Risk Analysis in Finance and Insurance

Alexander Melnikov (Autor)

Buch | Softcover

328 Seiten

2019 | 2nd edition
Chapman & Hall/CRC (Verlag)
978-0-367-38286-5 (ISBN)

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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.

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.

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.

Erscheinungsdatum	27.09.2019
Zusatzinfo	4 Tables, black and white; 9 Illustrations, black and white
Sprache	englisch
Maße	156 x 234 mm
Gewicht	453 g
Themenwelt	Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Versicherungsbetriebslehre
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management
ISBN-10	0-367-38286-5 / 0367382865
ISBN-13	978-0-367-38286-5 / 9780367382865
Zustand	Neuware