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Título : Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications : BSDEs with Jumps Tipo de documento: documento electrónico Autores: Lukasz Delong ; SpringerLink (Online service) Editorial: London : Springer London Fecha de publicación: 2013 Otro editor: Imprint: Springer Colección: EAA Series, ISSN 1869-6929 Número de páginas: X, 288 p Il.: online resource ISBN/ISSN/DL: 978-1-4471-5331-3 Idioma : Inglés (eng) Palabras clave: Mathematics Economics, Mathematical Actuarial science optimization Probabilities Quantitative Finance Sciences Continuous Optimization Probability Theory and Stochastic Processes Clasificación: 51 Matemáticas Resumen: Backward stochastic differential equations with jumps can be used to solve problems in both finance and insurance. Part I of this book presents the theory of BSDEs with Lipschitz generators driven by a Brownian motion and a compensated random measure, with an emphasis on those generated by step processes and Lévy processes. It discusses key results and techniques (including numerical algorithms) for BSDEs with jumps and studies filtration-consistent nonlinear expectations and g-expectations. Part I also focuses on the mathematical tools and proofs which are crucial for understanding the theory. Part II investigates actuarial and financial applications of BSDEs with jumps. It considers a general financial and insurance model and deals with pricing and hedging of insurance equity-linked claims and asset-liability management problems. It additionally investigates perfect hedging, superhedging, quadratic optimization, utility maximization, indifference pricing, ambiguity risk minimization, no-good-deal pricing and dynamic risk measures. Part III presents some other useful classes of BSDEs and their applications. This book will make BSDEs more accessible to those who are interested in applying these equations to actuarial and financial problems. It will be beneficial to students and researchers in mathematical finance, risk measures, portfolio optimization as well as actuarial practitioners Nota de contenido: Introduction -- Stochastic Calculus -- Backward Stochastic Differential Equations – the General Case -- Forward-Backward Stochastic Differential Equations -- Numerical Methods for FBSDEs -- Nonlinear Expectations and g-Expectations -- Combined Financial and Insurance Model -- Linear BSDEs and Predictable Representations of Insurance Payment Processes -- Arbitrage-Free Pricing, Perfect Hedging and Superhedging -- Quadratic Pricing and Hedging -- Utility Maximization and Indifference Pricing and Hedging -- Pricing and Hedging under a Least Favorable Measure -- Dynamic Risk Measures -- Other Classes of BSDEs En línea: http://dx.doi.org/10.1007/978-1-4471-5331-3 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32203 Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications : BSDEs with Jumps [documento electrónico] / Lukasz Delong ; SpringerLink (Online service) . - London : Springer London : Imprint: Springer, 2013 . - X, 288 p : online resource. - (EAA Series, ISSN 1869-6929) .
ISBN : 978-1-4471-5331-3
Idioma : Inglés (eng)
Palabras clave: Mathematics Economics, Mathematical Actuarial science optimization Probabilities Quantitative Finance Sciences Continuous Optimization Probability Theory and Stochastic Processes Clasificación: 51 Matemáticas Resumen: Backward stochastic differential equations with jumps can be used to solve problems in both finance and insurance. Part I of this book presents the theory of BSDEs with Lipschitz generators driven by a Brownian motion and a compensated random measure, with an emphasis on those generated by step processes and Lévy processes. It discusses key results and techniques (including numerical algorithms) for BSDEs with jumps and studies filtration-consistent nonlinear expectations and g-expectations. Part I also focuses on the mathematical tools and proofs which are crucial for understanding the theory. Part II investigates actuarial and financial applications of BSDEs with jumps. It considers a general financial and insurance model and deals with pricing and hedging of insurance equity-linked claims and asset-liability management problems. It additionally investigates perfect hedging, superhedging, quadratic optimization, utility maximization, indifference pricing, ambiguity risk minimization, no-good-deal pricing and dynamic risk measures. Part III presents some other useful classes of BSDEs and their applications. This book will make BSDEs more accessible to those who are interested in applying these equations to actuarial and