Innovations in Insurance, Risk- and Asset Management:Proceedings of the Innovations in Insurance, Risk- and Asset Management Conference

图书简介

This book covers recent developments in the interdisciplinary fields of actuarial science, quantitative finance, risk- and asset management. The authors are leading experts from academia and practice who participated in Innovations in Insurance, Risk- and Asset Management, an international conference held at the Technical University of Munich in 2017. The topics covered include the mathematics of extreme risks, systemic risk, model uncertainty, interest rate and hybrid models, alternative investments, dynamic investment strategies, quantitative risk management, asset liability management, liability driven investments, and behavioral finance. This timely selection of topics is highly relevant for the financial industry and addresses current issues both from an academic as well as from a practitioner’s point of view. Key Features: oFeatures authoritative contributions by leading experts from both academia and practice oContains chapters on replication theory, risk measures, risk classification, etc. oAddresses current issues in actuarial, risk management and finance, both from an academic as well as from a practitioner’s point of view

Behavioral Value Adjustments for Mortgage Valuation (M Bissiri, R Cogo); Examples of Wrong-Way Risk in CVA Induced by Devaluations on Default (Damiano Brigo, Nicola Pede); Static Versus Adapted Optimal Execution Strategies in Two Benchmark Trading Models (Damiano Brigo, Clement Piat); Wrong-Way Risk Adjusted Exposure: Analytical Approximations for Options in Default Intensity Models (Damiano Brigo, Thomas Hvolby, Frederic Vrins); Liability Driven Investments with a Link to Behavioral Finance (Ludwig Brummer, Markus Wahl, Rudi Zagst); Implied Distributions from Risk-Reversals and Brexit/Trump Predictions (Iain J Clark, Saeed Amen); Data and Uncertainty in Extreme Risks — A Nonlinear Expectations Approach (Samuel N Cohen); Intrinsic Risk Measures (Walter Farkas, Alexander Smirnow); Pathwise Construction of Affine Processes (Nicoletta Gabrielli, Josef Teichmann); On Consistency of the Omega Ratio with Stochastic Dominance Rules (Bernhard Klar, Alfred Müller); Chance-Risk Classification of Pension Products: Scientific Concepts and Challenges (Ralf Korn, Andreas Wagner); Interest Rate Swap Valuation in the Chinese Market (Wei Cui, Min Dai, Steven Kou, Yaquan Zhang, Chengxi Zhang, Xianhao Zhu); Forward versus Spot Price Modeling (Jan-frederik Mai); Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model (Massimo Caccia, Bruno Remillard); Replication Methods for Financial Indexes (Bruno Remillard, Bouchra Nasri, Malek Ben-Abdellatif); Consistent Iterated Simulation of Multivariate Defaults: Markov Indicators, Lack of Memory, Extreme-Value Copulas, and the Marshall-Olkin Distribution (Damiano Brigo, Jan-Frederik Mai, Matthias Scherer, Henrik Sloot); Fixed-income Returns from Hedge Funds with Negative Fee Structures: Valuation and Risk Analysis (Ranjan Bhaduri, Ben Djerroud, Fei Meng, David Saunders, Luis Seco, Mohammad Shakourifar);

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Innovations in Insurance, Risk- and Asset Management:Proceedings of the Innovations in Insurance, Risk- and Asset Management Conference 保险、风险和资产管理的创新：保险、风险和资产管理创新会议文集 保险学

Innovations in Insurance, Risk- and Asset Management:Proceedings of the Innovations in Insurance, Risk- and Asset Management Conference

保险、风险和资产管理的创新：保险、风险和资产管理创新会议文集
保险学