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

By: Wuthrich, Mario V.
Contributor(s): Merz, Michael.
Material type: TextTextSeries: Springer finance.Publisher: Berlin : Springer-Verlag, 2013Description: xiv, 432 p. : ill.ISBN: 9783642313912 (hard cover : alk. paper).Subject(s): Insurance -- Mathematical models | Insurance -- Statistical methods | BUSINESS & ECONOMICS / Insurance / Risk Assessment & ManagementDDC classification: 000SB:368
Contents:
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. with References and Index.
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)
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Item type Current location Call number Status Date due Barcode Item holds
Books Books ISI Library, Kolkata
 
000SB:368 W973 (Browse shelf) Available 135276
Total holds: 0

Includes bibliographical references and index.

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. with References and Index.

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)

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