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Advanced financial risk management [[electronic resource] ] : tools and techniques for integrated credit risk and interest rate risk management / / Donald R. van Deventer, Kenji Imai, Mark Mesler
| Advanced financial risk management [[electronic resource] ] : tools and techniques for integrated credit risk and interest rate risk management / / Donald R. van Deventer, Kenji Imai, Mark Mesler |
| Autore | Deventer Donald R. van |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Singapore, : Wiley, 2013 |
| Descrizione fisica | 1 online resource (876 p.) |
| Disciplina | 332.7 |
| Altri autori (Persone) |
ImaiKenji
MeslerMark |
| Collana | Wiley finance series |
| Soggetto topico |
Gestió del risc
Risc de crèdit Gestió d'actius i passius Asset-liability management Credit - Management Interest rate risk - Management Financial risk management |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-118-59721-4
1-118-27857-7 1-299-18976-8 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Risk management : definitions and objectives -- pt. 2. Risk management techniques for interest rate analytics -- pt. 3. Risk management techniques for credit risk analytics -- pt. 4. Risk management applications : instrument by instrument -- pt. 5. Portfolio strategy and risk management. |
| Record Nr. | UNINA-9910138853503321 |
Deventer Donald R. van
|
||
| Singapore, : Wiley, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advanced financial risk management : tools and techniques for integrated credit risk and interest rate risk management / / Donald R. van Deventer, Kenji Imai, Mark Mesler
| Advanced financial risk management : tools and techniques for integrated credit risk and interest rate risk management / / Donald R. van Deventer, Kenji Imai, Mark Mesler |
| Autore | Deventer Donald R. van |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Singapore, : Wiley, 2013 |
| Descrizione fisica | 1 online resource (876 p.) |
| Disciplina | 332.7 |
| Altri autori (Persone) |
ImaiKenji
MeslerMark |
| Collana | Wiley finance series |
| Soggetto topico |
Gestió del risc
Risc de crèdit Gestió d'actius i passius Asset-liability management Credit - Management Interest rate risk - Management Financial risk management |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-118-59721-4
1-118-27857-7 1-299-18976-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Risk management : definitions and objectives -- pt. 2. Risk management techniques for interest rate analytics -- pt. 3. Risk management techniques for credit risk analytics -- pt. 4. Risk management applications : instrument by instrument -- pt. 5. Portfolio strategy and risk management. |
| Record Nr. | UNINA-9910822622203321 |
|
Deventer Donald R. van
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||
| Singapore, : Wiley, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
COVID-19 : systemic risk and resilience / / Igor Linkov, Jesse M. Keenan, Benjamin D. Trump, editors
| COVID-19 : systemic risk and resilience / / Igor Linkov, Jesse M. Keenan, Benjamin D. Trump, editors |
| Pubbl/distr/stampa | Cham, Switzerland : , : Springer, , [2021] |
| Descrizione fisica | 1 online resource (438 pages) |
| Disciplina | 616.2414 |
| Collana | Risk, systems and decisions |
| Soggetto topico |
COVID-19 Pandemic, 2020-
Hazard mitigation Risk management Emergency management Pandèmia de COVID-19, 2020- Gestió del risc Gestió d'emergències |
| Soggetto genere / forma | Llibres electrònics |
| ISBN | 3-030-71587-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910739425703321 |
| Cham, Switzerland : , : Springer, , [2021] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Derivatives and Internal Models : Modern Risk Management / / by Hans-Peter Deutsch, Mark W. Beinker
| Derivatives and Internal Models : Modern Risk Management / / by Hans-Peter Deutsch, Mark W. Beinker |
| Autore | Deutsch Hans-Peter |
| Edizione | [5th ed. 2019.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2019 |
| Descrizione fisica | 1 online resource (XXXII, 897 p. 39 illus.) |
| Disciplina |
332.0415
332.632042 |
| Collana | Finance and Capital Markets Series |
| Soggetto topico |
Capital market
Risk management Accounting Bookkeeping Economics Management science Corporations—Finance Investment banking Securities Capital Markets Risk Management Accounting/Auditing Economics, general Corporate Finance Investments and Securities Gestió del risc Risc (Economia) Actius financers derivats |
