home libri books Fumetti ebook dvd top ten sconti 0 Carrello


Torna Indietro

feng runhuan - an introduction to computational risk management of equity-linked insurance

An Introduction to Computational Risk Management of Equity-Linked Insurance




Disponibilità: Normalmente disponibile in 20 giorni
A causa di problematiche nell'approvvigionamento legate alla Brexit sono possibili ritardi nelle consegne.


PREZZO
136,98 €
NICEPRICE
130,13 €
SCONTO
5%



Questo prodotto usufruisce delle SPEDIZIONI GRATIS
selezionando l'opzione Corriere Veloce in fase di ordine.


Pagabile anche con Carta della cultura giovani e del merito, 18App Bonus Cultura e Carta del Docente


Facebook Twitter Aggiungi commento


Spese Gratis

Dettagli

Genere:Libro
Lingua: Inglese
Editore:

CRC Press

Pubblicazione: 06/2018
Edizione: 1° edizione





Note Editore

The quantitative modeling of complex systems of interacting risks is a fairly recent development in the financial and insurance industries. Over the past decades, there has been tremendous innovation and development in the actuarial field. In addition to undertaking mortality and longevity risks in traditional life and annuity products, insurers face unprecedented financial risks since the introduction of equity-linking insurance in 1960s. As the industry moves into the new territory of managing many intertwined financial and insurance risks, non-traditional problems and challenges arise, presenting great opportunities for technology development. Today's computational power and technology make it possible for the life insurance industry to develop highly sophisticated models, which were impossible just a decade ago. Nonetheless, as more industrial practices and regulations move towards dependence on stochastic models, the demand for computational power continues to grow. While the industry continues to rely heavily on hardware innovations, trying to make brute force methods faster and more palatable, we are approaching a crossroads about how to proceed. An Introduction to Computational Risk Management of Equity-Linked Insurance provides a resource for students and entry-level professionals to understand the fundamentals of industrial modeling practice, but also to give a glimpse of software methodologies for modeling and computational efficiency. Features Provides a comprehensive and self-contained introduction to quantitative risk management of equity-linked insurance with exercises and programming samples Includes a collection of mathematical formulations of risk management problems presenting opportunities and challenges to applied mathematicians Summarizes state-of-arts computational techniques for risk management professionals Bridges the gap between the latest developments in finance and actuarial literature and the practice of risk management for investment-combined life insurance Gives a comprehensive review of both Monte Carlo simulation methods and non-simulation numerical methods Runhuan Feng is an Associate Professor of Mathematics and the Director of Actuarial Science at the University of Illinois at Urbana-Champaign. He is a Fellow of the Society of Actuaries and a Chartered Enterprise Risk Analyst. He is a Helen Corley Petit Professorial Scholar and the State Farm Companies Foundation Scholar in Actuarial Science. Runhuan received a Ph.D. degree in Actuarial Science from the University of Waterloo, Canada. Prior to joining Illinois, he held a tenure-track position at the University of Wisconsin-Milwaukee, where he was named a Research Fellow. Runhuan received numerous grants and research contracts from the Actuarial Foundation and the Society of Actuaries in the past. He has published a series of papers on top-tier actuarial and applied probability journals on stochastic analytic approaches in risk theory and quantitative risk management of equity-linked insurance. Over the recent years, he has dedicated his efforts to developing computational methods for managing market innovations in areas of investment combined insurance and retirement planning.




