Mathematical Risk Analysis

Mathematical Risk Analysis Book in PDF, ePub and Kindle version is available to download in english. Read online anytime anywhere directly from your device. Click on the download button below to get a free pdf file of Mathematical Risk Analysis book. This book definitely worth reading, it is an incredibly well-written.

Mathematical Risk Analysis

Ludger Rüschendorf
Mathematical Risk Analysis Book PDF

Author : Ludger Rüschendorf
Publisher : Springer Science & Business Media
Page : 414 pages
File Size : 52,8 Mb
Release : 2013-03-12
Category : Mathematics
ISBN : 9783642335907

Get Book

Mathematical Risk Analysis by Ludger Rüschendorf Pdf

The author's particular interest in the area of risk measures is to combine this theory with the analysis of dependence properties. The present volume gives an introduction of basic concepts and methods in mathematical risk analysis, in particular of those parts of risk theory that are of special relevance to finance and insurance. Describing the influence of dependence in multivariate stochastic models on risk vectors is the main focus of the text that presents main ideas and methods as well as their relevance to practical applications. The first part introduces basic probabilistic tools and methods of distributional analysis, and describes their use to the modeling of dependence and to the derivation of risk bounds in these models. In the second, part risk measures with a particular focus on those in the financial and insurance context are presented. The final parts are then devoted to applications relevant to optimal risk allocation, optimal portfolio problems as well as to the optimization of insurance contracts. Good knowledge of basic probability and statistics as well as of basic general mathematics is a prerequisite for comfortably reading and working with the present volume, which is intended for graduate students, practitioners and researchers and can serve as a reference resource for the main concepts and techniques.

Probability and Risk Analysis

Igor Rychlik,Jesper Rydén
Probability and Risk Analysis Book PDF

Author : Igor Rychlik,Jesper Rydén
Publisher : Springer Science & Business Media
Page : 281 pages
File Size : 50,8 Mb
Release : 2006-10-07
Category : Mathematics
ISBN : 9783540395218

Get Book

Probability and Risk Analysis by Igor Rychlik,Jesper Rydén Pdf

This text presents notions and ideas at the foundations of a statistical treatment of risks. The focus is on statistical applications within the field of engineering risk and safety analysis. Coverage includes Bayesian methods. Such knowledge facilitates the understanding of the influence of random phenomena and gives a deeper understanding of the role of probability in risk analysis. The text is written for students who have studied elementary undergraduate courses in engineering mathematics, perhaps including a minor course in statistics. This book differs from typical textbooks in its verbal approach to many explanations and examples.

Mathematical Methods in Risk Theory

Hans Bühlmann
Mathematical Methods in Risk Theory Book PDF

Author : Hans Bühlmann
Publisher : Springer Science & Business Media
Page : 218 pages
File Size : 49,6 Mb
Release : 2007-06-15
Category : Mathematics
ISBN : 9783540307112

Get Book

Mathematical Methods in Risk Theory by Hans Bühlmann Pdf

From the reviews: "The huge literature in risk theory has been carefully selected and supplemented by personal contributions of the author, many of which appear here for the first time. The result is a systematic and very readable book, which takes into account the most recent developments of the field. It will be of great interest to the actuary as well as to the statistician . . ." -- Math. Reviews Vol. 43

Risk Analysis in Finance and Insurance

Alexander Melnikov
Risk Analysis in Finance and Insurance Book PDF

Author : Alexander Melnikov
Publisher : CRC Press
Page : 267 pages
File Size : 55,6 Mb
Release : 2003-09-25
Category : Mathematics
ISBN : 9780203498576

Get Book

Risk Analysis in Finance and Insurance by Alexander Melnikov Pdf

Historically, financial and insurance risks were separate subjects most often analyzed using qualitative methods. The development of quantitative methods based on stochastic analysis is an important achievement of modern financial mathematics, one that can naturally be extended and applied in actuarial mathematics. Risk Analysis in Finance

Risk Analysis in Finance and Insurance

Alexander Melnikov
Risk Analysis in Finance and Insurance Book PDF

Author : Alexander Melnikov
Publisher : CRC Press
Page : 267 pages
File Size : 45,8 Mb
Release : 2004-06-02
Category : Mathematics
ISBN : 9781135437459

