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-10-25 with Business & Economics categories.
Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a “fair” value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools.
Handbook Of Recent Advances In Commodity And Financial Modeling
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Author : Giorgio Consigli
language : en
Publisher: Springer
Release Date : 2017-09-30
Handbook Of Recent Advances In Commodity And Financial Modeling written by Giorgio Consigli and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-09-30 with Business & Economics categories.
This handbook includes contributions related to optimization, pricing and valuation problems, risk modeling and decision making problems arising in global financial and commodity markets from the perspective of Operations Research and Management Science. The book is structured in three parts, emphasizing common methodological approaches arising in the areas of interest: - Part I: Optimization techniques - Part II: Pricing and Valuation - Part III: Risk Modeling The book presents to a wide community of Academics and Practitioners a selection of theoretical and applied contributions on topics that have recently attracted increasing interest in commodity and financial markets. Within a structure based on the three parts, it presents recent state-of-the-art and original works related to: - The adoption of multi-criteria and dynamic optimization approaches in financial and insurance markets in presence of market stress and growing systemic risk; - Decision paradigms, based on behavioral finance or factor-based, or more classical stochastic optimization techniques, applied to portfolio selection problems including new asset classes such as alternative investments; - Risk measurement methodologies, including model risk assessment, recently applied to energy spot and future markets and new risk measures recently proposed to evaluate risk-reward trade-offs in global financial and commodity markets; and derivatives portfolio hedging and pricing methods recently put forward in the financial community in the aftermath of the global financial crisis.
Regression Modeling With Actuarial And Financial Applications
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Author : Edward W. Frees
language : en
Publisher: Cambridge University Press
Release Date : 2010
Regression Modeling With Actuarial And Financial Applications written by Edward W. Frees and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
This book teaches multiple regression and time series and how to use these to analyze real data in risk management and finance.
Monte Carlo Methods And Models In Finance And Insurance
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Author : Ralf Korn
language : en
Publisher: CRC Press
Release Date : 2010-02-26
Monte Carlo Methods And Models In Finance And Insurance written by Ralf Korn and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-02-26 with Business & Economics categories.
Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Rom
Mathematical Modeling And Computation In Finance With Exercises And Python And Matlab Computer Codes
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Author : Cornelis W Oosterlee
language : en
Publisher: World Scientific
Release Date : 2019-10-29
Mathematical Modeling And Computation In Finance With Exercises And Python And Matlab Computer Codes written by Cornelis W Oosterlee and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-10-29 with Business & Economics categories.
This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance.When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play a role in such changes too. The book thus presents several models for stock prices, interest rates as well as foreign-exchange rates, with increasing complexity across the chapters. As is said in the industry, 'do not fall in love with your favorite model.' The book covers equity models before moving to short-rate and other interest rate models. We cast these models for interest rate into the Heath-Jarrow-Morton framework, show relations between the different models, and explain a few interest rate products and their pricing.The chapters are accompanied by exercises. Students can access solutions to selected exercises, while complete solutions are made available to instructors. The MATLAB and Python computer codes used for most tables and figures in the book are made available for both print and e-book users. This book will be useful for people working in the financial industry, for those aiming to work there one day, and for anyone interested in quantitative finance. The topics that are discussed are relevant for MSc and PhD students, academic researchers, and for quants in the financial industry.
Financial Engineering And Computation
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Author : Yuh-Dauh Lyuu
language : en
Publisher: Cambridge University Press
Release Date : 2002
Financial Engineering And Computation written by Yuh-Dauh Lyuu and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Business & Economics categories.
A comprehensive text and reference, first published in 2002, on the theory of financial engineering with numerous algorithms for pricing, risk management, and portfolio management.