Sommario

Modeling of Equity-linked Insurance Fundamental principles of traditional insurance Time value of money Law of large numbers Equivalence premium principle Central limit theorem Portfolio percentile premium principle Variable annuities Mechanics of deferred variable annuity Resets, roll-ups and ratchets Guaranteed minimum maturity benefit Guaranteed minimum accumulation benefit Guaranteed minimum death benefit Guaranteed minimum withdrawal benefit Guaranteed lifetime withdrawal benefit Mechanics of immediate variable annuity benefit Modeling of immediate variable annuity Single premium vs flexible premium annuities Fundamental principles of equity-linked insurance Equity-indexed annuities Point-to-point designs Cliquet designs High water mark designs Bibliographic notes Exercises Elementary Stochastic Calculus Probability space Random variable Expectation Discrete random variable Continuous random variable Stochastic process and sample path Conditional expectation Martingale versus Markov processes Scaled random walks Brownian motion Stochastic integral It^o's formula Stochastic differential equation Applications to equity-linked insurance Stochastic equity returns Guaranteed withdrawal benefits Laplace transform of ruin time Present value of total fees up to ruin Stochastic interest rates Vasicek model Cox-Ingersoll-Ross (CIR) model Exercises Monte Carlo Simulations of Investment Guarantees Simulating continuous random variables Inverse transformation method Rejection method Simulating discrete random variables Simulating continuous-time stochastic processes Exact joint distribution Brownian motion Geometric Brownian motion Vasicek process Euler discretization Euler method Milstein method Economic scenario generator Exercises Pricing and Valuation No-arbitrage pricing Discrete time pricing: binomial tree Pricing by replicating portfolio Representation by conditional expectation Dynamics of self-financing portfolio Continuous time pricing: Black-Scholes model Pricing by replicating portfolio Representation by conditional expectation Risk-neutral pricing Path-independent derivatives Path-dependent derivatives No arbitrage costs of investment guarantees Guaranteed minimum maturity benefit Guaranteed minimum accumulation benefit Guaranteed minimum death benefit Guaranteed minimum withdrawal benefit Policyholder's perspective Insurer's perspective Equivalence of pricing Guaranteed lifetime withdrawal benefit Policyholder's perspective Insurer's perspective Actuarial pricing Mechanics of profit testing Actuarial pricing vs no-arbitrage pricing Exercises Risk Management - Reserving and Capital Requirement Reserve and capital Risk measures Value-at-Risk Conditional tail expectation Coherent risk measure Tail-value-at-risk Distortion risk measure Comonotonicity Statistical inference of risk measures Risk aggregation Variance-covariance approach Model uncertainty approach Scenario aggregation approach Liability run-o_ approach Finite horizon mark-to-market approach Risk diversification Convex ordering Thickness of tail Conditional expectation Individual model vs aggregate model Law of large numbers for equity-linked insurance Identical and fixed initial payments Identically distributed initial payments Risk engineering of variable annuity guaranteed benefits Capital allocation Pro-rata principle Euler principle Stochastic reserving by example Exercises Risk Management - Dynamic Hedging Discrete time hedging: binomial tree Replicating portfolio Hedging portfolio Continuous time hedging: Black-Scholes model Greek letters hedging Advanced Computational Methods Differential equation methods Reduction of dimension Laplace transform method General methodology Application Finite difference method General methodology Application Application to guaranteed minimum withdrawal benefit Value-at-risk of individual net liability Conditional tail expectation of individual net liability Numerical example Comonotonic approximation Tail value-at-risk of conditional expectation Comonotonic bounds for sums of random variables Guaranteed minimum maturity benefit Application to guaranteed minimum benefit Guaranteed minimum death benefit Nested stochastic modeling Preprocessed inner loops Least-squares Monte Carlo Application to guaranteed lifetime withdrawal benefit Overview of nested structure Outer loop: surplus calculation Inner loop: risk-neutral valuation Computational techniques Exercises




Autore

Runhuan Feng is an Associate Professor of Mathematics and the Director of Actuarial Science at the University of Illinois at Urbana-Champaign. He is a Fellow of the Society of Actuaries and a Chartered Enterprise Risk Analyst. He is a Helen Corley Petit Professorial Scholar and the State Farm Companies Foundation Scholar in Actuarial Science. Runhuan received a Ph.D. degree in Actuarial Science from the University of Waterloo, Canada. Prior to joining Illinois, he held a tenure-track position at the University of Wisconsin-Milwaukee, where he was named a Research Fellow. Runhuan received numerous grants and research contracts from the Actuarial Foundation and the Society of Actuaries in the past. He has published a series of papers on top-tier actuarial and applied probability journals on stochastic analytic approaches in risk theory and quantitative risk management of equity-linked insurance. Over the recent years, he has dedicated his efforts to developing computational methods for managing market innovations in areas of investment combined insurance and retirement planning.










Altre Informazioni

ISBN:

9781498742160

Condizione: Nuovo
Collana: Chapman and Hall/CRC Financial Mathematics Series
Dimensioni: 9.25 x 6.25 in Ø 1.70 lb
Formato: Copertina rigida
Illustration Notes:30 b/w images
Pagine Arabe: 382
Pagine Romane: xx


Dicono di noi