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Actuarial and Financial Risk through Simulation : An Introduction,9780521830485
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Actuarial and Financial Risk through Simulation : An Introduction



Pub. Date:
Cambridge University Press
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This is the edition with a publication date of 5/26/2014.
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The aim of this book is to introduce the basic skills for the application of actuarial methods in the computer age. Specifically, basic stochastic modeling (including finance and investment), problem solving through simulation, and how simulation techniques are implemented. This includes simple modifications for dealing with related (but different) problems, and combining programs for the description of complex processes. En route, the author describes the genesis and interpretation of the underlying models, how they are fitted to historical data, and how they are simulated. The book assumes only basic background in calculus, linear algebraic and probability, as well as some programming skills, so it will appeal to students of actuarial science, as well as to others interested in learning how modern computing power can be utilized for analysing risk in insurance and finance.

Table of Contents

1. Introduction; Part I. Foundations: 2. Introducing probability; 3 .Stochastic dependence; 4 .Introducing Monte Carlo; 5. Error in risk evaluation; Part II. General Insurance: 6.Modeling claim frequency; 7. Modeling claim size; 8. Using the machinery; 9. Problem solving I; Part III. Dealing with time: 10. Traditional life insurance; 11. Modelling financial risk; 12. Financial derivatives; 13. Problem solving II; 14. Concluding remarks; References; Index.

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