Springer Finance

Financial Modeling, Actuarial Valuation and Solvency in Insurance

Authors: Wüthrich, Mario V., Merz, Michael

  • ​​Addressed to practitioners in the financial and actuarial industry as well as more academic researchers  
  •  Takes into account all current solvency developments of the financial industry
  • Core text for enterprise risk management in Chartered Enterprise Risk Analyst (CERA) training and qualification  ​  
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eBook $74.99
price for USA (gross)
  • ISBN 978-3-642-31392-9
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $99.00
price for USA
  • ISBN 978-3-642-31391-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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.

Reviews

From the reviews:

“The purpose of this book is to introduce sound risk measurement practices which form bases of good risk management policies and solvency regulation. … I warmly recommend this book to graduate students and researchers in applied mathematics, financial mathematics, actuarial science, solvency and insurance. … The models proposed are original and very up-to-date. The book could be an essential tool for people working with financial modeling, actuarial valuation, and solvency in insurance.” (Răzvan Răducanu, Mathematical Reviews, December, 2013)

Table of contents (11 chapters)

  • Introduction

    Wüthrich, Mario V. (et al.)

    Pages 1-8

  • State Price Deflators and Stochastic Discounting

    Wüthrich, Mario V. (et al.)

    Pages 11-33

  • Spot Rate Models

    Wüthrich, Mario V. (et al.)

    Pages 35-95

  • Stochastic Forward Rate and Yield Curve Modeling

    Wüthrich, Mario V. (et al.)

    Pages 97-130

  • Pricing of Financial Assets

    Wüthrich, Mario V. (et al.)

    Pages 131-151

Buy this book

eBook $74.99
price for USA (gross)
  • ISBN 978-3-642-31392-9
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $99.00
price for USA
  • ISBN 978-3-642-31391-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Financial Modeling, Actuarial Valuation and Solvency in Insurance
Authors
Series Title
Springer Finance
Copyright
2013
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-31392-9
DOI
10.1007/978-3-642-31392-9
Hardcover ISBN
978-3-642-31391-2
Series ISSN
1616-0533
Edition Number
1
Number of Pages
XIV, 432
Topics