Modeling and management of credit risk are the main topics within banks and other lending institutions. Historical experience shows that, in particular, concentration of risk in credit portfolios has been one of the major causes of bank distress. Therefore, concentration risk is highly relevant to anyone who wants to go beyond the very basic portfolio credit risk models.
The book gives an introduction to credit risk modeling with the aim to measure concentration risks in credit portfolios. Taking the basic principles of credit risk in general as a starting point, several industry...
Modeling and management of credit risk are the main topics within banks and other lending institutions. Historical experience shows that, in partic...
Motivated by the many and long-standing contributions of H. Gerber and E. Shiu, this book gives a modern perspective on the problem of ruin for the classical Cramer-Lundberg model and the surplus of an insurance company. The book studies martingales and path decompositions, which are the main tools used in analysing the distribution of the time of ruin, the wealth prior to ruin and the deficit at ruin. Recent developments in exotic ruin theory are also considered. In particular, by making dividend or tax payments out of the surplus process, the effect on ruin is...
Motivated by the many and long-standing contributions of H. Gerber and E. Shiu, this book gives a modern perspective on the problem of ruin for the...
The aim of the book is to provide an overview of risk management in life insurance companies. The focus is twofold: (1) to provide a broad view of the different topics needed for risk management and (2) to provide the necessary tools and techniques to concretely apply them in practice. Much emphasis has been put into the presentation of the book so that it presents the theory in a simple but sound manner. The first chapters deal with valuation concepts which are defined and analysed, the emphasis is on understanding the risks in corresponding assets and liabilities such as bonds, shares and...
The aim of the book is to provide an overview of risk management in life insurance companies. The focus is twofold: (1) to provide a broad view of the...
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 students and researchers of actuarial science or risk...
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 aversi...
This book is a compilation of 21 papers presented at the International Cramer Symposium on Insurance Mathematics (ICSIM) held at Stockholm University in June, 2013. The book comprises selected contributions from several large research communities in modern insurance mathematics and its applications.
The main topics represented in the book are modern risk theory and its applications, stochastic modelling of insurance business, new mathematical problems in life and non-life insurance and related topics in applied and financial mathematics.
The book is an original and useful...
This book is a compilation of 21 papers presented at the International Cramer Symposium on Insurance Mathematics (ICSIM) held at Stockholm Universi...
