An Introduction to Computational Risk Management of Equity-Linked Insurance

ISBN-13: 9780367734312 / Angielski / Miękka / 2020 / 382 str.

Runhuan Feng

Opis

The book will be devoted to quantitative models and computational techniques for risk management of equity-linked insurance. Although there have been research papers on the valuation of a great variety of investment guarantee products, they were primarily based on financial option pricing theory from the policyholders’ perspective. This book is

Spis treści

• A comprehensive and self-contained introduction to quantitative risk management of equity-linked insurance

• A collection of mathematical formulations of risk management problems presenting opportunities and challenges to applied mathematicians

• A handbook summarizing state-of-art computational techniques for risk management professionals

• Bridges a gap between latest development in finance and actuarial literature and the practice of risk management for investment-combined life insurance

•A comprehensive review of both Monte Carlo simulation methods and non-simulation numerical methods

O autorze

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.