| Soggetto genere / forma | Llibres electrònics |
| ISBN | 3-030-22899-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. Introduction -- 2. Fundamental Risk Factors of Financial Markets -- 3. Financial Instruments: A System of Derivatives and Underlyings -- 4. Overview of the Assumptions -- 5. Present Value Methods, Yields and Traditional Risk Measures -- 6. Arbitrage -- 7. The Black-Scholes Differential Equation -- 8. Integral Forms and Analytic Solutions in the Black-Scholes World -- 9. Binomial and Trinomial Trees -- 10. Numerical Solutions Using Finite Differences -- 11. Monte Carlo Simulations -- 12. Hedging -- 13. Martingales and Numeraires -- 14. Interest Rates and Term Structure Models -- 15. Simple Interest Rate Products -- 16. FX Derivatives -- 17. Variants of Fixed Income Instruments -- 18. Plain Vanilla Options -- 19. Exotic Options -- 20. Credit Risk -- 21. Fundamentals -- 22. The Variance-Covariance Method -- 23. Simulation Methods -- 24. Example of a VaR Computation -- 25. Backtesting: Checking the Applied Methods -- 26. Classical Portfolio Management -- 27. Attributes and their Characteristic Portfolios -- 28. Active Management and Benchmarking -- 29. Construction of the Yield Curve Universe -- 30. Volatility -- 31. Market Parameter from Historical Time Series -- 32. Time Series Modeling -- 33. Forecasting with Time Series Models -- 34. Principal Component Analysis -- 35. Pre-Treatment of Time Series and Assessment of Models. |
| Record Nr. | UNINA-9910349526303321 |
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Deutsch Hans-Peter
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| Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial risk forecasting [[electronic resource] ] : the theory and practice of forecasting market risk, with implementation in R and Matlab / / Jón Daníelsson
| Financial risk forecasting [[electronic resource] ] : the theory and practice of forecasting market risk, with implementation in R and Matlab / / Jón Daníelsson |
| Autore | Daníelsson Jón |
| Pubbl/distr/stampa | Chichester, West Sussex, U.K., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (298 p.) |
| Disciplina |
658.155
658.1550112 |
| Collana | Wiley finance series |
| Soggetto topico |
Financial risk management - Forecasting
Financial risk management - Simulation methods R (Computer program language) Gestió financera Gestió del risc Previsió Mètodes de simulació |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-119-97711-8
1-119-20586-7 1-283-40512-1 9786613405128 1-119-97710-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Financial Risk Forecasting; Contents; Preface; Acknowledgments; Abbreviations; Notation; 1 Financial markets, prices and risk; 1.1 Prices, returns and stock indices; 1.1.1 Stock indices; 1.1.2 Prices and returns; 1.2 S&P 500 returns; 1.2.1 S&P 500 statistics; 1.2.2 S&P 500 statistics in R and Matlab; 1.3 The stylized facts of financial returns; 1.4 Volatility; 1.4.1 Volatility clusters; 1.4.2 Volatility clusters and the ACF; 1.5 Nonnormality and fat tails; 1.6 Identification of fat tails; 1.6.1 Statistical tests for fat tails; 1.6.2 Graphical methods for fat tail analysis
1.6.3 Implications of fat tails in finance1.7 Nonlinear dependence; 1.7.1 Sample evidence of nonlinear dependence; 1.7.2 Exceedance correlations; 1.8 Copulas; 1.8.1 The Gaussian copula; 1.8.2 The theory of copulas; 1.8.3 An application of copulas; 1.8.4 Some challenges in using copulas; 1.9 Summary; 2 Univariate volatility modeling; 2.1 Modeling volatility; 2.2 Simple volatility models; 2.2.1 Moving average models; 2.2.2 EWMA model; 2.3 GARCH and conditional volatility; 2.3.1 ARCH; 2.3.2 GARCH; 2.3.3 The ''memory'' of a GARCH model; 2.3.4 Normal GARCH; 2.3.5 Student-t GARCH 2.3.6 (G)ARCH in mean2.4 Maximum likelihood estimation of volatility models; 2.4.1 The ARCH(1) likelihood function; 2.4.2 The GARCH(1,1) likelihood function; 2.4.3 On the importance of σ1; 2.4.4 Issues in estimation; 2.5 Diagnosing volatility models; 2.5.1 Likelihood ratio tests and parameter significance; 2.5.2 Analysis of model residuals; 2.5.3 Statistical goodness-of-fit measures; 2.6 Application of ARCH and GARCH; 2.6.1 Estimation results; 2.6.2 Likelihood ratio tests; 2.6.3 Residual analysis; 2.6.4 Graphical analysis; 