Risk Analysis in Finance and Insurance, 2nd Edition

Risk Analysis in Finance and Insurance, 2nd Edition

by Alexander Melnikov
Released April 2011
Publisher(s): Chapman and Hall/CRC
ISBN: 9781420070538

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Book description

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.

Table of contents

  1. Front Cover
  2. Preface to 2nd edition
  3. Introduction
  4. Contents
  5. 1. Introductory concepts of Financial Risk Management and Related Mathematical Tools (1/7)
  6. 1. Introductory concepts of Financial Risk Management and Related Mathematical Tools (2/7)
  7. 1. Introductory concepts of Financial Risk Management and Related Mathematical Tools (3/7)
  8. 1. Introductory concepts of Financial Risk Management and Related Mathematical Tools (4/7)
  9. 1. Introductory concepts of Financial Risk Management and Related Mathematical Tools (5/7)
  10. 1. Introductory concepts of Financial Risk Management and Related Mathematical Tools (6/7)
  11. 1. Introductory concepts of Financial Risk Management and Related Mathematical Tools (7/7)
  12. 2. Financial Risk Management in the Binomial Model (1/8)
  13. 2. Financial Risk Management in the Binomial Model (2/8)
  14. 2. Financial Risk Management in the Binomial Model (3/8)
  15. 2. Financial Risk Management in the Binomial Model (4/8)
  16. 2. Financial Risk Management in the Binomial Model (5/8)
  17. 2. Financial Risk Management in the Binomial Model (6/8)
  18. 2. Financial Risk Management in the Binomial Model (7/8)
  19. 2. Financial Risk Management in the Binomial Model (8/8)
  20. 3. Advanced Analysis of Financial Risks: Discrete Time Models (1/7)
  21. 3. Advanced Analysis of Financial Risks: Discrete Time Models (2/7)
  22. 3. Advanced Analysis of Financial Risks: Discrete Time Models (3/7)
  23. 3. Advanced Analysis of Financial Risks: Discrete Time Models (4/7)
  24. 3. Advanced Analysis of Financial Risks: Discrete Time Models (5/7)
  25. 3. Advanced Analysis of Financial Risks: Discrete Time Models (6/7)
  26. 3. Advanced Analysis of Financial Risks: Discrete Time Models (7/7)
  27. 4. Analysis of Risks: Continuous Time Models (1/8)
  28. 4. Analysis of Risks: Continuous Time Models (2/8)
  29. 4. Analysis of Risks: Continuous Time Models (3/8)
  30. 4. Analysis of Risks: Continuous Time Models (4/8)
  31. 4. Analysis of Risks: Continuous Time Models (5/8)
  32. 4. Analysis of Risks: Continuous Time Models (6/8)
  33. 4. Analysis of Risks: Continuous Time Models (7/8)
  34. 4. Analysis of Risks: Continuous Time Models (8/8)
  35. 5. Fixed Income Securities: Modeling and Pricing (1/6)
  36. 5. Fixed Income Securities: Modeling and Pricing (2/6)
  37. 5. Fixed Income Securities: Modeling and Pricing (3/6)
  38. 5. Fixed Income Securities: Modeling and Pricing (4/6)
  39. 5. Fixed Income Securities: Modeling and Pricing (5/6)
  40. 5. Fixed Income Securities: Modeling and Pricing (6/6)
  41. 6. Implementations of Risk Analysis in Various Areas of Financial Industry (1/5)
  42. 6. Implementations of Risk Analysis in Various Areas of Financial Industry (2/5)
  43. 6. Implementations of Risk Analysis in Various Areas of Financial Industry (3/5)
  44. 6. Implementations of Risk Analysis in Various Areas of Financial Industry (4/5)
  45. 6. Implementations of Risk Analysis in Various Areas of Financial Industry (5/5)
  46. 7. Insurance and Reinsurance Risks (1/8)
  47. 7. Insurance and Reinsurance Risks (2/8)
  48. 7. Insurance and Reinsurance Risks (3/8)
  49. 7. Insurance and Reinsurance Risks (4/8)
  50. 7. Insurance and Reinsurance Risks (5/8)
  51. 7. Insurance and Reinsurance Risks (6/8)
  52. 7. Insurance and Reinsurance Risks (7/8)
  53. 7. Insurance and Reinsurance Risks (8/8)
  54. 8. Solvency Problem for an Insurance Company: Discrete and Continuous Time Models (1/8)
  55. 8. Solvency Problem for an Insurance Company: Discrete and Continuous Time Models (2/8)
  56. 8. Solvency Problem for an Insurance Company: Discrete and Continuous Time Models (3/8)
  57. 8. Solvency Problem for an Insurance Company: Discrete and Continuous Time Models (4/8)
  58. 8. Solvency Problem for an Insurance Company: Discrete and Continuous Time Models (5/8)
  59. 8. Solvency Problem for an Insurance Company: Discrete and Continuous Time Models (6/8)
  60. 8. Solvency Problem for an Insurance Company: Discrete and Continuous Time Models (7/8)
  61. 8. Solvency Problem for an Insurance Company: Discrete and Continuous Time Models (8/8)
  62. Appendix A: Problems (1/7)
  63. Appendix A: Problems (2/7)
  64. Appendix A: Problems (3/7)
  65. Appendix A: Problems (4/7)
  66. Appendix A: Problems (5/7)
  67. Appendix A: Problems (6/7)
  68. Appendix A: Problems (7/7)
  69. Appendix B: Bibliographic Remarks
  70. Bibliography (1/2)
  71. Bibliography (2/2)
  72. Glossary of Notation

Product information

  • Title: Risk Analysis in Finance and Insurance, 2nd Edition
  • Author(s): Alexander Melnikov
  • Release date: April 2011
  • Publisher(s): Chapman and Hall/CRC
  • ISBN: 9781420070538