Get Book

Risk Analysis in Finance and Insurance by Alexander Melnikov Pdf

Historically, financial and insurance risks were separate subjects most often analyzed using qualitative methods. The development of quantitative methods based on stochastic analysis is an important achievement of modern financial mathematics, one that can naturally be extended and applied in actuarial mathematics. Risk Analysis in Finance and Insurance offers the first comprehensive and accessible introduction to the ideas, methods, and probabilistic models that have transformed risk management into a quantitative science and led to unified methods for analyzing insurance and finance risks. The author's approach is based on a methodology for estimating the present value of future payments given current financial, insurance, and other information, which leads to proper, practical definitions of the price of a financial contract, the premium for an insurance policy, and the reserve of an insurance company. Self-contained and full of exercises and worked examples, Risk Analysis in Finance and Insurance serves equally well as a text for courses in financial and actuarial mathematics and as a valuable reference for financial analysts and actuaries. Ancillary electronic materials will be available for download from the publisher's Web site.

Market Risk Analysis, Quantitative Methods in Finance

Carol Alexander
Market Risk Analysis Quantitative Methods in Finance Book PDF

Author : Carol Alexander
Publisher : John Wiley & Sons
Page : 318 pages
File Size : 44,8 Mb
Release : 2008-04-30
Category : Business & Economics
ISBN : 9780470771020

Get Book

Market Risk Analysis, Quantitative Methods in Finance by Carol Alexander Pdf

Written by leading market risk academic, Professor Carol Alexander, Quantitative Methods in Finance forms part one of the Market Risk Analysis four volume set. Starting from the basics, this book helps readers to take the first step towards becoming a properly qualified financial risk manager and asset manager, roles that are currently in huge demand. Accessible to intelligent readers with a moderate understanding of mathematics at high school level or to anyone with a university degree in mathematics, physics or engineering, no prior knowledge of finance is necessary. Instead the emphasis is on understanding ideas rather than on mathematical rigour, meaning that this book offers a fast-track introduction to financial analysis for readers with some quantitative background, highlighting those areas of mathematics that are particularly relevant to solving problems in financial risk management and asset management. Unique to this book is a focus on both continuous and discrete time finance so that Quantitative Methods in Finance is not only about the application of mathematics to finance; it also explains, in very pedagogical terms, how the continuous time and discrete time finance disciplines meet, providing a comprehensive, highly accessible guide which will provide readers with the tools to start applying their knowledge immediately. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Principal component analysis of European equity indices; Calibration of Student t distribution by maximum likelihood; Orthogonal regression and estimation of equity factor models; Simulations of geometric Brownian motion, and of correlated Student t variables; Pricing European and American options with binomial trees, and European options with the Black-Scholes-Merton formula; Cubic spline fitting of yields curves and implied volatilities; Solution of Markowitz problem with no short sales and other constraints; Calculation of risk adjusted performance metrics including generalised Sharpe ratio, omega and kappa indices.

Probabilistic Risk Analysis

Tim Bedford,Roger Cooke
Probabilistic Risk Analysis Book PDF

Author : Tim Bedford,Roger Cooke
Publisher : Cambridge University Press
Page : 228 pages
File Size : 52,7 Mb
Release : 2001-04-30
Category : Mathematics
ISBN : 0521773202

Get Book

Probabilistic Risk Analysis by Tim Bedford,Roger Cooke Pdf

A graduate level textbook on probabilistic risk analysis, aimed at statisticians, operations researchers and engineers.

Business Risk Management

Edward J. Anderson
Business Risk Management Book PDF

Author : Edward J. Anderson
Publisher : John Wiley & Sons
Page : 336 pages
File Size : 54,6 Mb
Release : 2013-10-23
Category : Mathematics
ISBN : 9781118749364

Get Book

Business Risk Management by Edward J. Anderson Pdf

A comprehensive and accessible introduction to modern quantitative risk management. The business world is rife with risk and uncertainty, and risk management is a vitally important topic for managers. The best way to achieve a clear understanding of risk is to use quantitative tools and probability models. Written for students, this book has a quantitative emphasis but is accessible to those without a strong mathematical background. Business Risk Management: Models and Analysis Discusses novel modern approaches to risk management Introduces advanced topics in an accessible manner Includes motivating worked examples and exercises (including selected solutions) Is written with the student in mind, and does not assume advanced mathematics Is suitable for self-study by the manager who wishes to better understand this important field. Aimed at postgraduate students, this book is also suitable for senior undergraduates, MBA students, and all those who have a general interest in business risk.

