Risk Measures And Insurance Solvency Benchmarks

Author : Vsevolod K. Malinovskii
Publisher : CRC Press
ISBN 13 : 1000411079
Total Pages : 340 pages
Book Rating : 4.72/5 ( download)

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Download or read book Risk Measures and Insurance Solvency Benchmarks written by Vsevolod K. Malinovskii and published by CRC Press. This book was released on 2021-07-22 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk Measures and Insurance Solvency Benchmarks: Fixed-Probability Levels in Renewal Risk Models is written for academics and practitioners who are concerned about potential weaknesses of the Solvency II regulatory system. It is also intended for readers who are interested in pure and applied probability, have a taste for classical and asymptotic analysis, and are motivated to delve into rather intensive calculations. The formal prerequisite for this book is a good background in analysis. The desired prerequisite is some degree of probability training, but someone with knowledge of the classical real-variable theory, including asymptotic methods, will also find this book interesting. For those who find the proofs too complicated, it may be reassuring that most results in this book are formulated in rather elementary terms. This book can also be used as reading material for basic courses in risk measures, insurance mathematics, and applied probability. The material of this book was partly used by the author for his courses in several universities in Moscow, Copenhagen University, and in the University of Montreal. Features Requires only minimal mathematical prerequisites in analysis and probability Suitable for researchers and postgraduate students in related fields Could be used as a supplement to courses in risk measures, insurance mathematics and applied probability.

Author : Marcus Kriele
Publisher : Springer Science & Business Media
ISBN 13 : 1447163052
Total Pages : 383 pages
Book Rating : 4.53/5 ( download)

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Download or read book Value-Oriented Risk Management of Insurance Companies written by Marcus Kriele and published by Springer Science & Business Media. This book was released on 2014-01-14 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: Value- and risk-oriented management is a holistic method of managing businesses. In this book both actuarial methods and methods pertaining to classical internal control and classical risk management are used. Therefore the approach taken is necessarily interdisciplinary. Indeed, there is a new dynamically developing field for actuaries as a result of the emphasis now on the measurement of risk. This book provides the required basic knowledge for this subject from an actuarial perspective. It enables the reader to implement in practice a risk management system that is based on quantitative methods. With this book, the reader will additionally be able to critically appraise the applicability and the limits of the methods used in modern risk management. Value-oriented Management of Risk in Insurance focuses on risk capital, capital allocation, performance measurement and value-oriented management. It also makes a connection to regulatory developments (for example, Solvency II). The reader should have a basic knowledge of probability and familiarity with mathematical concepts. It is intended for working actuaries and quantitative risk managers as well as actuarial students.

Author : Craig Thorburn
Publisher : World Bank Publications
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4./5 ( download)

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Download or read book On the Measurement of Solvency of Insurance Companies written by Craig Thorburn and published by World Bank Publications. This book was released on 2004 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Vsevolod K. Malinovskii
Publisher : CRC Press
ISBN 13 : 1000392929
Total Pages : 453 pages
Book Rating : 4.20/5 ( download)

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Download or read book Level-Crossing Problems and Inverse Gaussian Distributions written by Vsevolod K. Malinovskii and published by CRC Press. This book was released on 2021-07-25 with total page 453 pages. Available in PDF, EPUB and Kindle. Book excerpt: Primarily aimed at researchers and postgraduates, but may be of interest to some professionals working in related fields, such as the insurance industry Suitable as supplementary reading for a standard course in applied probability Requires minimal prerequisites in mathematical analysis and probability theory

Author : Luca Regis
Publisher : MDPI
ISBN 13 : 3038427306
Total Pages : 165 pages
Book Rating : 4.08/5 ( download)

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Download or read book Actuarial and Financial Risks in Life Insurance, Pensions Pensions and Household Finance written by Luca Regis and published by MDPI. This book was released on 2018-02-22 with total page 165 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a printed edition of the Special Issue "Actuarial and Financial Risks in Life Insurance, Pensions and Household Finance" that was published in Risks

Author : Alexander Melnikov
Publisher : CRC Press
ISBN 13 : 1135437459
Total Pages : 267 pages
Book Rating : 4.59/5 ( download)

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Download or read book Risk Analysis in Finance and Insurance written by Alexander Melnikov and published by CRC Press. This book was released on 2004-06-02 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: Historically, financial and insurance risks were separate subjects most often analyzed using qualitative methods. The development of quantitative methods based on stochastic analysis is an important achievement of modern financial mathematics, one that can naturally be extended and applied in actuarial mathematics. Risk Analysis in Finance and Insurance offers the first comprehensive and accessible introduction to the ideas, methods, and probabilistic models that have transformed risk management into a quantitative science and led to unified methods for analyzing insurance and finance risks. The author's approach is based on a methodology for estimating the present value of future payments given current financial, insurance, and other information, which leads to proper, practical definitions of the price of a financial contract, the premium for an insurance policy, and the reserve of an insurance company. Self-contained and full of exercises and worked examples, Risk Analysis in Finance and Insurance serves equally well as a text for courses in financial and actuarial mathematics and as a valuable reference for financial analysts and actuaries. Ancillary electronic materials will be available for download from the publisher's Web site.

