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Author : Peter Carr
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.E/5 ( download)
Download or read book Portfolio Insurance and Stochastic Bond Prices written by Peter Carr and published by . This book was released on 1987 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : X. Sheldon Lin
Publisher : John Wiley & Sons
ISBN 13 : 0471793205
Total Pages : 224 pages
Book Rating : 4.4/5 (717 download)
Download or read book Introductory Stochastic Analysis for Finance and Insurance written by X. Sheldon Lin and published by John Wiley & Sons. This book was released on 2006-04-21 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Incorporates the many tools needed for modeling and pricing infinance and insurance Introductory Stochastic Analysis for Finance and Insuranceintroduces readers to the topics needed to master and use basicstochastic analysis techniques for mathematical finance. The authorpresents the theories of stochastic processes and stochasticcalculus and provides the necessary tools for modeling and pricingin finance and insurance. Practical in focus, the book's emphasisis on application, intuition, and computation, rather thantheory. Consequently, the text is of interest to graduate students,researchers, and practitioners interested in these areas. While thetext is self-contained, an introductory course in probabilitytheory is beneficial to prospective readers. This book evolved from the author's experience as an instructor andhas been thoroughly classroom-tested. Following an introduction,the author sets forth the fundamental information and tools neededby researchers and practitioners working in the financial andinsurance industries: * Overview of Probability Theory * Discrete-Time stochastic processes * Continuous-time stochastic processes * Stochastic calculus: basic topics The final two chapters, Stochastic Calculus: Advanced Topics andApplications in Insurance, are devoted to more advanced topics.Readers learn the Feynman-Kac formula, the Girsanov's theorem, andcomplex barrier hitting times distributions. Finally, readersdiscover how stochastic analysis and principles are applied inpractice through two insurance examples: valuation of equity-linkedannuities under a stochastic interest rate environment andcalculation of reserves for universal life insurance. Throughout the text, figures and tables are used to help simplifycomplex theory and pro-cesses. An extensive bibliography opens upadditional avenues of research to specialized topics. Ideal for upper-level undergraduate and graduate students, thistext is recommended for one-semester courses in stochastic financeand calculus. It is also recommended as a study guide forprofessionals taking Causality Actuarial Society (CAS) and Societyof Actuaries (SOA) actuarial examinations.
Author : Giuseppe Ottaviani
Publisher : Springer Science & Business Media
ISBN 13 :
Total Pages : 138 pages
Book Rating : 4.E/5 ( download)
Download or read book Financial Risk in Insurance written by Giuseppe Ottaviani and published by Springer Science & Business Media. This book was released on 1995 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, published with the contribution of the Italian insurance company INA, contains the invited contributions presented at the 3rd International AFIR Colloquium, held in Rome in 1993. The colloquium was aimed at encouraging research on the theoretical bases of actuarial sciences, its interaction with the theory of finance and of corporate finance, together with mathematical methods, such as probability and the theory of stochastic processes. In the spirit of actuarial tradition, attention was given to the link between the theoretical approach and the operative problems of financial markets and institutions, and insurance companies in particular. The book is an important reference work for students and researchers of actuarial sciences and finance. It could also be recommended to practitioners with theoretical interests.
