| Description |
1 online resource |
| Series |
Springer finance, 1616-0533 |
|
Springer finance.
|
| 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 |
| 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 |
| Analysis |
Mathematics |
|
Finance |
|
Economics -- Statistics |
|
Quantitative Finance |
|
Actuarial Sciences |
|
Statistics for Business/Economics/Mathematical Finance/Insurance |
| Bibliography |
Includes bibliographical references and index |
| Subject |
Insurance -- Mathematical models
|
|
Insurance -- Statistical methods.
|
|
BUSINESS & ECONOMICS -- Insurance -- Risk Assessment & Management.
|
|
Seguros -- Modelos matemáticos
|
|
Seguros -- Métodos estadísticos
|
|
Insurance -- Mathematical models
|
|
Insurance -- Statistical methods
|
| Form |
Electronic book
|
| Author |
Merz, Michael.
|
| ISBN |
9783642313929 |
|
3642313922 |
|
3642313914 |
|
9783642313912 |
|
