Financial Modeling, Actuarial Valuation and Solvency in Insurance
By: by Mario V. Wüthrich, Michael Merz
Contributors: Merz, Michael; SpringerLink (Online service)
Series: Springer Finance
Publisher: Springer Berlin Heidelberg; Imprint: Springer
Published: 2013
Place of publication: Berlin, Heidelberg
Language: eng
Format: [electronic resource] /
Number of pages: 432
ISBN-13: 9783642313929
Subjects: Statistics; Finance; Quantitative Finance; Mathematics; Economics; Statistics for Business/Economics/Mathematical Finance/Insurance; Actuarial Sciences
Description: 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.
Table of contents: title: 1.Introduction; title: Part I: Financial Valuation Principles; title: 2.State price deflators and stochastic discounting; title: 3.spot rate models; title: 4.Stochastic forward rate and yield curve modeling; title: 5.Pricing of financial assets; title: Part II: Actuarial Valuation and Solvency; title: 6.Actuarial and financial modeling; title: 7.Valuation portfolio; title: 8.Protected valuation portfolio; title: 9.Solvency; title: 10.Selected topics and examples; title: Part III: Appendix; title: 11.Auxiliary considerations; title: References; title: Index.