Ebook: Financial Modeling, Actuarial Valuation and Solvency in Insurance
- Tags: Quantitative Finance, Actuarial Sciences, Statistics for Business/Economics/Mathematical Finance/Insurance
- Series: Springer Finance
- Year: 2013
- Publisher: Springer-Verlag Berlin Heidelberg
- Edition: 1
- Language: English
- pdf
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.
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 theory and statistics, and should be familiar with popular distributions, stochastic processes, martingales, etc.
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 theory and statistics, and should be familiar with popular distributions, stochastic processes, martingales, etc.
Content:
Front Matter....Pages I-XIV
Front Matter....Pages 9-9
State Price Deflators and Stochastic Discounting....Pages 11-33
Spot Rate Models....Pages 35-95
Stochastic Forward Rate and Yield Curve Modeling....Pages 97-130
Pricing of Financial Assets....Pages 131-151
Front Matter....Pages 153-153
Actuarial and Financial Modeling....Pages 155-167
Valuation Portfolio....Pages 169-204
Protected Valuation Portfolio....Pages 205-259
Solvency....Pages 261-336
Selected Topics and Examples....Pages 337-403
Front Matter....Pages 405-405
Auxiliary Considerations....Pages 407-418
Introduction....Pages 1-8
Back Matter....Pages 419-432
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 theory and statistics, and should be familiar with popular distributions, stochastic processes, martingales, etc.
Content:
Front Matter....Pages I-XIV
Front Matter....Pages 9-9
State Price Deflators and Stochastic Discounting....Pages 11-33
Spot Rate Models....Pages 35-95
Stochastic Forward Rate and Yield Curve Modeling....Pages 97-130
Pricing of Financial Assets....Pages 131-151
Front Matter....Pages 153-153
Actuarial and Financial Modeling....Pages 155-167
Valuation Portfolio....Pages 169-204
Protected Valuation Portfolio....Pages 205-259
Solvency....Pages 261-336
Selected Topics and Examples....Pages 337-403
Front Matter....Pages 405-405
Auxiliary Considerations....Pages 407-418
Introduction....Pages 1-8
Back Matter....Pages 419-432
....