Introduction to Insurance Mathematics

Annamaria Olivieri,Ermanno Pitacco
Introduction to Insurance Mathematics Book PDF

Author : Annamaria Olivieri,Ermanno Pitacco
Publisher : Springer
Page : 508 pages
File Size : 46,7 Mb
Release : 2015-09-30
Category : Mathematics
ISBN : 9783319213774

Get Book

Introduction to Insurance Mathematics by Annamaria Olivieri,Ermanno Pitacco Pdf

This second edition expands the first chapters, which focus on the approach to risk management issues discussed in the first edition, to offer readers a better understanding of the risk management process and the relevant quantitative phases. In the following chapters the book examines life insurance, non-life insurance and pension plans, presenting the technical and financial aspects of risk transfers and insurance without the use of complex mathematical tools. The book is written in a comprehensible style making it easily accessible to advanced undergraduate and graduate students in Economics, Business and Finance, as well as undergraduate students in Mathematics who intend starting on an actuarial qualification path. With the systematic inclusion of practical topics, professionals will find this text useful when working in insurance and pension related areas, where investments, risk analysis and financial reporting play a major role.

Risk Analysis in Engineering

Mohammad Modarres
Risk Analysis in Engineering Book PDF

Author : Mohammad Modarres
Publisher : CRC Press
Page : 432 pages
File Size : 52,6 Mb
Release : 2006-01-13
Category : Technology & Engineering
ISBN : 1574447947

Get Book

Risk Analysis in Engineering by Mohammad Modarres Pdf

Based on the author’s 20 years of teaching, Risk Analysis in Engineering: Techniques, Tools, and Trends presents an engineering approach to probabilistic risk analysis (PRA). It emphasizes methods for comprehensive PRA studies, including techniques for risk management. The author assumes little or no prior knowledge of risk analysis on the part of the student and provides the necessary mathematical and engineering foundations. The text relies heavily on, but is not limited to, examples from the nuclear industry, because that is where PRA techniques were first developed. Since PRA provides a best-estimate approach, the author pays special attention to explaining uncertainty characterization. The book begins with a description of the basic definitions and principles of risk, safety, and performance and presents the elements of risk analysis and their applications in engineering. After highlighting the methods for performing PRAs, the author describes how to assess and measure performance of the building blocks of PRAs, such as reliability of hardware subsystems, structures, components, human actions, and software. He covers methods of characterizing uncertainties and methods for propagating them through the PRA model to estimate uncertainties of the results. The book explores how to identify and rank important and sensitive contributors to the estimated risk using the PRA and performance assessment models. It also includes a description of risk acceptance criteria and the formal methods for making decisions related to risk management options and strategies. The book concludes with a brief review of the main aspects, issues, and methods of risk communication. Drawing on notes, homework problems, and exams from courses he has taught as well as feedback from his students, Professor Modarres provides a from-the-trenches method for teaching risk assessment for engineers. This is a textbook that is easy to use for students and professors alike.

Essential Mathematics for Market Risk Management

Simon Hubbert
Essential Mathematics for Market Risk Management Book PDF

Author : Simon Hubbert
Publisher : John Wiley & Sons
Page : 354 pages
File Size : 42,9 Mb
Release : 2012-01-17
Category : Business & Economics
ISBN : 9781119979524

Get Book

Essential Mathematics for Market Risk Management by Simon Hubbert Pdf

Everything you need to know in order to manage risk effectively within your organization You cannot afford to ignore the explosion in mathematical finance in your quest to remain competitive. This exciting branch of mathematics has very direct practical implications: when a new model is tested and implemented it can have an immediate impact on the financial environment. With risk management top of the agenda for many organizations, this book is essential reading for getting to grips with the mathematical story behind the subject of financial risk management. It will take you on a journey—from the early ideas of risk quantification up to today's sophisticated models and approaches to business risk management. To help you investigate the most up-to-date, pioneering developments in modern risk management, the book presents statistical theories and shows you how to put statistical tools into action to investigate areas such as the design of mathematical models for financial volatility or calculating the value at risk for an investment portfolio. Respected academic author Simon Hubbert is the youngest director of a financial engineering program in the U.K. He brings his industry experience to his practical approach to risk analysis Captures the essential mathematical tools needed to explore many common risk management problems Website with model simulations and source code enables you to put models of risk management into practice Plunges into the world of high-risk finance and examines the crucial relationship between the risk and the potential reward of holding a portfolio of risky financial assets This book is your one-stop-shop for effective risk management.