financial problems. It will be beneficial to students and researchers in mathematical finance, risk measures, portfolio optimization as well as actuarial practitioners Nota de contenido: Introduction -- Stochastic Calculus -- Backward Stochastic Differential Equations – the General Case -- Forward-Backward Stochastic Differential Equations -- Numerical Methods for FBSDEs -- Nonlinear Expectations and g-Expectations -- Combined Financial and Insurance Model -- Linear BSDEs and Predictable Representations of Insurance Payment Processes -- Arbitrage-Free Pricing, Perfect Hedging and Superhedging -- Quadratic Pricing and Hedging -- Utility Maximization and Indifference Pricing and Hedging -- Pricing and Hedging under a Least Favorable Measure -- Dynamic Risk Measures -- Other Classes of BSDEs En línea: http://dx.doi.org/10.1007/978-1-4471-5331-3 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32203 Ejemplares
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Título : Financial Modeling, Actuarial Valuation and Solvency in Insurance Tipo de documento: documento electrónico Autores: Mario Valentin Wüthrich ; SpringerLink (Online service) ; Michael Merz Editorial: Berlin, Heidelberg : Springer Berlin Heidelberg Fecha de publicación: 2013 Otro editor: Imprint: Springer Colección: Springer Finance, ISSN 1616-0533 Número de páginas: XIV, 432 p Il.: online resource ISBN/ISSN/DL: 978-3-642-31392-9 Idioma : Inglés (eng) Palabras clave: Mathematics Economics, Mathematical Actuarial science Statistics Quantitative Finance Sciences for Business/Economics/Mathematical Finance/Insurance Clasificación: 51 Matemáticas Resumen: Risk 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 Nota de contenido: 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 En línea: http://dx.doi.org/10.1007/978-3-642-31392-9 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32514 Financial Modeling, Actuarial Valuation and Solvency in Insurance [documento electrónico] / Mario Valentin Wüthrich ; SpringerLink (Online service) ; Michael Merz . - Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013 . - XIV, 432 p : online resource. - (Springer Finance, ISSN 1616-0533) .
ISBN : 978-3-642-31392-9
Idioma : Inglés (eng)
Palabras clave: Mathematics Economics, Mathematical Actuarial science Statistics Quantitative Finance Sciences for Business/Economics/Mathematical Finance/Insurance Clasificación: 51 Matemáticas Resumen: Risk 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 Nota de contenido: 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 En línea: http://dx.doi.org/10.1007/978-3-642-31392-9 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32514 Ejemplares
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Título : Mathematical and Statistical Methods for Actuarial Sciences and Finance Tipo de documento: documento electrónico Autores: SpringerLink (Online service) ; Marco Corazza ; Claudio Pizzi Editorial: Milano : Springer Milan Fecha de publicación: 2010 Número de páginas: XV, 314 p Il.: online resource ISBN/ISSN/DL: 978-88-470-1481-7 Idioma : Inglés (eng) Palabras clave: Mathematics Business mathematics Applied Engineering Economics, Mathematical Actuarial science Statistics Macroeconomics Quantitative Finance Sciences Statistical Theory and Methods Macroeconomics/Monetary Economics//Financial Economics Applications of Clasificación: 51 Matemáticas Resumen: The interaction between mathematicians and statisticians reveals to be an effective approach for dealing with actuarial, insurance and financial problems, both in an academic and in an operative perspective. The international conference MAF 2008, held at the University Ca’ Foscari of Venezia (Italy) in 2008, had precisely this purpose, and the collection here published gathers a selection of about the one hundred papers presented at the conference and successively referred and reviewed to this aim. They cover a wide variety of subjects in actuarial, insurance and financial fields, all treated in light of the successful cooperation between the two quantitative approaches Nota de contenido: Impact of interest rate risk on the Spanish banking sector -- Tracking error with minimum guarantee constraints -- Energy markets: crucial relationship between prices -- Tempered stable distributions and processes in finance: numerical analysis -- Transformation kernel estimation of insurance claim cost distributions -- What do distortion risk measures tell us on excess of loss reinsurance with reinstatements? -- Some classes of multivariate risk measures -- Assessing risk perception by means of ordinal models -- A financial analysis of