Authors:
- 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 ?
- Includes supplementary material: sn.pub/extras
Part of the book series: Springer Finance (FINANCE)
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Table of contents (11 chapters)
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Front Matter
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Financial Valuation Principles
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Front Matter
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Actuarial Valuation and Solvency
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Front Matter
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Appendix
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Front Matter
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Back Matter
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)Authors and Affiliations
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RiskLab, Department of Mathematics, ETH Zurich, Zurich, Switzerland
Mario V. Wüthrich
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Faculty for Economic and Social Studies, Department of Business Administration, University of Hamburg, Hamburg, Germany
Michael Merz
Bibliographic Information
Book Title: Financial Modeling, Actuarial Valuation and Solvency in Insurance
Authors: Mario V. Wüthrich, Michael Merz
Series Title: Springer Finance
DOI: https://doi.org/10.1007/978-3-642-31392-9
Publisher: Springer Berlin, Heidelberg
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2013
Hardcover ISBN: 978-3-642-31391-2Published: 17 April 2013
Softcover ISBN: 978-3-642-43296-5Published: 20 May 2015
eBook ISBN: 978-3-642-31392-9Published: 04 April 2013
Series ISSN: 1616-0533
Series E-ISSN: 2195-0687
Edition Number: 1
Number of Pages: XIV, 432
Topics: Quantitative Finance, Actuarial Sciences, Statistics for Business, Management, Economics, Finance, Insurance