2.6.5 Implementation; 2.7 Other GARCH-type models 2.7.1 Leverage effects and asymmetry2.7.2 Power models; 2.7.3 APARCH; 2.7.4 Application of APARCH models; 2.7.5 Estimation of APARCH; 2.8 Alternative volatility models; 2.8.1 Implied volatility; 2.8.2 Realized volatility; 2.8.3 Stochastic volatility; 2.9 Summary; 3 Multivariate volatility models; 3.1 Multivariate volatility forecasting; 3.1.1 Application; 3.2 EWMA; 3.3 Orthogonal GARCH; 3.3.1 Orthogonalizing covariance; 3.3.2 Implementation; 3.3.3 Large-scale implementations; 3.4 CCC and DCC models; 3.4.1 Constant conditional correlations (CCC); 3.4.2 Dynamic conditional correlations (DCC) 3.4.3 Implementation3.5 Estimation comparison; 3.6 Multivariate extensions of GARCH; 3.6.1 Numerical problems; 3.6.2 The BEKK model; 3.7 Summary; 4 Risk measures; 4.1 Defining and measuring risk; 4.2 Volatility; 4.3 Value-at-risk; 4.3.1 Is VaR a negative or positive number?; 4.3.2 The three steps in VaR calculations; 4.3.3 Interpreting and analyzing VaR; 4.3.4 VaR and normality; 4.3.5 Sign of VaR; 4.4 Issues in applying VaR; 4.4.1 VaR is only a quantile; 4.4.2 Coherence; 4.4.3 Does VaR really violate subadditivity?; 4.4.4 Manipulating VaR; 4.5 Expected shortfall 4.6 Holding periods, scaling and the square root of time |
| Record Nr. | UNINA-9910139552503321 |
|
Daníelsson Jón
|
||
| Chichester, West Sussex, U.K., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial risk forecasting : the theory and practice of forecasting market risk, with implementation in R and Matlab / / Jón Daníelsson
| Financial risk forecasting : the theory and practice of forecasting market risk, with implementation in R and Matlab / / Jón Daníelsson |
| Autore | Daníelsson Jón |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Chichester, West Sussex, U.K., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (298 p.) |
| Disciplina |
658.155
658.1550112 |
| Collana | Wiley finance series |
| Soggetto topico |
Financial risk management - Forecasting
Financial risk management - Simulation methods R (Computer program language) Gestió financera Gestió del risc Previsió Mètodes de simulació |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-119-97711-8
1-119-20586-7 1-283-40512-1 9786613405128 1-119-97710-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Financial Risk Forecasting; Contents; Preface; Acknowledgments; Abbreviations; Notation; 1 Financial markets, prices and risk; 1.1 Prices, returns and stock indices; 1.1.1 Stock indices; 1.1.2 Prices and returns; 1.2 S&P 500 returns; 1.2.1 S&P 500 statistics; 1.2.2 S&P 500 statistics in R and Matlab; 1.3 The stylized facts of financial returns; 1.4 Volatility; 1.4.1 Volatility clusters; 1.4.2 Volatility clusters and the ACF; 1.5 Nonnormality and fat tails; 1.6 Identification of fat tails; 1.6.1 Statistical tests for fat tails; 1.6.2 Graphical methods for fat tail analysis
1.6.3 Implications of fat tails in finance1.7 Nonlinear dependence; 1.7.1 Sample evidence of nonlinear dependence; 1.7.2 Exceedance correlations; 1.8 Copulas; 1.8.1 The Gaussian copula; 1.8.2 The theory of copulas; 1.8.3 An application of copulas; 1.8.4 Some challenges in using copulas; 1.9 Summary; 2 Univariate volatility modeling; 2.1 Modeling volatility; 2.2 Simple volatility models; 2.2.1 Moving average models; 2.2.2 EWMA model; 2.3 GARCH and conditional volatility; 2.3.1 ARCH; 2.3.2 GARCH; 2.3.3 The ''memory'' of a GARCH model; 2.3.4 Normal GARCH; 2.3.5 Student-t GARCH 2.3.6 (G)ARCH in mean2.4 Maximum likelihood estimation of volatility models; 2.4.1 The ARCH(1) likelihood function; 2.4.2 The GARCH(1,1) likelihood function; 2.4.3 On the importance of σ1; 2.4.4 Issues in estimation; 2.5 Diagnosing volatility models; 2.5.1 Likelihood ratio tests and parameter significance; 2.5.2 Analysis of model residuals; 2.5.3 Statistical goodness-of-fit measures; 2.6 Application of ARCH and GARCH; 2.6.1 Estimation results; 2.6.2 Likelihood ratio tests; 2.6.3 Residual analysis; 2.6.4 Graphical analysis; 2.6.5 Implementation; 2.7 Other GARCH-type models 2.7.1 Leverage effects and asymmetry2.7.2 Power models; 2.7.3 APARCH; 2.7.4 Application of APARCH models; 2.7.5 Estimation of APARCH; 2.8 Alternative volatility models; 2.8.1 Implied volatility; 2.8.2 Realized volatility; 2.8.3 Stochastic volatility; 2.9 Summary; 3 Multivariate volatility models; 3.1 Multivariate volatility forecasting; 3.1.1 Application; 3.2 