surplus dynamics for deferred life schemes -- Checking financial markets via Benford’s law: the S&P 500 case -- Empirical likelihood based nonparametric testing for CAPM -- Lee-Carter error matrix simulation: heteroschedasticity impact on actuarial valuations -- Estimating the volatility term structure -- Exact and approximated option pricing in a stochastic volatility jump-diffusion model -- A skewed GARCH-type model for multivariate financial time series -- Financial time series and neural networks in a minority game context -- Robust estimation of style analysis coefficients -- Managing demographic risk in enhanced pensions -- Clustering mutual funds by return and risk levels -- Multivariate Variance Gamma and Gaussian Dependence: a study with copulas -- A simple dimension reduction procedure for corporate finance composite indicators -- The relation between implied and realised volatility in the DAX index options market -- Binomial algorithms for the evaluation of options on stocks with fixed per share dividends -- Nonparametric prediction in time series analysis: some empirical results -- On efficient optimisation of the CVaR and related LP computable risk measures for portfolio selection -- A pattern recognition algorithm for optimal profits in currency trading -- Nonlinear cointegration in financial time series -- Optimal dynamic asset allocation in a non—Gaussian world -- Fair costs of guaranteed minimum death benefit contracts -- Solvency evaluation of the guaranty fund at a large financial cooperative -- A Monte Carlo approach to value exchange options using a single stochastic factor En línea: http://dx.doi.org/10.1007/978-88-470-1481-7 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=33798 Mathematical and Statistical Methods for Actuarial Sciences and Finance [documento electrónico] / SpringerLink (Online service) ; Marco Corazza ; Claudio Pizzi . - Milano : Springer Milan, 2010 . - XV, 314 p : online resource.
ISBN : 978-88-470-1481-7
Idioma : Inglés (eng)
Palabras clave: Mathematics Business mathematics Applied Engineering Economics, Mathematical Actuarial science Statistics Macroeconomics Quantitative Finance Sciences Statistical Theory and Methods Macroeconomics/Monetary Economics//Financial Economics Applications of Clasificación: 51 Matemáticas Resumen: The interaction between mathematicians and statisticians reveals to be an effective approach for dealing with actuarial, insurance and financial problems, both in an academic and in an operative perspective. The international conference MAF 2008, held at the University Ca’ Foscari of Venezia (Italy) in 2008, had precisely this purpose, and the collection here published gathers a selection of about the one hundred papers presented at the conference and successively referred and reviewed to this aim. They cover a wide variety of subjects in actuarial, insurance and financial fields, all treated in light of the successful cooperation between the two quantitative approaches Nota de contenido: Impact of interest rate risk on the Spanish banking sector -- Tracking error with minimum guarantee constraints -- Energy markets: crucial relationship between prices -- Tempered stable distributions and processes in finance: numerical analysis -- Transformation kernel estimation of insurance claim cost distributions -- What do distortion risk measures tell us on excess of loss reinsurance with reinstatements? -- Some classes of multivariate risk measures -- Assessing risk perception by means of ordinal models -- A financial analysis of surplus dynamics for deferred life schemes -- Checking financial markets via Benford’s law: the S&P 500 case -- Empirical likelihood based nonparametric testing for CAPM -- Lee-Carter error matrix simulation: heteroschedasticity impact on actuarial valuations -- Estimating the volatility term structure -- Exact and approximated option pricing in a stochastic volatility jump-diffusion model -- A skewed GARCH-type model for multivariate financial time series -- Financial time series and neural networks in a minority game context -- Robust estimation of style analysis coefficients -- Managing demographic risk in enhanced pensions -- Clustering mutual funds by return and risk levels -- Multivariate Variance Gamma and Gaussian Dependence: a study with copulas -- A simple dimension reduction procedure for corporate finance composite indicators -- The relation between implied and realised volatility in the DAX index options market -- Binomial algorithms for the evaluation of options on stocks with fixed per share dividends -- Nonparametric prediction in time series analysis: some empirical results -- On efficient optimisation of the CVaR and related LP computable risk measures for portfolio selection -- A pattern recognition algorithm for optimal profits in currency trading -- Nonlinear cointegration in financial time series -- Optimal dynamic asset allocation in a non—Gaussian world -- Fair costs of guaranteed minimum death benefit contracts -- Solvency evaluation of the guaranty fund at a large financial cooperative -- A Monte Carlo approach to value exchange options using a single stochastic factor En línea: http://dx.doi.org/10.1007/978-88-470-1481-7 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=33798 Ejemplares
