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Wüthrich, Mario V., Merz, Michael
Financial Modeling, Actuarial Valuation and Solvency in Insurance,
金融建模， 精算评估及在在保险中的解决方案，
Series: Springer Finance
Springer, 2013, XVI, 445 p.

关于本书：

    ??Addressed to practitioners in the financial and actuarial industry as well as more academic researchers  
     Takes into account all current solvency developments of the financial industry
    Core text for enterprise risk management in Chartered Enterprise Risk Analyst (CERA) training and qualification  ?  

Risk management for financial institutions is one of the main questions the financial industry has to deal with. The present volume is a mathematically rigorous text on solvency modeling. Currently, there are many new developments in this area in the financial and insurance industry (Basel III and Solvency II), but none of these developments provides a fully consistent and comprehensive framework for the analysis of solvency questions. Merz and Wüthrich combine ideas from financial mathematics (no-arbitrage theory, equivalent martingale measure), actuarial sciences (insurance claims modeling, cash flow valuation) and economic theory (risk aversion, probability distortion) to provide a fully consistent framework. Within this framework they then study solvency questions in incomplete markets, analyze hedging risks, and study asset-and-liability management questions, as well as issues like the limited liability options, dividend to shareholder questions, the role of re-insurance, etc. This work embeds the solvency discussion (and long-term liabilities) into a scientific framework and is intended for researchers as well as practitioners in the financial and actuarial industry, especially those in charge of internal risk management systems. Readers should have a good background in probability and statistics, and should be familiar with popular distributions, stochastic processes, martingales, etc.

Content Level ? Professional/practitioner

Keywords actuarial valuation - incomplete markets - quantitative risk management - risk measures - solvency

Related subjects ? Business, Economics & Finance - Quantitative Finance

Table of contents

Introduction.-
Part I. Financial Valuation Principles.-
1. State price deflators and stochastic discounting.-
2. Gaussian spot rate models.-
3. Non-Gaussian spot rate models.-
4. Stochastic forward rate modeling.-
5.Dynamic Nelson-Siegel and Svensson framework.-
6. Pricing of financial assets.-
Part II. Actuarial Valuation and Solvency.-
7. Actuarial and financial modeling.-
8. Valuation portfolio.-
9. Protected valuation portfolio.-
10. Solvency.-
11. Selected topics and examples.-
Part III.  Appendix.-
A. Auxiliary considerations.-
Bibliography.-
Index.

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