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Financial modeling, actuarial valuation and solvency in insurance

Author: Mario V Wüthrich; Michael Merz
Publisher: Berlin ; New York : Springer, ©2013.
Series: Springer finance.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
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  Read more...
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Genre/Form: Electronic books
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Mario V Wüthrich; Michael Merz
ISBN: 9783642313929 3642313922 3642313914 9783642313912
OCLC Number: 839671313
Description: 1 online resource.
Contents: Financial Valuation Principles. State Price Deflators and Stochastic Discounting --
Spot Rate Models --
Stochastic Forward Rate and Yield Curve Modeling --
Pricing of Financial Assets --
Actuarial Valuation and Solvency. Actuarial and Financial Modeling --
Valuation Portfolio --
Protected Valuation Portfolio --
Solvency --
Selected Topics and Examples --
Appendix. Auxiliary Considerations.
Series Title: Springer finance.
Responsibility: Mario V. Wüthrich, Michael Merz.
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Abstract:

This book combines ideas from financial mathematics, actuarial sciences and economic theory to give a fully consistent framework for the analysis of solvency questions.  Read more...

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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 Read more...

 
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