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 analysisCoverage of new topics, including financial markets with stochastic volatility, risk measures, risk-adjusted performance measures, and equity-linked insuranceMore worked examples and problemsReorganized 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.

Produktinformation

Utgivningsdatum:2011-04-25
Mått:156 x 234 x 21 mm
Vikt:770 g
Format:Inbunden
Språk:Engelska
Serie:Chapman and Hall/CRC Financial Mathematics Series
Antal sidor:328
Upplaga:2
Förlag:Taylor & Francis Ltd
ISBN:9781420070521

Utforska kategorier

Mer om författaren

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.

Recensioner i media

"… a well-chosen collection of topics from risk analysis and management for finance and actuarial science illustrated with solved problems."—Christel Geiss, Mathematical Reviews, November 2013Praise for the First Edition: … a useful addition to a rapidly expanding field. —Journal of the Royal Statistical Society Here is a comprehensive and accessible introduction to the ideas, methods and probabilistic models that have transformed risk management into a quantitative science and [have] led to unified methods for analyzing insurance and finance risk. —Business Horizons Risk Analysis in Finance and Insurance is a self-contained and highly comprehensive introduction to mathematical finance and its interplay with insurance risk analysis. Students will like the book due to the many worked-out examples deepening the understanding of the theory. A special and probably unique feature of the book is its unified approach to financial and insurance risks. As a consequence of the convergence of financial and insurance markets, practitioners in financial institutions will have great benefit from books like Melnikov’s covering mathematical approaches to risk analysis in both markets in a consistent manner. —Christian Bluhm, Credit Suisse, Zurich, Switzerland

Innehållsförteckning

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.