Synopses & Reviews
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
This book combines ideas from financial mathematics, actuarial sciences and economic theory to give a fully consistent framework for the analysis of solvency questions.
Table of Contents
1.Introduction.- Part I: Financial Valuation Principles
.- 2.State price deflators and stochastic discounting.- 3.spot rate models.- 4.Stochastic forward rate and yield curve modeling.- 5.Pricing of financial assets.- Part II: Actuarial Valuation and Solvency.
- 6.Actuarial and financial modeling.- 7.Valuation portfolio.- 8.Protected valuation portfolio.- 9.Solvency.- 10.Selected topics and examples.- Part III: Appendix
.- 11.Auxiliary considerations.- References.- Index.