Risk Analysis in Finance and Insurance PDF Download

Author: Alexander Melnikov
Publisher: CRC Press
ISBN: 0203498577
Category : Mathematics
Languages : en
Pages : 267

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Book Description
Historically, financial and insurance risks were separate subjects most often analyzed using qualitative methods. The development of quantitative methods based on stochastic analysis is an important achievement of modern financial mathematics, one that can naturally be extended and applied in actuarial mathematics. Risk Analysis in Finance

Author: Soren Asmussen
Publisher: World Scientific
ISBN: 9814466921
Category : Mathematics
Languages : en
Pages : 621

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Book Description
The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramér-Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabilities, extensions of the classical compound Poisson model to allow for reserve-dependent premiums, Markov-modulation, periodicity, change of measure techniques, phase-type distributions as a computational vehicle and the connection to other applied probability areas, like queueing theory. In this substantially updated and extended second version, new topics include stochastic control, fluctuation theory for Levy processes, Gerber-Shiu functions and dependence.

Author: Bernt Øksendal
Publisher: Springer Science & Business Media
ISBN: 3540698264
Category : Mathematics
Languages : en
Pages : 263

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Book Description
Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.

Author: Tze Leung Lai
Publisher: CRC Press
ISBN: 1351643258
Category : Business & Economics
Languages : en
Pages : 1098

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Book Description
This book presents statistics and data science methods for risk analytics in quantitative finance and insurance. Part I covers the background, financial models, and data analytical methods for market risk, credit risk, and operational risk in financial instruments, as well as models of risk premium and insolvency in insurance contracts. Part II provides an overview of machine learning (including supervised, unsupervised, and reinforcement learning), Monte Carlo simulation, and sequential analysis techniques for risk analytics. In Part III, the book offers a non-technical introduction to four key areas in financial technology: artificial intelligence, blockchain, cloud computing, and big data analytics. Key Features: Provides a comprehensive and in-depth overview of data science methods for financial and insurance risks. Unravels bandits, Markov decision processes, reinforcement learning, and their interconnections. Promotes sequential surveillance and predictive analytics for abrupt changes in risk factors. Introduces the ABCDs of FinTech: Artificial intelligence, blockchain, cloud computing, and big data analytics. Includes supplements and exercises to facilitate deeper comprehension.

Author: Ralf Korn
Publisher: CRC Press
ISBN: 1420076191
Category : Business & Economics
Languages : en
Pages : 485

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Book Description
Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Rom

Author: Jean-Pierre Fouque
Publisher: Cambridge University Press
ISBN: 9780521791632
Category : Business & Economics
Languages : en
Pages : 222

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Book Description
This book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market volatility.

Author: Robert A. Meyers
Publisher: Springer Science & Business Media
ISBN: 1441977007
Category : Business & Economics
Languages : en
Pages : 919

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Book Description
Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.

Author: Pavel Cizek
Publisher: Springer Science & Business Media
ISBN: 3642180620
Category : Business & Economics
Languages : en
Pages : 410

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Book Description
Statistical Tools for Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field, this book offers a unique combination of topics from which every market analyst and risk manager will benefit. Features of the significantly enlarged and revised second edition: Offers insight into new methods and the applicability of the stochastic technology Provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations Covers topics such as - expected shortfall for heavy tailed and mixture distributions* - pricing of variance swaps* - volatility smile calibration in FX markets - pricing of catastrophe bonds and temperature derivatives* - building loss models and ruin probability approximation - insurance pricing with GLM* - equity linked retirement plans*(new topics in the second edition marked with*) Presents extensive examples

Author: Charles S. Tapiero
Publisher: Springer Science & Business Media
ISBN: 1461558239
Category : Business & Economics
Languages : en
Pages : 352

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Book Description
Applied Stochastic Models and Control for Finance and Insurance presents at an introductory level some essential stochastic models applied in economics, finance and insurance. Markov chains, random walks, stochastic differential equations and other stochastic processes are used throughout the book and systematically applied to economic and financial applications. In addition, a dynamic programming framework is used to deal with some basic optimization problems. The book begins by introducing problems of economics, finance and insurance which involve time, uncertainty and risk. A number of cases are treated in detail, spanning risk management, volatility, memory, the time structure of preferences, interest rates and yields, etc. The second and third chapters provide an introduction to stochastic models and their application. Stochastic differential equations and stochastic calculus are presented in an intuitive manner, and numerous applications and exercises are used to facilitate their understanding and their use in Chapter 3. A number of other processes which are increasingly used in finance and insurance are introduced in Chapter 4. In the fifth chapter, ARCH and GARCH models are presented and their application to modeling volatility is emphasized. An outline of decision-making procedures is presented in Chapter 6. Furthermore, we also introduce the essentials of stochastic dynamic programming and control, and provide first steps for the student who seeks to apply these techniques. Finally, in Chapter 7, numerical techniques and approximations to stochastic processes are examined. This book can be used in business, economics, financial engineering and decision sciences schools for second year Master's students, as well as in a number of courses widely given in departments of statistics, systems and decision sciences.

Author: Jacques Janssen
Publisher: Springer Science & Business Media
ISBN: 0387707301
Category : Mathematics
Languages : en
Pages : 441

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Book Description
Everyone working in related fields from applied mathematicians to statisticians to actuaries and operations researchers will find this a brilliantly useful practical text. The book presents applications of semi-Markov processes in finance, insurance and reliability, using real-life problems as examples. After a presentation of the main probabilistic tools necessary for understanding of the book, the authors show how to apply semi-Markov processes in finance, starting from the axiomatic definition and continuing eventually to the most advanced financial tools.