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Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial...
This book presents basic stochastic processes, stochastic calculus including Lévy processes on one hand, and Markov and Semi Markov models on the other. From the financial point of view, essential concepts such as the Black and Scholes model, VaR indicators, actuarial...
This book introduces ALM in the context of banks and insurance companies. Although this strategy has a core of fundamental frameworks, models may vary between banks and insurance companies because of the different risks and goals involved. The authors compare and...
With the impact of the recent financial crises, more attention must be given to new models in finance rejecting “Black-Scholes-Samuelson” assumptions leading to what is called non-Gaussian finance.With the growing importance of Solvency II, Basel II and III regulatory...
The aim of this book is to promote interaction between engineering, finance and insurance, as these three domains have many models and methods of solution in common for solving real-life problems.The authors point out the strict inter-relations that exist among the...
Quantitative finance has become these last years a extraordinary field of research and interest as well from an academic point of view as for practical applications. At the same time, pension issue is clearly a major economical and financial topic for the next decades...
This book provides a detailed study of Financial Mathematics. In addition to the extraordinary depth the book provides, it offers a study of the axiomatic approach that is ideally suited for analyzing financial problems.This book is addressed to MBA's, Financial...
This book aims to give a complete and self-contained presentation of semi- Markov models with finitely many states, in view of solving real life problems of risk management in three main fields: Finance, Insurance and Reliability providing a useful complement to our...
Aims to give to the reader the tools necessary to apply semi-Markov processes in real-life problems. The book is self-contained and, starting from a low level of probability concepts, gradually brings the reader to a deep knowledge of semi-Markov processes. Presents...
Coronavirus, SRAS, Ebola, virus du SIDA, grippe aviaire (H5N1), grippe A (H1N1), la menace d'une pandémie appartient désormais à notre quotidien. Drame humain majeur, ce risque sanitaire entraînerait de lourdes conséquences financières pour les assureurs. À l'exception...
Tant pour les banques que pour les compagnies d'assurances, le poids de plus en plus important de la réglementation européenne en matière de bonne gouvernance et en particulier de bonne solvabilité, a entraîné un recours significatif à l'utilisation de méthodes...
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