TY  - BOOK
AU  - Wuthrich,Mario V.
AU  - Merz, Michael.
TI  - Financial modeling, actuarial valuation and solvency in insurance
T2  - Springer finance
SN  - 9783642313912 (hard cover : alk. paper)
U1  - 000SB:368 23
PY  - 2013///
CY  - Berlin
PB  - Springer-Verlag
KW  - Insurance
KW  - Mathematical models.
KW  - Statistical methods
KW  - BUSINESS & ECONOMICS / Insurance / Risk Assessment & Management
N1  - 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
N2  - 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)
ER  -