Opis: Risk Analysis in Finance and Insurance - Alexander Melnikov

The development of quantitative methods based on stochastic analysis is a key achievement of modern financial mathematics. These methods can be extended and applied in the area of actuarial science, which leads to unified methods of risk management in finance and insurance. This interdisciplinary book presents an accessible, thorough introduction to the main ideas, methods, and techniques that transform risk management into a quantitative science. It clearly discusses many important notions and facts from mathematics, finance, and insurance, showing how these areas are interconnected. The text includes exercises, along with hints and selected solutions. Praise for the First Edition ! a useful addition to a rapidly expanding field. --Journal of the Royal Statistical Society Here is a comprehensive and accessible introduction to the ideas, methods and probabilistic models that have transformed risk management into a quantitative science and [have] led to unified methods for analyzing insurance and finance risk. --Business Horizons Risk Analysis in Finance and Insurance is a self-contained and highly comprehensive introduction to mathematical finance and its interplay with insurance risk analysis. Students will like the book due to the many worked-out examples deepening the understanding of the theory. A special and probably unique feature of the book is its unified approach to financial and insurance risks. As a consequence of the convergence of financial and insurance markets, practitioners in financial institutions will have great benefit from books like Melnikov's covering mathematical approaches to risk analysis in both markets in a consistent manner. --Christian Bluhm, Credit Suisse, Zurich, SwitzerlandFinancial Risk Management and Related Mathematical Tools Introductory concepts of the securities market Probabilistic foundations of financial modelling and pricing of contingent claims Elements of probability theory and stochastic analysis Financial Risk Management in the Binomial Model The binomial model of a financial market. Absence of arbitrage, uniqueness of a risk-neutral probability measure, martingale representation Hedging contingent claims in the binomial market model. The Cox-Ross-Rubinstein formula Pricing and hedging American options Utility functions and St. Petersburg's paradox. The problem of optimal investment The term structure of prices, hedging and investment strategies in the Ho-Lee model The transition from the binomial model of a financial market to a continuous model. The Black-Scholes formula and equation Advanced Analysis of Financial Risks: Discrete Time Models Fundamental theorems on arbitrage and completeness. Pricing and hedging contingent claims in complete and incomplete markets The structure of options prices in incomplete markets and in markets with constraints Hedging contingent claims in mean square Gaussian model of a financial market in discrete time. Insurance appreciation and discrete version of the Black-Scholes formula Analysis of Risks: Continuous Time Models The Black-Scholes model. "Greek" parameters in risk management, hedging and optimal investment Beyond the Black-Scholes model Imperfect hedging and risk measures Fixed Income Securities: Modeling and Pricing Elements of deterministic theory of fixed income instruments Stochastic modelling and pricing bonds and their derivatives Implementations of Risk Analysis in Various Areas of Financial Industry Real options: pricing long-term investment projects Technical analysis in risk management Performance measures and their applications Insurance and Reinsurance Risks Modelling risk in insurance and methodologies of premium calculations Risks transfers via reinsurance Elements of traditional life insurance Risk modelling and pricing in innovative life insurance Solvency Problem for an Insurance Company Ruin probability as a measure of solvency of an insurance company Solvency of an insurance company and investment portfolios Solvency problem in a generalized Cramer-Lundberg model Appendix A: Problems Appendix B: Bibliographic Remarks Bibliography Glossary of Notation Index

Szczegóły: Risk Analysis in Finance and Insurance - Alexander Melnikov

Tytuł: Risk Analysis in Finance and Insurance
Autor: Alexander Melnikov
Producent: Taylor
ISBN: 9781420070521
Rok produkcji: 2004
Ilość stron: 328
Oprawa: Twarda
Waga: 0.55 kg

Recenzje: Risk Analysis in Finance and Insurance - Alexander Melnikov