Mathematics and Statistics for Financial Risk Management

Michael B. Miller
Mathematics and Statistics for Financial Risk Management Book PDF

Author : Michael B. Miller
Publisher : John Wiley & Sons
Page : 341 pages
File Size : 51,5 Mb
Release : 2013-12-31
Category : Business & Economics
ISBN : 9781118750292

Get Book

Mathematics and Statistics for Financial Risk Management by Michael B. Miller Pdf

Mathematics and Statistics for Financial Risk Management is a practical guide to modern financial risk management for both practitioners and academics. Now in its second edition with more topics, more sample problems and more real world examples, this popular guide to financial risk management introduces readers to practical quantitative techniques for analyzing and managing financial risk. In a concise and easy-to-read style, each chapter introduces a different topic in mathematics or statistics. As different techniques are introduced, sample problems and application sections demonstrate how these techniques can be applied to actual risk management problems. Exercises at the end of each chapter and the accompanying solutions at the end of the book allow readers to practice the techniques they are learning and monitor their progress. A companion Web site includes interactive Excel spreadsheet examples and templates. Mathematics and Statistics for Financial Risk Management is an indispensable reference for today’s financial risk professional.

Risk Analysis in Finance and Insurance

Alexander Melnikov
Risk Analysis in Finance and Insurance Book PDF

Author : Alexander Melnikov
Publisher : Chapman and Hall/CRC
Page : 253 pages
File Size : 42,8 Mb
Release : 2004
Category : Business & Economics
ISBN : 1584884290

Get Book

Risk Analysis in Finance and Insurance by Alexander Melnikov Pdf

Historically, financial and insurance risks were separate subjects most often analyzed using qualitative methods. The development of quantitative methods based on stochastic analysis is an important achievement of modern financial mathematics, one that can naturally be extended and applied in actuarial mathematics. Risk Analysis in Finance and Insurance offers the first comprehensive and accessible introduction to the ideas, methods, and probabilistic models that have transformed risk management into a quantitative science and led to unified methods for analyzing insurance and finance risks. The author's approach is based on a methodology for estimating the present value of future payments given current financial, insurance, and other information, which leads to proper, practical definitions of the price of a financial contract, the premium for an insurance policy, and the reserve of an insurance company. Self-contained and full of exercises and worked examples, Risk Analysis in Finance and Insurance serves equally well as a text for courses in financial and actuarial mathematics and as a valuable reference for financial analysts and actuaries. Ancillary electronic materials will be available for download from the publisher's Web site.

Risk and Portfolio Analysis

Henrik Hult,Filip Lindskog,Ola Hammarlid,Carl Johan Rehn
Risk and Portfolio Analysis Book PDF

Author : Henrik Hult,Filip Lindskog,Ola Hammarlid,Carl Johan Rehn
Publisher : Springer Science & Business Media
Page : 343 pages
File Size : 53,6 Mb
Release : 2012-07-20
Category : Mathematics
ISBN : 9781461441038

Get Book

Risk and Portfolio Analysis by Henrik Hult,Filip Lindskog,Ola Hammarlid,Carl Johan Rehn Pdf

Investment and risk management problems are fundamental problems for financial institutions and involve both speculative and hedging decisions. A structured approach to these problems naturally leads one to the field of applied mathematics in order to translate subjective probability beliefs and attitudes towards risk and reward into actual decisions. In Risk and Portfolio Analysis the authors present sound principles and useful methods for making investment and risk management decisions in the presence of hedgeable and non-hedgeable risks using the simplest possible principles, methods, and models that still capture the essential features of the real-world problems. They use rigorous, yet elementary mathematics, avoiding technically advanced approaches which have no clear methodological purpose and are practically irrelevant. The material progresses systematically and topics such as the pricing and hedging of derivative contracts, investment and hedging principles from portfolio theory, and risk measurement and multivariate models from risk management are covered appropriately. The theory is combined with numerous real-world examples that illustrate how the principles, methods, and models can be combined to approach concrete problems and to draw useful conclusions. Exercises are included at the end of the chapters to help reinforce the text and provide insight. This book will serve advanced undergraduate and graduate students, and practitioners in insurance, finance as well as regulators. Prerequisites include undergraduate level courses in linear algebra, analysis, statistics and probability.

Stochastic Risk Analysis and Management

Boris Harlamov
Stochastic Risk Analysis and Management Book PDF

Author : Boris Harlamov
Publisher : John Wiley & Sons
Page : 169 pages
File Size : 46,5 Mb
Release : 2017-03-27
Category : Mathematics
ISBN : 9781786300089

Get Book

Stochastic Risk Analysis and Management by Boris Harlamov Pdf

The author investigates the Cramer –Lundberg model, collecting the most interesting theorems and methods, which estimate probability of default for a company of insurance business. These offer different kinds of approximate values for probability of default on the base of normal and diffusion approach and some special asymptotic.