Author : Calisto Guambe
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (11 download)
Download or read book Stochastic Optimal Portfolios and Life Insurance Problems in a Le̹vy Market written by Calisto Guambe and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis solves various optimal investment, consumption and life insurance problems described by jump-diffusion processes. In the first part of the thesis, we solve an optimal investment, consumption, and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete market described by a jump-diffusion model with stochastic volatility. Using the martingale approach, we prove the existence of the optimal strategy and the optimal martingale measure and we obtain the explicit solutions for the power utility functions. Secondly, we prove the sufficient and necessary maximum principle for the similar problem proposed in the first part. Then we apply the results to solve an investment, consumption, and life insurance problem with stochastic volatility, that is, we consider a wage earner investing in one risk-free asset and one risky asset described by a jump-diffusion process and has to decide concerning consumption and life insurance purchase. We assume that the life insurance for the wage earner is bought from a market composed of M > 0 life insurance companies offering pairwise distinct life insurance contracts. The goal is to maximize the expected utilities derived from the consumption, the legacy in the case of a premature death and the investor's terminal wealth. The third part discusses an optimal investment, consumption and insurance problem of a wage earner under inflation. Assume a wage earner investing in a real money account and three asset prices, namely: a real zero coupon bond, the inflation-linked real money account and a risky share described by jump-diffusion processes. Using the theory of quadratic-exponential backward stochastic differential equation (BSDE) with jumps approach, we derive the optimal strategy for the two typical utilities (exponential and power) and the value function is characterized as a solution of BSDE with jumps. The explicit solutions for the optimal investment in both cases of exponential and power utility functions for a diffusion case are derived.
Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387262849
Total Pages : 861 pages
Book Rating : 4.3/5 (872 download)
Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2006-07-27 with total page 861 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.
Author : Calisto Justino Guambe
Publisher :
ISBN 13 :
Total Pages : 276 pages
Book Rating : 4.:/5 (113 download)
Download or read book Stochastic Optimal Portfolios and Life Insurance Problems in a Lévy Market written by Calisto Justino Guambe and published by . This book was released on 2018 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis solves various optimal investment, consumption and life insurance problems described by jump-diffusion processes. In the first part of the thesis, we solve an optimal investment, consumption, and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete market described by a jump-diffusion model with stochastic volatility. Using the martingale approach, we prove the existence of the optimal strategy and the optimal martingale measure and we obtain the explicit solutions for the power utility functions. Secondly, we prove the sufficient and necessary maximum principle for the similar problem proposed in the first part. Then we apply the results to solve an investment, consumption, and life insurance problem with stochastic volatility, that is, we consider a wage earner investing in one risk-free asset and one risky asset described by a jump-diffusion process and has to decide concerning consumption and life insurance purchase. We assume that the life insurance for the wage earner is bought from a market composed of M > 0 life insurance companies offering pairwise distinct life insurance contracts. The goal is to maximize the expected utilities derived from the consumption, the legacy in the case of a premature death and the investor's terminal wealth. The third part discusses an optimal investment, consumption and insurance problem of a wage earner under inflation. Assume a wage earner investing in a real money account and three asset prices, namely: a real zero coupon bond, the inflation-linked real money account and a risky share described by jump-diffusion processes. Using the theory of quadratic-exponential backward stochastic differential equation (BSDE) with jumps approach, we derive the optimal strategy for the two typical utilities (exponential and power) and the value function is characterized as a solution of BSDE with jumps. The explicit solutions for the optimal investment in both cases of exponential and power utility functions for a diffusion case are derived.
Author : Olivier de La Grandville
Publisher : MIT Press
ISBN 13 : 0262541459
Total Pages : 486 pages
Book Rating : 4.2/5 (625 download)
Download or read book Bond Pricing and Portfolio Analysis written by Olivier de La Grandville and published by MIT Press. This book was released on 2003-01-24 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: Makes accessible the most important methodological advances in bond evaluation from the past twenty years.