EWMA; 3.3 Orthogonal GARCH; 3.3.1 Orthogonalizing covariance; 3.3.2 Implementation; 3.3.3 Large-scale implementations; 3.4 CCC and DCC models; 3.4.1 Constant conditional correlations (CCC); 3.4.2 Dynamic conditional correlations (DCC) 3.4.3 Implementation3.5 Estimation comparison; 3.6 Multivariate extensions of GARCH; 3.6.1 Numerical problems; 3.6.2 The BEKK model; 3.7 Summary; 4 Risk measures; 4.1 Defining and measuring risk; 4.2 Volatility; 4.3 Value-at-risk; 4.3.1 Is VaR a negative or positive number?; 4.3.2 The three steps in VaR calculations; 4.3.3 Interpreting and analyzing VaR; 4.3.4 VaR and normality; 4.3.5 Sign of VaR; 4.4 Issues in applying VaR; 4.4.1 VaR is only a quantile; 4.4.2 Coherence; 4.4.3 Does VaR really violate subadditivity?; 4.4.4 Manipulating VaR; 4.5 Expected shortfall 4.6 Holding periods, scaling and the square root of time |
| Record Nr. | UNINA-9910811774203321 |
|
Daníelsson Jón
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||
| Chichester, West Sussex, U.K., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial risk management : applications in market, credit, asset and liability management and firmwide risk / / Jimmy Skoglund, Wei Chen
| Financial risk management : applications in market, credit, asset and liability management and firmwide risk / / Jimmy Skoglund, Wei Chen |
| Autore | Skoglund Jimmy <1971-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (712 p.) |
| Disciplina | 658.15/5 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Financial institutions - Risk management
Banks and banking - Risk management Financial risk management Entitats financeres Bancs Gestió del risc |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-119-15724-2
1-119-15750-1 1-119-15723-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910131589703321 |
|
Skoglund Jimmy <1971->
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| Hoboken, New Jersey : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A risky business : an actuary's guide to quantifying and managing risk in society / / Catrin Townsend
| A risky business : an actuary's guide to quantifying and managing risk in society / / Catrin Townsend |
| Autore | Townsend Catrin |
| Pubbl/distr/stampa | Cham, Switzerland : , : Palgrave Macmillan, , [2022] |
| Descrizione fisica | 1 online resource (415 pages) |
| Disciplina | 031 |
| Soggetto topico |
Actuarial science
Risc (Assegurances) Gestió del risc |
| Soggetto genere / forma | Llibres electrònics |
| ISBN | 3-031-11673-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- Preface -- Acknowledgments -- The Non-actuaries -- The Actuaries -- The Future Actuaries -- Contents -- List of Figures -- List of Tables -- 1 Introduction -- 1.1 Introduction to Risk -- 1.2 There's No Business Like… -- 1.3 Can I Insure That? -- 1.4 Risk by Numbers -- 1.4.1 Risk Metrics -- 1.4.2 Success Metrics -- 2 A Short History of Actuarial Work -- 2.1 I'll Be There For You: The Beginning of Lloyd's -- 2.2 Pooling -- 2.3 San Francisco and Uberrima Fides -- 2.4 Lloyd's as a Marketplace -- 2.5 The Role of Actuarial Institutes Around the World -- 3 Products and Perils -- 3.1 What Could Possibly Go Wrong? -- 3.1.1 Property Damage -- 3.1.2 Liability -- 3.1.3 Financial Loss -- 3.1.4 Fixed Benefit -- 3.2 Boats, Buildings, and Beckham: An Introduction to Types of Insurance -- 3.2.1 Motor Insurance -- 3.2.2 Property Insurance -- 3.2.3 Business Insurance -- 3.2.4 Bespoke Financial Loss Policies -- 3.3 New Products, New Possibilities, New Problems -- 3.3.1 Environmental, Social, and Governance Sustainability in Insurance and Pensions -- 3.4 Case Study: Drone Insurance -- 4 Data -- 4.1 More Is More: Data for Beginners -- 4.1.1 More data gives more certainty -- 4.2 Data Is (a Bit Like) the New Oil -- 4.3 Exposure Data -- 4.4 The Importance of Being Earnest (and Honest): GDPR and Ethics in Actuarial Work -- 4.4.1 Who Cares About GDPR? -- 4.4.2 What Are the Broad Aims of GDPR? -- 4.4.3 What Are the New Consumer Rights? -- 4.4.4 What Does GDPR Mean for Actuaries? -- 4.4.5 Price-Walking -- 4.4.6 Discriminatory Data -- 4.4.7 Environmental, Social, and Governance (ESG) and Sustainable Investment -- 4.5 The Future of Data: Insurtech and AI -- 4.5.1 Telematics -- 4.5.2 Smart Appliances and Wearable Tech -- 4.5.3 Machine Learning -- 5 Annuities -- 5.1 Interested in Interest? -- 5.2 Introduction to Annuities -- 5.3 Variations on Annuities.
