Alexander Melnikov

Risk Analysis in Finance and Insurance (eBook, ePUB)

• Format: ePub

Produktbeschreibung

Risk Analysis in Finance and Insurance, Second Edition presents an accessible yet comprehensive introduction to the main concepts and methods that transform risk management into a quantitative science. Taking into account the interdisciplinary nature of risk analysis, the author discusses many important ideas from mathematics, finance, and actuarial science in a simplified manner. He explores the interconnections among these disciplines and encourages readers toward further study of the subject. This edition continues to study risks associated with financial and insurance contracts, using an approach that estimates the value of future payments based on current financial, insurance, and other information.

New to the Second Edition

• Expanded section on the foundations of probability and stochastic analysis
• Coverage of new topics, including financial markets with stochastic volatility, risk measures, risk-adjusted performance measures, and equity-linked insurance
• More worked examples and problems

Reorganized and expanded, this updated book illustrates how to use quantitative methods of stochastic analysis in modern financial mathematics. These methods can be naturally extended and applied in actuarial science, thus leading to unified methods of risk analysis and management.

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Produktdetails

• Verlag: Taylor & Francis eBooks
• Seitenzahl: 328
• Erscheinungstermin: 25. April 2011
• Englisch
• ISBN-13: 9781040065280
• Artikelnr.: 72250391

Autorenporträt

Alexander Melnikov is a professor in the Department of Mathematical and Statistical Sciences at the University of Alberta. Dr. Melnikov's research interests include mathematical finance and risk management, insurance and actuarial science, statistics and stochastic analysis, and stochastic differential equations and their applications.

Inhaltsangabe

1 Introductory Concepts of Financial Risk Management 2 Financial Risk
Management in the Standard Binomial Mode 3 Binomial Model with Constraints
and Transition to the Black-Scholes Model 4 Advanced Analysis of Financial
Risks in Discrete Time Models 5 Stochastic Analysis in the Context of
Financial Mathematics 6 Modelling Markets with Wiener Processes 7 Quantile
Hedging Methodology within the Black-Sholes Model 8 Risk Measures as
Quantitative Tools of Risk Management 9 Fixed Income Securities: Modelling
and Pricing 10 Real and American Options. Performance Measures and Analysis
11 Insurance and Reinsurance Risks 12 Solvency Problem for an Insurance
Company 13 Problems Bibliography Glossary of Notation Index