03450nam 2200517Ia 450 991043786790332120200520144314.03-642-31392-210.1007/978-3-642-31392-9(OCoLC)839671313(MiFhGG)GVRL6WKB(CKB)2550000001045964(MiAaPQ)EBC1206033(EXLCZ)99255000000104596420111102d2013 uy 0engurun|---uuuuatxtccrFinancial modeling, actuarial valuation and solvency in insurance /Mario V. Wuthrich, Michael Merz1st ed. 2013.Berlin ;Heidleberg Springer-Verlag20131 online resource (xiv, 432 pages) illustrationsSpringer Finance,2195-0687"ISSN: 1616-0533."3-642-43296-4 3-642-31391-4 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 -- References -- 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 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.Springer finance.FinanceMathematical modelsActuarial scienceFinanceMathematical models.Actuarial science.368.01Wuthrich Mario V755967Merz Michael1698573MiAaPQMiAaPQMiAaPQBOOK9910437867903321Financial modeling, actuarial valuation and solvency in insurance4200681UNINA