5.3.1 Annuities Paid Monthly -- 5.3.2 Deferred Annuities -- 5.3.3 Increasing Annuities -- 5.3.4 Perpetuities -- 5.4 IOU: Calculating Loan Repayments -- 5.5 Worked Example -- 6 Life-Dependent Products: Your Money or Your Life -- 6.1 When Will They Die? (And Other Morbid Questions) -- 6.2 What Life Tables Tell Us About Life -- 6.3 Calculations with Life Tables -- 6.4 Life-Dependent Annuities -- 6.5 Variation in Mortality Rates -- 6.5.1 Occupation -- 6.5.2 Smoking -- 6.5.3 Income-Related Risk Factors -- 6.5.4 Genetics -- 6.5.5 Selection Bias -- 6.6 Joint Life Annuities -- 6.7 Reversionary Annuities -- 7 Pensions: Who Pays? -- 7.1 A Short History of Pensions -- 7.2 Defining Defined Benefit Schemes -- 7.3 The DB Disappearance -- 7.4 The Fundamentals of Funding -- 7.4.1 Regular Contribution -- 7.4.2 Terminal Funding -- 7.4.3 Pay As You Go -- 7.5 Social Care -- 8 Pricing: The Science of Estimating the Risk Cost -- 8.1 Why Estimate the Risk Cost? -- 8.2 Getting to Know (People Like) You -- 8.3 Anti-Selection -- 8.4 An Introduction to Generalized Linear Models for Insurance Pricing -- 8.5 Worked Example: Pricing Pet Insurance -- 8.6 Pricing for Large Risks -- 9 Pricing: The Art of Estimating Everything Else -- 9.1 Types of Non-risk Costs -- 9.1.1 Wages, Rent, and Other Operating Expenses -- 9.1.2 Insurance and Reinsurance -- 9.1.3 Commission and Acquisition Expenses -- 9.1.4 Profit Loading -- 9.1.5 Investment Income -- 9.1.6 Insurance Premium Tax -- 9.2 Insurance Fraud -- 9.3 The Insurance Cycle -- 10 Reserving: First Principles -- 10.1 Principles of Reserving -- 10.2 Types of Claim Data -- 10.3 Using Patterns in Data -- 10.4 Injury Claims and PPOs -- 11 Reserving: Methods -- 11.1 Chain Ladder Method -- 11.2 Expected Loss Ratio method -- 11.3 The Bornhuetter-Ferguson Method -- 11.4 Alternative Reserving Methods -- 11.4.1 The ACPC Method. 11.4.2 Curve Fitting -- 11.4.3 Stochastic Methods -- 11.4.4 Machine Learning -- 12 In Case of Emergency: Capital Requirements -- 12.1 That's Capital! -- 12.2 How Much Capital Should be Held? -- 12.3 Solvency -- 12.4 Solvency II -- 12.4.1 What is Solvency II? -- 12.4.2 How Much is the Capital Requirement Under Solvency II? -- 12.4.3 What Kinds of Assets are Allowed Under Solvency II? -- 12.5 Capital Calculation Methods -- 12.5.1 Risk Measures -- 12.5.2 Risk Allocation Methods -- 12.6 Inadequate Capital: A Warning from History -- 12.6.1 Transit: 'The Titanic of Insurance Insolvencies' -- 13 Reinsurance -- 13.1 A Problem Shared: An Introduction to Reinsurance -- 13.1.1 Proportional Reinsurance -- 13.1.2 Excess of Loss Reinsurance (XL) -- 13.2 The LMX Spiral -- 13.3 Reinsurance to Close -- 13.4 Sharing Risk Outside of Insurance -- 13.4.1 Risk Transfer to the Financial Sector -- 13.4.2 Transferring Risk to the Public Sector -- 13.4.2.1 Case Study: Flood Re -- 13.4.2.2 Other Public Sector Flood Insurance Models -- 14 Catastrophes -- 14.1 Modeling Natural Catastrophes -- 14.2 Lessons from Hurricane Katrina -- 14.2.1 Lesson 1: Run for Cover -- 14.2.2 Lesson 2: Count the Seconds -- 14.2.3 Lesson 3: Take a Break (into Consideration) -- 14.2.4 Lesson 4: Social Good, but Profit Better -- 14.2.5 Lesson 5: It Never Rains but It Pours -- 14.3 Promising the World - the Challenge and Benefits of the Globalization of Insurance -- 14.4 A Micro Introduction to Microinsurance -- 14.5 Cyber Insurance -- 15 Climate Change and Biodiversity Loss -- 15.1 Climate Change -- 15.2 From A(ctuary) to Z(oonotic) -- 15.2.1 Underwriting Exclusions -- 15.2.2 Creating a Biodiversity Loss Metric -- 15.2.3 Calculating the Value of Biodiversity to Insurers -- 16 Latent Claims: A Problem for Another Day -- 16.1 An Introduction to… (Wait for It) …. Latent Claims. 