Author : Thawatchai Jittrapanun
Publisher :
ISBN 13 :
Total Pages : 312 pages
Book Rating : 4.:/5 (313 download)
Download or read book Portfolio Insurance in Imperfect Markets written by Thawatchai Jittrapanun and published by . This book was released on 1994 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tomas Cipra
Publisher : Springer Science & Business Media
ISBN 13 : 379082593X
Total Pages : 413 pages
Book Rating : 4.7/5 (98 download)
Download or read book Financial and Insurance Formulas written by Tomas Cipra and published by Springer Science & Business Media. This book was released on 2010-07-16 with total page 413 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial and insurance calculations become more and more frequent and helpful for many users not only in their profession life but sometimes even in their personal life. Therefore a survey of formulas of ?nancial and insurance mathematics that can be applied to such calculations seems to be a suitable aid. In some cases one should use instead of the term formula more suitable terms of the type method, p- cedure or algorithm since the corresponding calculations cannot be simply summed up to a single expression, and a verbal description without introducing complicated symbols is more appropriate. The survey has the following ambitions: • The formulas should be applicable in practice: it has motivated their choice for this survey ?rst and foremost. On the other hand it is obvious that by time one puts to use in practice seemingly very abstract formulas of higher mathematics, e.g. when pricing ?nancial derivatives, evaluating ?nancial risks, applying accou- ing principles based on fair values, choosing alternative risk transfers ARL in insurance, and the like. • The formulas should be error-free (though such a goal is not achievable in full) since in the ?nancial and insurance framework one publishes sometimes in a h- tic way various untried formulas and methods that may be incorrect. Of course, the formulas are introduced here without proofs because their derivation is not the task of this survey.
Author : Jean-Luc Prigent
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (129 download)
Download or read book Portfolio Insurance Strategies written by Jean-Luc Prigent and published by . This book was released on 2003 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: We compare the performances of the two standard portfolio insurance methods: the Option Based Portfolio Insurance (OBPI) and the Constant Proportion Portfolio Insurance (CPPI), when the volatility of the stock index is stochastic. In this framework, we provide a quite general formula for the CPPI portfolio value. We use criteria such as comparison of payoffs functions at maturity and various quantiles. We emphasize in particular the role of the insured percentage of the initial investment.
Author : Mario V. Wüthrich
Publisher : Springer Science & Business Media
ISBN 13 : 3540736433
Total Pages : 126 pages
Book Rating : 4.5/5 (47 download)
Download or read book Market-Consistent Actuarial Valuation written by Mario V. Wüthrich and published by Springer Science & Business Media. This book was released on 2007-09-26 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is a challenging task to read the balance sheet of an insurance company since different positions are often measured by different yardsticks. Assets, for example, are mostly valued at market prices whereas liabilities are often measured by established actuarial methods. This book presents powerful methods to measure liabilities and assets in the same way. It explains the mathematical framework that leads to market-consistent values for insurance liabilities. Coverage includes stochastic discounting, valuation portfolio in life and non-life insurance, asset and liability management, financial risks, insurance technical risks, and solvency.
Author : Lionel Martellini
Publisher : John Wiley & Sons
ISBN 13 : 0470852771
Total Pages : 678 pages
Book Rating : 4.4/5 (78 download)
Download or read book Fixed-Income Securities written by Lionel Martellini and published by John Wiley & Sons. This book was released on 2003-07-09 with total page 678 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook will be designed for fixed-income securities courses taught on MSc Finance and MBA courses. There is currently no suitable text that offers a 'Hull-type' book for the fixed income student market. This book aims to fill this need. The book will contain numerous worked examples, excel spreadsheets, with a building block approach throughout. A key feature of the book will be coverage of both traditional and alternative investment strategies in the fixed-income market, for example, the book will cover the modern strategies used by fixed-income hedge funds. The text will be supported by a set of PowerPoint slides for use by the lecturer First textbook designed for students written on fixed-income securities - a growing market Contains numerous worked examples throughout Includes coverage of important topics often omitted in other books i.e. deriving the zero yield curve, deriving credit spreads, hedging and also covers interest rate and credit derivatives
Author : Mohsen Mazaheri
Publisher :
ISBN 13 :
Total Pages : 156 pages
Book Rating : 4.:/5 (89 download)
Download or read book Portfolio Management and Derivative Security Pricing in Markets with Stochastic Volatility written by Mohsen Mazaheri and published by . This book was released on 2002 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Detlef Repplinger
Publisher : Springer Science & Business Media
ISBN 13 : 3540707298
Total Pages : 141 pages
Book Rating : 4.5/5 (47 download)
Download or read book Pricing of Bond Options written by Detlef Repplinger and published by Springer Science & Business Media. This book was released on 2008-08-15 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: A major theme of this book is the development of a consistent unified model framework for the evaluation of bond options. In general options on zero bonds (e.g. caps) and options on coupon bearing bonds (e.g. swaptions) are linked by no-arbitrage relations through the correlation structure of interest rates. Therefore, unspanned stochastic volatility (USV) as well as Random Field (RF) models are used to model the dynamics of entire yield curves. The USV models postulate a correlation between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a deterministic correlation structure between bond prices of different terms. Then the pricing of bond options is done either by running a Fractional Fourier Transform or by applying the Integrated Edgeworth Expansion approach. The latter is a new extension of a generalized series expansion of the (log) characteristic function, especially adapted for the computation of exercise probabilities.
