Thursday, 2 May 2019

Risk Analysis in Finance and Insurance (Chapman & Hall/CRC Financial Mathematics Series)

Risk Analysis in Finance and Insurance (Chapman & Hall/CRC Financial Mathematics Series) by Alexander Melnikov.

This book deals with the notion of ‘risk’ and is devoted to analysis of risks in nanceand insurance. More precisely, we study risks associated with future repayments(contingent claims), where we understand risks as uncertainties that may result innancial loss and affect the ability to make repayments. Our approach to this analysis is based on the development of a methodology for estimating the present valueof the future payments given current nancial, insurance and other information. Using this approach, one can adequately de ne notions of price of a nancial contract,of premium for insurance policy and of reserve of an insurance company. Historically, nancial risks were subject to elementary mathematics of nance and theywere treated separately from insurance risks, which were analyzed in actuarial science. The development of quantitative methods based on stochastic analysis is akey achievement of modern nancial mathematics. These methods can be naturallyextended and applied in the area of actuarial mathematics, which leads to uni edmethods of risk analysis and management.

The aim of this book is to give an accessible comprehensive introduction to themain ideas, methods and techniques that transform risk management into a quantitative science. Because of the interdisciplinary nature of our book, many importantnotions and facts from mathematics, nance and actuarial science are discussed inan appropriately simpli ed manner. Our goal is to present interconnections amongthese disciplines and to encourage our reader to further study of the subject. Weindicate some initial directions in the Bibliographic remark.