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Computation and Modelling in Insurance and Finance

$148.00

Part of International Series on Actuarial Science

  • Date Published: April 2014
  • availability: Available
  • format: Hardback
  • isbn: 9780521830485

$ 148.00
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  • Focusing on what actuaries need in practice, this introductory account provides readers with essential tools for handling complex problems and explains how simulation models can be created, used and re-used (with modifications) in related situations. The book begins by outlining the basic tools of modelling and simulation, including a discussion of the Monte Carlo method and its use. Part II deals with general insurance and Part III with life insurance and financial risk. Algorithms that can be implemented on any programming platform are spread throughout and a program library written in R is included. Numerous figures and experiments with R-code illustrate the text. The author's non-technical approach is ideal for graduate students, the only prerequisites being introductory courses in calculus and linear algebra, probability and statistics. The book will also be of value to actuaries and other analysts in the industry looking to update their skills.

    • Covers the main stochastic models in insurance and finance
    • Explains Monte Carlo techniques and how simulation models are built
    • Includes a program library in R
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    Product details

    • Date Published: April 2014
    • format: Hardback
    • isbn: 9780521830485
    • length: 712 pages
    • dimensions: 251 x 178 x 34 mm
    • weight: 1.53kg
    • contains: 80 b/w illus. 45 tables 550 exercises
    • availability: Available
  • Table of Contents

    1. Introduction
    Part I. Tools for Risk Analysis:
    2. Getting started the Monte Carlo way
    3. Evaluating risk: a primer
    4. Monte Carlo II: improving technique
    5. Modelling I: linear dependence
    6. Modelling II: conditional and non-linear
    7. Historical estimation and error
    Part II. General Insurance:
    8. Modelling claim frequency
    9. Modelling claim size
    10. Solvency and pricing
    11. Liabilities over long terms
    Part III. Life Insurance and Financial Risk:
    12. Life and state-dependent insurance
    13. Stochastic asset models
    14. Financial derivatives
    15. Integrating risk of different origin
    Appendix A. Random variables: principal tools
    Appendix B. Linear algebra and stochastic vectors
    Appendix C. Numerical algorithms: a third tool
    References
    Index.

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    Computation and Modelling in Insurance and Finance

    Erik Bølviken

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  • Author

    Erik Bølviken, Universitetet i Oslo
    Erik Bølviken, with broad experience as an applied statistician, holds the Chair of Actuarial Science at the University of Oslo and was for many years a partner in Gabler and Partners, Oslo.

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