Author : Mladen Victor Wickerhauser
Publisher : CRC Press
ISBN 13 : 1000778819
Total Pages : 305 pages
Book Rating : 4.16/5 ( download)

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Download or read book Introducing Financial Mathematics written by Mladen Victor Wickerhauser and published by CRC Press. This book was released on 2022-11-09 with total page 305 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introducing Financial Mathematics: Theory, Binomial Models, and Applications seeks to replace existing books with a rigorous stand-alone text that covers fewer examples in greater detail with more proofs. The book uses the fundamental theorem of asset pricing as an introduction to linear algebra and convex analysis. It also provides example computer programs, mainly Octave/MATLAB functions but also spreadsheets and Macsyma scripts, with which students may experiment on real data.The text's unique coverage is in its contemporary combination of discrete and continuous models to compute implied volatility and fit models to market data. The goal is to bridge the large gaps among nonmathematical finance texts, purely theoretical economics texts, and specific software-focused engineering texts.

Author : Chris Kelliher
Publisher : CRC Press
ISBN 13 : 1000582302
Total Pages : 698 pages
Book Rating : 4.07/5 ( download)

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Download or read book Quantitative Finance with Python written by Chris Kelliher and published by CRC Press. This book was released on 2022-05-19 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative Finance with Python: A Practical Guide to Investment Management, Trading and Financial Engineering bridges the gap between the theory of mathematical finance and the practical applications of these concepts for derivative pricing and portfolio management. The book provides students with a very hands-on, rigorous introduction to foundational topics in quant finance, such as options pricing, portfolio optimization and machine learning. Simultaneously, the reader benefits from a strong emphasis on the practical applications of these concepts for institutional investors. Features Useful as both a teaching resource and as a practical tool for professional investors. Ideal textbook for first year graduate students in quantitative finance programs, such as those in master’s programs in Mathematical Finance, Quant Finance or Financial Engineering. Includes a perspective on the future of quant finance techniques, and in particular covers some introductory concepts of Machine Learning. Free-to-access repository with Python codes available at www.routledge.com/ 9781032014432 and on https://github.com/lingyixu/Quant-Finance-With-Python-Code.

Author : Yue Kuen Kwok
Publisher : CRC Press
ISBN 13 : 1000584259
Total Pages : 283 pages
Book Rating : 4.57/5 ( download)

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Download or read book Pricing Models of Volatility Products and Exotic Variance Derivatives written by Yue Kuen Kwok and published by CRC Press. This book was released on 2022-05-08 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods. Features Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products Can be used as a university textbook in a topic course on pricing variance derivatives

Author : Elisa Alos
Publisher : CRC Press
ISBN 13 : 1000403513
Total Pages : 350 pages
Book Rating : 4.10/5 ( download)

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Download or read book Malliavin Calculus in Finance written by Elisa Alos and published by CRC Press. This book was released on 2021-07-14 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt: Malliavin Calculus in Finance: Theory and Practice aims to introduce the study of stochastic volatility (SV) models via Malliavin Calculus. Malliavin calculus has had a profound impact on stochastic analysis. Originally motivated by the study of the existence of smooth densities of certain random variables, it has proved to be a useful tool in many other problems. In particular, it has found applications in quantitative finance, as in the computation of hedging strategies or the efficient estimation of the Greeks. The objective of this book is to offer a bridge between theory and practice. It shows that Malliavin calculus is an easy-to-apply tool that allows us to recover, unify, and generalize several previous results in the literature on stochastic volatility modeling related to the vanilla, the forward, and the VIX implied volatility surfaces. It can be applied to local, stochastic, and also to rough volatilities (driven by a fractional Brownian motion) leading to simple and explicit results. Features Intermediate-advanced level text on quantitative finance, oriented to practitioners with a basic background in stochastic analysis, which could also be useful for researchers and students in quantitative finance Includes examples on concrete models such as the Heston, the SABR and rough volatilities, as well as several numerical experiments and the corresponding Python scripts Covers applications on vanillas, forward start options, and options on the VIX. The book also has a Github repository with the Python library corresponding to the numerical examples in the text. The library has been implemented so that the users can re-use the numerical code for building their examples. The repository can be accessed here: https://bit.ly/2KNex2Y.