000 03508nam a22003855i 4500
001 304883
003 MX-SnUAN
005 20160429155924.0
007 cr nn 008mamaa
008 150903s2013 gw | o |||| 0|eng d
020 _a9783642313929
_99783642313929
024 7 _a10.1007/9783642313929
_2doi
035 _avtls000359559
039 9 _a201509030615
_bVLOAD
_c201405070247
_dVLOAD
_y201402191557
_zstaff
040 _aMX-SnUAN
_bspa
_cMX-SnUAN
_erda
050 4 _aHB135-147
100 1 _aWüthrich, Mario V.
_eautor
_9338495
245 1 0 _aFinancial Modeling, Actuarial Valuation and Solvency in Insurance /
_cby Mario V. Wüthrich, Michael Merz.
264 1 _aBerlin, Heidelberg :
_bSpringer Berlin Heidelberg :
_bImprint: Springer,
_c2013.
300 _axiv, 432 páginas 100 ilustraciones, 2 ilustraciones en color.
_brecurso en línea.
336 _atexto
_btxt
_2rdacontent
337 _acomputadora
_bc
_2rdamedia
338 _arecurso en línea
_bcr
_2rdacarrier
347 _aarchivo de texto
_bPDF
_2rda
490 0 _aSpringer Finance,
_x1616-0533
500 _aSpringer eBooks
505 0 _a1.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.
520 _aRisk management for financial institutions is one of the key topics 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 theory and statistics, and should be familiar with popular distributions, stochastic processes, martingales, etc.
590 _aPara consulta fuera de la UANL se requiere clave de acceso remoto.
700 1 _aMerz, Michael.
_eautor
_9343832
710 2 _aSpringerLink (Servicio en línea)
_9299170
776 0 8 _iEdición impresa:
_z9783642313912
856 4 0 _uhttp://remoto.dgb.uanl.mx/login?url=http://dx.doi.org/10.1007/978-3-642-31392-9
_zConectar a Springer E-Books (Para consulta externa se requiere previa autentificación en Biblioteca Digital UANL)
942 _c14
999 _c304883
_d304883