Risk Analysis in Finance and Insurance

Alexander Melnikov (Autor)

Buch | Hardcover

362 Seiten

2025 | 3rd edition
Chapman & Hall/CRC (Verlag)
978-1-032-39511-1 (ISBN)

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Risk Analysis in Finance and Insurance, Third Edition presents an accessible yet comprehensive introduction to the main concepts and methods that transform risk management into a quantitative science. Considering the interdisciplinary nature of risk analysis, the author discusses many important ideas from stochastic analysis, mathematical 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.

Features of the third edition

12 chapters instead of 8 of the 2nd editions. Two new chapters on Wiener process as a base for financial market modeling. Option pricing in the Bachelier model, the model of Black and Scholes, the Gram-Charlier model. American options and their pricing in the Black-Scholes model
Several new notions, topics and results that are not reflected yet in other textbooks, and even in monographs (Binomial model with constraints, detailed exposition of quantile hedging technique, Conditional Value at Risk, Range of Value at Risk, applications to equity-linked life insurance)
Can be regarded as a self-contained issue of courses on Mathematical Finance, Actuarial Science and Risk Management
Replete with new exercises, problems, hints and solutions

Alexander Melnikov is a Professor at the University of Alberta working in stochastic analysis and its applications in finance, statistics and insurance. He is the author of nine books and over one hundred research papers in leading academic journals and venues. He is a Fellow of the Russian Academy of Natural Sciences, a recipient of the Leontiev medal of this academy and the McCalla Professorship of the University of Alberta. In addition to his academic engagements, he held several senior positions in business and professional organizations.

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

Erscheinungsdatum	22.07.2025
Reihe/Serie	Chapman and Hall/CRC Financial Mathematics Series
Zusatzinfo	15 Line drawings, black and white; 15 Illustrations, black and white
Sprache	englisch
Maße	156 x 234 mm
Gewicht	850 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
	Wirtschaft ► Betriebswirtschaft / Management ► Allgemeines / Lexika
	Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Versicherungsbetriebslehre
	Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management
	Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
ISBN-10	1-032-39511-7 / 1032395117
ISBN-13	978-1-032-39511-1 / 9781032395111
Zustand	Neuware