16.2 Asbestos: The Wonder Fabric with a Dark Secret -- 16.3 The Blame Game: Insurance and the Law -- 16.4 Environmental Claims -- 17 Modeling Coronavirus-19 -- 17.1 Modeling in a Crisis -- 17.2 Modeling Coronavirus-19 Spread -- 17.3 Re-modeling (and Re-modeling and Re-modeling) Coronavirus Spread -- 17.4 Covid Corollaries: The Effect of the Pandemic on Insurance and Pensions -- 18 Careers in Actuarial Science -- 18.1 What Do You Need to Be an Actuary? -- 18.2 Professional Qualifications -- 18.2.1 IFoA Exams-The Detail -- 18.2.2 SOA and CAS Exams-The Detail -- 18.3 Exam FAQs -- 18.4 Professional Development -- 18.5 The International Market for Actuarial Science -- 18.6 A Day in the Life of an Actuarial Analyst -- 18.6.1 A Day in the Life of a Pricing Analyst -- 18.6.2 A Day in the Life of a Reserving Analyst -- 18.7 Final Remarks on Actuarial Careers -- 19 Looking Forward: The Future of Actuarial Work -- 19.1 It's The End of The World as We Know it-And We'll Be Fine -- Appendices -- Appendix A: Table of Compound Interest, for 3% and 5% Effective Interest Per Annum -- Appendix B: Life Tables for UK Male and Female Lives -- Appendix C: Net Present Value of Life-Dependent Annuities for 3% and 5% Interest Rates -- Glossary -- Index. |
| Record Nr. | UNINA-9910595029203321 |
|
Townsend Catrin
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||
| Cham, Switzerland : , : Palgrave Macmillan, , [2022] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A risky business : an actuary's guide to quantifying and managing risk in society / / Catrin Townsend
| A risky business : an actuary's guide to quantifying and managing risk in society / / Catrin Townsend |
| Autore | Townsend Catrin |
| Pubbl/distr/stampa | Cham, Switzerland : , : Palgrave Macmillan, , [2022] |
| Descrizione fisica | 1 online resource (415 pages) |
| Disciplina | 031 |
| Soggetto topico |
Actuarial science
Risc (Assegurances) Gestió del risc |
| Soggetto genere / forma | Llibres electrònics |
| ISBN | 3-031-11673-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- Preface -- Acknowledgments -- The Non-actuaries -- The Actuaries -- The Future Actuaries -- Contents -- List of Figures -- List of Tables -- 1 Introduction -- 1.1 Introduction to Risk -- 1.2 There's No Business Like… -- 1.3 Can I Insure That? -- 1.4 Risk by Numbers -- 1.4.1 Risk Metrics -- 1.4.2 Success Metrics -- 2 A Short History of Actuarial Work -- 2.1 I'll Be There For You: The Beginning of Lloyd's -- 2.2 Pooling -- 2.3 San Francisco and Uberrima Fides -- 2.4 Lloyd's as a Marketplace -- 2.5 The Role of Actuarial Institutes Around the World -- 3 Products and Perils -- 3.1 What Could Possibly Go Wrong? -- 3.1.1 Property Damage -- 3.1.2 Liability -- 3.1.3 Financial Loss -- 3.1.4 Fixed Benefit -- 3.2 Boats, Buildings, and Beckham: An Introduction to Types of Insurance -- 3.2.1 Motor Insurance -- 3.2.2 Property Insurance -- 3.2.3 Business Insurance -- 3.2.4 Bespoke Financial Loss Policies -- 3.3 New Products, New Possibilities, New Problems -- 3.3.1 Environmental, Social, and Governance Sustainability in Insurance and Pensions -- 3.4 Case Study: Drone Insurance -- 4 Data -- 4.1 More Is More: Data for Beginners -- 4.1.1 More data gives more certainty -- 4.2 Data Is (a Bit Like) the New Oil -- 4.3 Exposure Data -- 4.4 The Importance of Being Earnest (and Honest): GDPR and Ethics in Actuarial Work -- 4.4.1 Who Cares About GDPR? -- 4.4.2 What Are the Broad Aims of GDPR? -- 4.4.3 What Are the New Consumer Rights? -- 4.4.4 What Does GDPR Mean for Actuaries? -- 4.4.5 Price-Walking -- 4.4.6 Discriminatory Data -- 4.4.7 Environmental, Social, and Governance (ESG) and Sustainable Investment -- 4.5 The Future of Data: Insurtech and AI -- 4.5.1 Telematics -- 4.5.2 Smart Appliances and Wearable Tech -- 4.5.3 Machine Learning -- 5 Annuities -- 5.1 Interested in Interest? -- 5.2 Introduction to Annuities -- 5.3 Variations on Annuities.