Author : Yihong Xia
Publisher :
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (129 download)
Download or read book Stochastic Interest Rates and the Bond-Stock Mix written by Yihong Xia and published by . This book was released on 2008 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: The optimal bond-stock mix is examined in light of an apparent inconsistency between the Tobin Separation Theorem and the advice of popular investment advisors which has been pointed out by Canner et al. (1997). It is shown that the apparent inconsistency is largely explicable in terms of the hedging demands of optimising long-term investors in an environment in which the investment opportunity set is subject to stochastic shocks. The analysis points to the importance of considering investors' time horizons in analyzing optimal portfolio policies.
Author : Charles S. Tapiero
Publisher : Boom Koninklijke Uitgevers
ISBN 13 : 9780792381488
Total Pages : 364 pages
Book Rating : 4.3/5 (814 download)
Download or read book Applied Stochastic Models and Control for Finance and Insurance written by Charles S. Tapiero and published by Boom Koninklijke Uitgevers. This book was released on 1998-04-30 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: Applied Stochastic Models and Control for Finance and Insurance presents at an introductory level some essential stochastic models applied in economics, finance and insurance. Markov chains, random walks, stochastic differential equations and other stochastic processes are used throughout the book and systematically applied to economic and financial applications. In addition, a dynamic programming framework is used to deal with some basic optimization problems. The book begins by introducing problems of economics, finance and insurance which involve time, uncertainty and risk. A number of cases are treated in detail, spanning risk management, volatility, memory, the time structure of preferences, interest rates and yields, etc. The second and third chapters provide an introduction to stochastic models and their application. Stochastic differential equations and stochastic calculus are presented in an intuitive manner, and numerous applications and exercises are used to facilitate their understanding and their use in Chapter 3. A number of other processes which are increasingly used in finance and insurance are introduced in Chapter 4. In the fifth chapter, ARCH and GARCH models are presented and their application to modeling volatility is emphasized. An outline of decision-making procedures is presented in Chapter 6. Furthermore, we also introduce the essentials of stochastic dynamic programming and control, and provide first steps for the student who seeks to apply these techniques. Finally, in Chapter 7, numerical techniques and approximations to stochastic processes are examined. This book can be used in business, economics, financial engineering and decision sciences schools for second year Master's students, as well as in a number of courses widely given in departments of statistics, systems and decision sciences.
Author : Henri Loubergé
Publisher : Springer Science & Business Media
ISBN 13 : 9400918267
Total Pages : 139 pages
Book Rating : 4.4/5 (9 download)
Download or read book Financial Risk and Derivatives written by Henri Loubergé and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk and Derivatives provides an excellent illustration of the links that have developed in recent years between the theory of finance on one hand and insurance economics and actuarial science on the other. Advances in contingent claims analysis and developments in the academic and practical literature dealing with the management of financial risks reflect the close relationships between insurance and innovations in finance. The book represents an overview of the present state of the art in theoretical research dealing with financial issues of significance for insurance science. It will hopefully provide an impetus to further developments in applied insurance research.
