Gespeichert in:
| Titel: | Risk analysis in finance and insurance |
|---|---|
| Von: |
Alexander Melnikov. Transl. and ed. by Alexei Filinkov
|
| Person: |
Melʹnikov, Aleksandr V.
1953- Verfasser aut Filinkov, Alexei Sonstige |
| Hauptverfasser: | |
| Format: | Buch |
| Sprache: | Englisch Russisch |
| Veröffentlicht: |
Boca Raton, Fla. [u.a.]
Chapman & Hall/CRC
2004
|
| Schriftenreihe: | Chapman & Hall CRC monographs and surveys in pure and applied mathematics
131 |
| Schlagworte: | |
| Online-Zugang: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012969733&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Beschreibung: | Aus dem Russ. übers. |
| Beschreibung: | 252 S. |
| ISBN: | 1584884290 |
Internformat
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| 245 | 1 | 0 | |a Risk analysis in finance and insurance |c Alexander Melnikov. Transl. and ed. by Alexei Filinkov |
| 264 | 1 | |a Boca Raton, Fla. [u.a.] |b Chapman & Hall/CRC |c 2004 | |
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| 490 | 1 | |a Chapman & Hall CRC monographs and surveys in pure and applied mathematics |v 131 | |
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| 650 | 7 | |a Actuariële wetenschappen |2 gtt | |
| 650 | 7 | |a Análise de risco |2 larpcal | |
| 650 | 4 | |a Assurance | |
| 650 | 4 | |a Finances | |
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| 650 | 4 | |a Gestion du risque | |
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| 650 | 7 | |a Risicoanalyse |2 gtt | |
| 650 | 7 | |a Stochastische analyse |2 gtt | |
| 650 | 4 | |a Finance | |
| 650 | 4 | |a Insurance | |
| 650 | 4 | |a Risk management | |
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Datensatz im Suchindex
| _version_ | 1819363319703666688 |
|---|---|
| adam_text | Contents
1 Foundations of Financial Risk Management 1
1.1 Introductory concepts of the securities market. Subject of financial
mathematics 1
1.2 Probabilistic foundations of financial modelling and pricing of con¬
tingent claims 4
1.3 The binomial model of a financial market. Absence of arbitrage,
uniqueness of a risk neutral probability measure, martingale repre¬
sentation 13
1.4 Hedging contingent claims in the binomial market model. The Cox
Ross Rubinstein formula. Forwards and futures 18
1.5 Pricing and hedging American options 27
1.6 Utility functions and St. Petersburg s paradox. The problem of opti¬
mal investment 31
1.7 The term structure of prices, hedging and investment strategies in the
Ho Lee model 36
2 Advanced Analysis of Financial Risks 41
2.1 Fundamental theorems on arbitrage and completeness. Pricing and
hedging contingent claims in complete and incomplete markets. . . 41
2.2 The structure of options prices in incomplete markets and in markets
with constraints. Options based investment strategies 49
2.3 Hedging contingent claims in mean square 58
2.4 Gaussian model of a financial market and pricing in flexible insur¬
ance models. Discrete version of the Black Scholes formula 63
2.5 The transition from the binomial model of a financial market to a
continuous model. The Black Scholes formula and equation 73
2.6 The Black Scholes model. Greek parameters in risk management,
hedging under dividends and budget constraints. Optimal invest¬
ment 77
2.7 Assets with fixed income 95
2.8 Real options: pricing long term investment projects 103
2.9 Technical analysis in risk management Ill
3 Insurance Risks. Foundations of Actuarial Analysis 123
3.1 Modelling risk in insurance and methodologies of premium calcula¬
tions 123
3.2 Probability of bankruptcy as a measure of solvency of an insurance
company 133
3.2.1 Cramer Lundberg model 138
3.2.2 Mathematical appendix 1 141
3.2.3 Mathematical appendix 2 144
3.2.4 Mathematical appendix 3 147
3.2.5 Mathematical appendix 4 149
3.3 Solvency of an insurance company and investment portfolios .... 150
3.3.1 Mathematical appendix 5 158
