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Risk Analysis in Finance and Insurance
ISBN-13:
9781420070538
Veröffentl:
2011
Seiten:
328
Autor:
Alexander Melnikov
eBook Typ:
PDF
eBook Format:
EPUB
Kopierschutz:
2 - DRM Adobe
Sprache:
Englisch
Beschreibung:
Reorganized and expanded, this updated book introduces the main ideas, techniques, and stochastic models of financial mathematics. It focuses on the foundations and key concepts of the modern methodology of quantitative financial analysis, explores the problems of managing insurance risks, and examines the multiple intrinsic connections between insurance risks and financial risks. With more examples and problems, this edition contains an expanded section on the foundations of probability and stochastic analysis and covers new topics, including financial markets with stochastic volatility, risk measures, risk-adjusted performance measures, and equity-linked insurance.
Financial Risk Management and Related Mathematical Tools. Financial Risk Management in the Binomial Model. Advanced Analysis of Financial Risks: Discrete Time Models. Analysis of Risks: Continuous Time Models. Fixed Income Securities: Modeling and Pricing. Implementations of Risk Analysis in Various Areas of Financial Industry. Insurance and Reinsurance Risks. Solvency Problem for an Insurance Company. Appendices. Bibliography. Glossary of Notation. Index.
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