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Título : Risk Measures and Attitudes Tipo de documento: documento electrónico Autores: SpringerLink (Online service) ; Francesca Biagini ; Andreas Richter ; Schlesinger, Harris Editorial: London : Springer London Fecha de publicación: 2013 Otro editor: Imprint: Springer Colección: EAA Series, ISSN 1869-6929 Número de páginas: IX, 91 p. 4 illus. in color Il.: online resource ISBN/ISSN/DL: 978-1-4471-4926-2 Idioma : Inglés (eng) Palabras clave: Mathematics Applied mathematics Engineering Economics, Mathematical Actuarial science Probabilities Sciences Quantitative Finance Applications of Probability Theory and Stochastic Processes Clasificación: 51 Matemáticas Resumen: Risk has been described in the past by a simple measure, such as the variance, and risk attitude is often considered simply a degree of risk aversion. However, this viewpoint is usually not sufficient. Risk Measures and Attitudes collects contributions which illustrate how modern approaches to both risk measures and risk attitudes are inevitably intertwined. The settings under which this is discussed include portfolio choice, mitigating credit risk and comparing risky alternatives. This book will be a useful study aid for practitioners, students and researchers of actuarial science and risk management Nota de contenido: Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences -- Multivariate Concave and Convex Stochastic Dominance -- Reliable Quantification and Efficient Estimation of Credit Risk -- Diffusion-based models for financial markets without martingale measures En línea: http://dx.doi.org/10.1007/978-1-4471-4926-2 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32199 Risk Measures and Attitudes [documento electrónico] / SpringerLink (Online service) ; Francesca Biagini ; Andreas Richter ; Schlesinger, Harris . - London : Springer London : Imprint: Springer, 2013 . - IX, 91 p. 4 illus. in color : online resource. - (EAA Series, ISSN 1869-6929) .
ISBN : 978-1-4471-4926-2
Idioma : Inglés (eng)
Palabras clave: Mathematics Applied mathematics Engineering Economics, Mathematical Actuarial science Probabilities Sciences Quantitative Finance Applications of Probability Theory and Stochastic Processes Clasificación: 51 Matemáticas Resumen: Risk has been described in the past by a simple measure, such as the variance, and risk attitude is often considered simply a degree of risk aversion. However, this viewpoint is usually not sufficient. Risk Measures and Attitudes collects contributions which illustrate how modern approaches to both risk measures and risk attitudes are inevitably intertwined. The settings under which this is discussed include portfolio choice, mitigating credit risk and comparing risky alternatives. This book will be a useful study aid for practitioners, students and researchers of actuarial science and risk management Nota de contenido: Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences -- Multivariate Concave and Convex Stochastic Dominance -- Reliable Quantification and Efficient Estimation of Credit Risk -- Diffusion-based models for financial markets without martingale measures En línea: http://dx.doi.org/10.1007/978-1-4471-4926-2 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32199 Ejemplares