5.3.1 Annuities Paid Monthly -- 5.3.2 Deferred Annuities -- 5.3.3 Increasing Annuities -- 5.3.4 Perpetuities -- 5.4 IOU: Calculating Loan Repayments -- 5.5 Worked Example -- 6 Life-Dependent Products: Your Money or Your Life -- 6.1 When Will They Die? (And Other Morbid Questions) -- 6.2 What Life Tables Tell Us About Life -- 6.3 Calculations with Life Tables -- 6.4 Life-Dependent Annuities -- 6.5 Variation in Mortality Rates -- 6.5.1 Occupation -- 6.5.2 Smoking -- 6.5.3 Income-Related Risk Factors -- 6.5.4 Genetics -- 6.5.5 Selection Bias -- 6.6 Joint Life Annuities -- 6.7 Reversionary Annuities -- 7 Pensions: Who Pays? -- 7.1 A Short History of Pensions -- 7.2 Defining Defined Benefit Schemes -- 7.3 The DB Disappearance -- 7.4 The Fundamentals of Funding -- 7.4.1 Regular Contribution -- 7.4.2 Terminal Funding -- 7.4.3 Pay As You Go -- 7.5 Social Care -- 8 Pricing: The Science of Estimating the Risk Cost -- 8.1 Why Estimate the Risk Cost? -- 8.2 Getting to Know (People Like) You -- 8.3 Anti-Selection -- 8.4 An Introduction to Generalized Linear Models for Insurance Pricing -- 8.5 Worked Example: Pricing Pet Insurance -- 8.6 Pricing for Large Risks -- 9 Pricing: The Art of Estimating Everything Else -- 9.1 Types of Non-risk Costs -- 9.1.1 Wages, Rent, and Other Operating Expenses -- 9.1.2 Insurance and Reinsurance -- 9.1.3 Commission and Acquisition Expenses -- 9.1.4 Profit Loading -- 9.1.5 Investment Income -- 9.1.6 Insurance Premium Tax -- 9.2 Insurance Fraud -- 9.3 The Insurance Cycle -- 10 Reserving: First Principles -- 10.1 Principles of Reserving -- 10.2 Types of Claim Data -- 10.3 Using Patterns in Data -- 10.4 Injury Claims and PPOs -- 11 Reserving: Methods -- 11.1 Chain Ladder Method -- 11.2 Expected Loss Ratio method -- 11.3 The Bornhuetter-Ferguson Method -- 11.4 Alternative Reserving Methods -- 11.4.1 The ACPC Method. 11.4.2 Curve Fitting -- 11.4.3 Stochastic Methods -- 11.4.4 Machine Learning -- 12 In Case of Emergency: Capital Requirements -- 12.1 That's Capital! -- 12.2 How Much Capital Should be Held? -- 12.3 Solvency -- 12.4 Solvency II -- 12.4.1 What is Solvency II? -- 12.4.2 How Much is the Capital Requirement Under Solvency II? -- 12.4.3 What Kinds of Assets are Allowed Under Solvency II? -- 12.5 Capital Calculation Methods -- 12.5.1 Risk Measures -- 12.5.2 Risk Allocation Methods -- 12.6 Inadequate Capital: A Warning from History -- 12.6.1 Transit: 'The Titanic of Insurance Insolvencies' -- 13 Reinsurance -- 13.1 A Problem Shared: An Introduction to Reinsurance -- 13.1.1 Proportional Reinsurance -- 13.1.2 Excess of Loss Reinsurance (XL) -- 13.2 The LMX Spiral -- 13.3 Reinsurance to Close -- 13.4 Sharing Risk Outside of Insurance -- 13.4.1 Risk Transfer to the Financial Sector -- 13.4.2 Transferring Risk to the Public Sector -- 13.4.2.1 Case Study: Flood Re -- 13.4.2.2 Other Public Sector Flood Insurance Models -- 14 Catastrophes -- 14.1 Modeling Natural Catastrophes -- 14.2 Lessons from Hurricane Katrina -- 14.2.1 Lesson 1: Run for Cover -- 14.2.2 Lesson 2: Count the Seconds -- 14.2.3 Lesson 3: Take a Break (into Consideration) -- 14.2.4 Lesson 4: Social Good, but Profit Better -- 14.2.5 Lesson 5: It Never Rains but It Pours -- 14.3 Promising the World - the Challenge and Benefits of the Globalization of Insurance -- 14.4 A Micro Introduction to Microinsurance -- 14.5 Cyber Insurance -- 15 Climate Change and Biodiversity Loss -- 15.1 Climate Change -- 15.2 From A(ctuary) to Z(oonotic) -- 15.2.1 Underwriting Exclusions -- 15.2.2 Creating a Biodiversity Loss Metric -- 15.2.3 Calculating the Value of Biodiversity to Insurers -- 16 Latent Claims: A Problem for Another Day -- 16.1 An Introduction to… (Wait for It) …. Latent Claims. 