Financial Risk in InsuranceGiovanni Ottaviani, Giuseppe Ottaviani 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. |
Contents
Life Insurance with Stochastic Interest Rates | 1 |
Analyzing DefaultFree Bond Markets by Diffusion Models | 25 |
Riskbased Capital for Financial Institutions | 47 |
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Common terms and phrases
actuarial additive shifts approach arbitrage free price asset-liability management assets and liabilities assumed B₁ bad bank bank's beliefs Black Scholes bond prices call option Castellani CCTs CIR model constraints contingent contracts coupon credit risk default defined derived discount bond discount factor economic efficient frontier equilibrium path estimated expected face value financial institutions financial intermediaries fixed rate bonds framework function game theory immunization theory information set Ingersoll and Ross interest rate models interest rate risk intermediation portfolio investment martingale maturity model price nominal normalized price obtained option pricing payment streams payoff play risky player present value probability problem random rate bonds Redington riskless savers saving unit signalling game solvency spot rate stochastic duration stochastic immunization stochastic interest rate strategies Structure of Interest term structure Theorem unit ZCB valuation equation variable Vasicek model volatility yield curve zero Zero Coupon Bond