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Título : Stochastic Control in Insurance Tipo de documento: documento electrónico Autores: Schmidli, Hanspeter ; SpringerLink (Online service) Editorial: London : Springer London Fecha de publicación: 2008 Colección: Probability and Its Applications, ISSN 1431-7028 Número de páginas: XVI, 258 p Il.: online resource ISBN/ISSN/DL: 978-1-84800-003-2 Idioma : Inglés (eng) Palabras clave: Mathematics Finance Actuarial science Mathematical optimization Calculus of variations Probabilities Control engineering Robotics Mechatronics Sciences Probability Theory and Stochastic Processes Variations Optimal Control; Optimization Finance, general Control, Robotics, Clasificación: 51 Matemáticas Resumen: Stochastic control is one of the methods being used to find optimal decision-making strategies in fields such as operations research and mathematical finance. In recent years, stochastic control techniques have been applied to non-life insurance problems, and in life insurance the theory has been further developed. This book provides a systematic treatment of optimal control methods applied to problems from insurance and investment, complete with detailed proofs. The theory is discussed and illustrated by way of examples, using concrete simple optimisation problems that occur in the actuarial sciences. The problems come from non-life insurance as well as life and pension insurance and also cover the famous Merton problem from mathematical finance. Wherever possible, the proofs are probabilistic but in some cases well-established analytical methods are used. The book is directed towards graduate students and researchers in actuarial science and mathematical finance who want to learn stochastic control within an insurance setting, but it will also appeal to applied probabilists interested in the insurance applications and to practitioners who want to learn more about how the method works. Readers should be familiar with basic probability theory and have a working knowledge of Brownian motion, Markov processes, martingales and stochastic calculus. Some knowledge of measure theory will also be useful for following the proofs Nota de contenido: Stochastic Control in Discrete Time -- Stochastic Control in Continuous Time -- Problems in Life Insurance -- Asymptotics of Controlled Risk Processes -- Appendices -- Stochastic Processes and Martingales -- Markov Processes and Generators -- Change of Measure Techniques -- Risk Theory -- The Black-Scholes Model -- Life Insurance -- References -- Index -- List of Principal Notation En línea: http://dx.doi.org/10.1007/978-1-84800-003-2 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34300 Stochastic Control in Insurance [documento electrónico] / Schmidli, Hanspeter ; SpringerLink (Online service) . - London : Springer London, 2008 . - XVI, 258 p : online resource. - (Probability and Its Applications, ISSN 1431-7028) .
ISBN : 978-1-84800-003-2
Idioma : Inglés (eng)
Palabras clave: Mathematics Finance Actuarial science Mathematical optimization Calculus of variations Probabilities Control engineering Robotics Mechatronics Sciences Probability Theory and Stochastic Processes Variations Optimal Control; Optimization Finance, general Control, Robotics, Clasificación: 51 Matemáticas Resumen: Stochastic control is one of the methods being used to find optimal decision-making strategies in fields such as operations research and mathematical finance. In recent years, stochastic control techniques have been applied to non-life insurance problems, and in life insurance the theory has been further developed. This book provides a systematic treatment of optimal control methods applied to problems from insurance and investment, complete with detailed proofs. The theory is discussed and illustrated by way of examples, using concrete simple optimisation problems that occur in the actuarial sciences. The problems come from non-life insurance as well as life and pension insurance and also cover the famous Merton problem from mathematical finance. Wherever possible, the proofs are probabilistic but in some cases well-established analytical methods are used. The book is directed towards graduate students and researchers in actuarial science and mathematical finance who want to learn stochastic control within an insurance setting, but it will also appeal to applied probabilists interested in the insurance applications and to practitioners who want to learn more about how the method works. Readers should be familiar with basic probability theory and have a working knowledge of Brownian motion, Markov processes, martingales and stochastic calculus. Some knowledge of measure theory will also be useful for following the proofs Nota de contenido: Stochastic Control in Discrete Time -- Stochastic Control in Continuous Time -- Problems in Life Insurance -- Asymptotics of Controlled Risk Processes -- Appendices -- Stochastic Processes and Martingales -- Markov Processes and Generators -- Change of Measure Techniques -- Risk Theory -- The Black-Scholes Model -- Life Insurance -- References -- Index -- List of Principal Notation En línea: http://dx.doi.org/10.1007/978-1-84800-003-2 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34300 Ejemplares
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