16.2 Asbestos: The Wonder Fabric with a Dark Secret -- 16.3 The Blame Game: Insurance and the Law -- 16.4 Environmental Claims -- 17 Modeling Coronavirus-19 -- 17.1 Modeling in a Crisis -- 17.2 Modeling Coronavirus-19 Spread -- 17.3 Re-modeling (and Re-modeling and Re-modeling) Coronavirus Spread -- 17.4 Covid Corollaries: The Effect of the Pandemic on Insurance and Pensions -- 18 Careers in Actuarial Science -- 18.1 What Do You Need to Be an Actuary? -- 18.2 Professional Qualifications -- 18.2.1 IFoA Exams-The Detail -- 18.2.2 SOA and CAS Exams-The Detail -- 18.3 Exam FAQs -- 18.4 Professional Development -- 18.5 The International Market for Actuarial Science -- 18.6 A Day in the Life of an Actuarial Analyst -- 18.6.1 A Day in the Life of a Pricing Analyst -- 18.6.2 A Day in the Life of a Reserving Analyst -- 18.7 Final Remarks on Actuarial Careers -- 19 Looking Forward: The Future of Actuarial Work -- 19.1 It's The End of The World as We Know it-And We'll Be Fine -- Appendices -- Appendix A: Table of Compound Interest, for 3% and 5% Effective Interest Per Annum -- Appendix B: Life Tables for UK Male and Female Lives -- Appendix C: Net Present Value of Life-Dependent Annuities for 3% and 5% Interest Rates -- Glossary -- Index. |
| Record Nr. | UNISA-996490344403316 |
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Townsend Catrin
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| Cham, Switzerland : , : Palgrave Macmillan, , [2022] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Stochastic Models for Prices Dynamics in Energy and Commodity Markets : An Infinite-Dimensional Perspective / / by Fred Espen Benth, Paul Krühner
| Stochastic Models for Prices Dynamics in Energy and Commodity Markets : An Infinite-Dimensional Perspective / / by Fred Espen Benth, Paul Krühner |
| Autore | Benth Fred Espen |
| Edizione | [1st ed. 2023.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2023 |
| Descrizione fisica | 1 online resource (250 pages) |
| Disciplina | 519.23 |
| Altri autori (Persone) | KrühnerPaul |
| Collana | Springer Finance |
| Soggetto topico |
Stochastic processes
Statistics Financial risk management Functional analysis Renewable energy sources Stochastic Processes Statistics in Business, Management, Economics, Finance, Insurance Risk Management Functional Analysis Renewable Energy Gestió del risc Anàlisi funcional Processos estocàstics Energies renovables |
| Soggetto genere / forma | Llibres electrònics |
| ISBN | 3-031-40367-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1 Introduction -- Part I: Mathematical Tools -- 2 Lévy processes on Hilbert spaces -- 3 The Filipović space and operators -- 4 Stochastic integration and partial differential equations -- Part II: Modelling the Forward Price Dynamics and Derivatives Pricing -- 5 Spot models and forward pricing -- 6 Heath–Jarrow–Morton type models -- 7 Pricing of commodity and energy options -- Appendix A: Collection of some fundamental properties of the Filipović space. |
| Record Nr. | UNINA-9910765496003321 |
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Benth Fred Espen
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2023 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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