Risk Analysis in Finance and Insurance, Second Edition

Risk Analysis in Finance and Insurance, Second Edition

English | 2011 | ISBN: 1420070525 | 328 pages | PDF | 4 MB
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 analysis
Coverage of new topics, including financial markets with stochastic volatility, risk measures, risk-adjusted performance measures, and equity-linked insurance
More worked examples and problems
Reorganized 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.

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Features

• Introduces the main ideas, techniques, and stochastic models of financial mathematics
• Focuses on the foundations and key concepts of the modern methodology of quantitative financial analysis
• Explores the problems of managing insurance risks
• Examines the multiple intrinsic connections between insurance risks and financial risks
• Shows how stochastic analysis is a powerful tool for modeling financial and insurance risk processes
• Includes numerous worked examples and a collection of homework problems

Solutions manual available for qualifying instructors

Summary

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 analysis
• Coverage of new topics, including financial markets with stochastic volatility, risk measures, risk-adjusted performance measures, and equity-linked insurance
• More worked examples and problems

Reorganized 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.