3.4 Risks in traditional and innovative methods in life insurance .... 161
3.5 Reinsurance risks 175
3.6 Extended analysis of insurance risks in a generalized Cramer
Lundberg model 185
A Software Supplement: Computations in Finance and Insurance 197
B Problems and Solutions 209
B.I Problems for Chapter 1 209
B.2 Problems for Chapter 2 217
B.3 Problems for Chapter 3 223
C Bibliographic Remark 241
References 243
Glossary of Notation 247
Index 249
|
| any_adam_object | 1 |
| author | Melʹnikov, Aleksandr V. 1953- |
| author_GND | (DE-588)128679778 |
| author_facet | Melʹnikov, Aleksandr V. 1953- |
| author_role | aut |
| author_sort | Melʹnikov, Aleksandr V. 1953- |
| author_variant | a v m av avm |
| building | Verbundindex |
| bvnumber | BV019640848 |
| callnumber-first | H - Social Science |
| callnumber-label | HD61 |
| callnumber-raw | HD61 |
| callnumber-search | HD61 |
| callnumber-sort | HD 261 |
| callnumber-subject | HD - Industries, Land Use, Labor |
| classification_rvk | QH 300 SK 980 |
| ctrlnum | (OCoLC)52547677 (DE-599)BVBBV019640848 |
| dewey-full | 368 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 368 - Insurance |
| dewey-raw | 368 |
| dewey-search | 368 |
| dewey-sort | 3368 |
| dewey-tens | 360 - Social problems and services; associations |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV019640848 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T12:02:27Z |
| institution | BVB |
| isbn | 1584884290 |
| language | English Russian |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-012969733 |
| oclc_num | 52547677 |
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| owner_facet | DE-19 DE-BY-UBM DE-11 |
| physical | 252 S. |
| publishDate | 2004 |
| publishDateSearch | 2004 |
| publishDateSort | 2004 |
| publisher | Chapman & Hall/CRC |
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| series | Chapman & Hall CRC monographs and surveys in pure and applied mathematics |
| series2 | Chapman & Hall CRC monographs and surveys in pure and applied mathematics |
| spellingShingle | Melʹnikov, Aleksandr V. 1953- Risk analysis in finance and insurance Chapman & Hall CRC monographs and surveys in pure and applied mathematics Actuariële wetenschappen gtt Análise de risco larpcal Assurance Finances Finanças (métodos matemáticos) larpcal Gestion du risque Portfolio-analyse gtt Risicoanalyse gtt Stochastische analyse gtt Finance Insurance Risk management Versicherungsmathematik (DE-588)4063194-1 gnd Finanzmathematik (DE-588)4017195-4 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4063194-1 (DE-588)4017195-4 (DE-588)4121590-4 |
| title | Risk analysis in finance and insurance |
| title_auth | Risk analysis in finance and insurance |
| title_exact_search | Risk analysis in finance and insurance |
| title_full | Risk analysis in finance and insurance Alexander Melnikov. Transl. and ed. by Alexei Filinkov |
| title_fullStr | Risk analysis in finance and insurance Alexander Melnikov. Transl. and ed. by Alexei Filinkov |
| title_full_unstemmed | Risk analysis in finance and insurance Alexander Melnikov. Transl. and ed. by Alexei Filinkov |
| title_short | Risk analysis in finance and insurance |
| title_sort | risk analysis in finance and insurance |
| topic | Actuariële wetenschappen gtt Análise de risco larpcal Assurance Finances Finanças (métodos matemáticos) larpcal Gestion du risque Portfolio-analyse gtt Risicoanalyse gtt Stochastische analyse gtt Finance Insurance Risk management Versicherungsmathematik (DE-588)4063194-1 gnd Finanzmathematik (DE-588)4017195-4 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Actuariële wetenschappen Análise de risco Assurance Finances Finanças (métodos matemáticos) Gestion du risque Portfolio-analyse Risicoanalyse Stochastische analyse Finance Insurance Risk management Versicherungsmathematik Finanzmathematik Risikomanagement |
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