Financial Risk and Derivatives

1. Front Matter

   Pages 1-4

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2. Introductory Note

   • Henri Loubergé

   Pages 5-6

3. The Term Structure of Interest Rates: Alternative Approaches and Their Implications for the Valuation of Contingent Claims

   • Marti G. Subrahmanyam

   Pages 7-28

4. Some Remarks on Modeling the Term Structure of Interest Rates

   • Günter Franke

   Pages 29-33

5. Exotic Unit-Linked Life Insurance Contracts

   • Steinar Ekern, Svein-Arne Persson

   Pages 35-63

6. Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts

   • J. Aase Nielsen, Klaus Sandmann

   Pages 65-102

7. Optimal Dynamic Hedging in Incomplete Futures Markets

   • Abraham Lioui, Pascal Nguyen Duc Trong, Patrice Poncet

   Pages 103-122

8. Fairly Priced Deposit Insurance, Incentive Compatible Regulations, and Bank Asset Choices

   • Suk Heun Yoon, Sumon C. Mazumdar

   Pages 123-141

Financial Risk and Derivatives provides an excellent illustration of the links that have developed in recent years between the theory of finance on one hand and insurance economics and actuarial science on the other. Advances in contingent claims analysis and developments in the academic and practical literature dealing with the management of financial risks reflect the close relationships between insurance and innovations in finance.
The book represents an overview of the present state of the art in theoretical research dealing with financial issues of significance for insurance science. It will hopefully provide an impetus to further developments in applied insurance research.

• Bank
• Finance
• Hedging
• derivatives
• futures
• valuation

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