Financial modeling, actuarial valuation and solvency in insurance / Mario V. Wuthrich and Michael Merz.
Material type:
TextSeries: Springer financePublication details: Berlin : Springer-Verlag, 2013.Description: xiv, 432 p. : illISBN: - 9783642313912 (hard cover : alk. paper)
- 23 W973 000SB:368
| Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
|---|---|---|---|---|---|---|---|
| Books | ISI Library, Kolkata | 000SB:368 W973 (Browse shelf(Opens below)) | Available | 135276 |
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| 000SB:368 M636 Non-life insurance mathematics | 000SB:368 W738 Lundberg approximations for compound distributions with insurance applications | 000SB:368 W738 Lundberg approximations for compound distributions with insurance applications | 000SB:368 W973 Financial modeling, actuarial valuation and solvency in insurance / | 000SB:370.78 H497 Statistical research methods in education and psychology | 000SB:370.78 Sl631 Statistical inference for educational researchers | 000SB:370.78 V316 Introduction to educational and psychological research |
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. with References and 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)
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