This book presents a selection of papers presented to the Second Inter national Symposium on Semi-Markov Models: Theory and Applications held in Compiegne (France) in December 1998. This international meeting had the same aim as the first one held in Brussels in 1984: to make, fourteen years later, the state of the art in the field of semi-Markov processes and their applications, bring together researchers in this field and also to stimulate fruitful discussions. The set of the subjects of the papers presented in Compiegne has a lot of similarities with the preceding Symposium; this shows...
This book presents a selection of papers presented to the Second Inter national Symposium on Semi-Markov Models: Theory and Applications held in Compi...
With the impact of the recent financial crises, more attention must be given to new models in finance rejecting -Black-Scholes-Samuelson- assumptions leading to what is called non-Gaussian finance. With the growing importance of Solvency II, Basel II and III regulatory rules for insurance companies and banks, value at risk (VaR) - one of the most popular risk indicator techniques plays a fundamental role in defining appropriate levels of equities. The aim of this book is to show how new VaR techniques can be built more appropriately for a crisis situation. VaR methodology for...
With the impact of the recent financial crises, more attention must be given to new models in finance rejecting -Black-Scholes-Samuelson- assumptio...
This book is the result of the fourth International Symposium on Data Analysis held on June 1985 at the Universite Libre de Bruxelles with the help'of the European Institute for Advanced Management. As the preceding ones, the organization of the Symposium started with a call for real life problems from which an International Com- mittee selected six topics and asked for several solutions. These topics are: I) Multivariate and longitudinal data on growing children 2) Prehistoric assemblages and lithic artifacts from a small We- european area 3) A comparison of results of European elections 4)...
This book is the result of the fourth International Symposium on Data Analysis held on June 1985 at the Universite Libre de Bruxelles with the help'of...
This book presents basic stochastic processes, stochastic calculus including LEvy processes on one hand, and Markov and Semi Markov models on the other. From the financial point of view, essential concepts such as the Black and Scholes model, VaR indicators, actuarial evaluation, market values, fair pricing play a central role and will be presented.
The authors also present basic concepts so that this series is relatively self-contained for the main audience formed by actuaries and particularly with ERM (enterprise risk management) certificates, insurance risk managers, students in...
This book presents basic stochastic processes, stochastic calculus including LEvy processes on one hand, and Markov and Semi Markov models on the o...
Marine Corlosquet-Habart William Gehin Jacques Janssen
This book introduces ALM in the context of banks and insurance companies. Although this strategy has a core of fundamental frameworks, models may vary between banks and insurance companies because of the different risks and goals involved. The authors compare and contrast these methodologies to draw parallels between the commonalities and divergences of these two services and thereby provide a deeper understanding of ALM in general.
This book introduces ALM in the context of banks and insurance companies. Although this strategy has a core of fundamental frameworks, models may v...
Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools, building stochastic models is nevertheless necessary to complete this descriptive orientation. This book presents a complete presentation of such a category of models using homogeneous and non-homogeneous semi-Markov processes developed by the authors in several recent papers. This...
Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the...
