Alexander Melnikov

Risk Analysis in Finance and Insurance

• Broschiertes Buch

Produktbeschreibung

Reorganized and expanded, this updated book introduces the main ideas, techniques, and stochastic models of financial mathematics. It focuses on the foundations and key concepts of the modern methodology of quantitative financial analysis, explores the problems of managing insurance risks, and examines the multiple intrinsic connections between insurance risks and financial risks. With more examples and problems, this edition contains an expanded section on the foundations of probability and stochastic analysis and covers new topics, including financial markets with stochastic volatility, risk measures, risk-adjusted performance measures, and equity-linked insurance.

Produktdetails

• Verlag: Taylor & Francis Ltd (Sales)
• 2nd edition
• Seitenzahl: 328
• Erscheinungstermin: 25. September 2019
• Englisch
• Abmessung: 234mm x 155mm x 18mm
• Gewicht: 454g
• ISBN-13: 9780367382865
• ISBN-10: 0367382865
• Artikelnr.: 58071382

Autorenporträt

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.

Inhaltsangabe

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.