| Document Type
|
:
|
BL
|
| Record Number
|
:
|
843784
|
| Main Entry
|
:
|
Feng, Runhuan
|
| Title & Author
|
:
|
An Introduction to Computational Risk Management of Equity-Linked Insurance.
|
| Edition Statement
|
:
|
First edition.
|
| Publication Statement
|
:
|
Boca Raton, FL :: CRC Press,, 2017.
|
| Series Statement
|
:
|
Chapman and Hall/CRC Financial Mathematics Series
|
| Page. NO
|
:
|
1 online resource :: text file, PDF
|
| ISBN
|
:
|
1315151685
|
|
|
:
|
: 1351647725
|
|
|
:
|
: 1498742181
|
|
|
:
|
: 9781315151687
|
|
|
:
|
: 9781351647724
|
|
|
:
|
: 9781498742184
|
| Contents
|
:
|
Modeling of Equity-linked Insurance -- Fundamental principles of traditional insurance -- Time value of money -- Law of large numbers -- Equivalence premium principle -- Central limit theorem -- Portfolio percentile premium principle -- Variable annuities -- Mechanics of deferred variable annuity -- Resets, roll-ups and ratchets -- Guaranteed minimum maturity benefit -- Guaranteed minimum accumulation benefit -- Guaranteed minimum death benefit -- Guaranteed minimum withdrawal benefit -- Guaranteed lifetime withdrawal benefit -- Mechanics of immediate variable annuity benefit -- Modeling of immediate variable annuity -- Single premium vs flexible premium annuities -- Fundamental principles of equity-linked insurance -- Equity-indexed annuities -- Point-to-point designs -- Cliquet designs -- High water mark designs -- Bibliographic notes -- Exercises -- Elementary Stochastic Calculus -- Probability space -- Random variable -- Expectation -- Discrete random variable -- Continuous random variable -- Stochastic process and sample path -- Conditional expectation -- Martingale versus Markov processes -- Scaled random walks -- Brownian motion -- Stochastic integral -- Itô's formula -- Stochastic differential equation -- Applications to equity-linked insurance -- Stochastic equity returns -- Guaranteed withdrawal benefits -- Laplace transform of ruin time -- Present value of total fees up to ruin -- Stochastic interest rates -- Vasicek model -- Cox-Ingersoll-Ross (CIR) model -- Exercises -- Monte Carlo Simulations of Investment Guarantees -- Simulating continuous random variables -- Inverse transformation method -- Rejection method -- Simulating discrete random variables -- Simulating continuous-time stochastic processes -- Exact joint distribution -- Brownian motion -- Geometric Brownian motion -- Vasicek process -- Euler discretization -- Euler method -- Milstein method -- Economic scenario generator -- Exercises -- Pricing and Valuation -- No-arbitrage pricing -- Discrete time pricing: binomial tree -- Pricing by replicating portfolio -- Representation by conditional expectation -- Dynamics of self-financing portfolio -- Continuous time pricing: Black-Scholes model -- Pricing by replicating portfolio -- Representation by conditional expectation -- Risk-neutral pricing -- Path-independent derivatives -- Path-dependent derivatives -- No arbitrage costs of investment guarantees -- Guaranteed minimum maturity benefit -- Guaranteed minimum accumulation benefit -- Guaranteed minimum death benefit -- Guaranteed minimum withdrawal benefit -- Policyholder's perspective -- Insurer's perspective -- Equivalence of pricing -- Guaranteed lifetime withdrawal benefit -- Policyholder's perspective -- Insurer's perspective -- Actuarial pricing -- Mechanics of profit testing -- Actuarial pricing vs no-arbitrage pricing -- Exercises -- Risk Management -- Reserving and Capital Requirement -- Reserve and capital -- Risk measures -- Value-at-Risk -- Conditional tail expectation -- Coherent risk measure -- Tail-value-at-risk -- Distortion risk measure -- Comonotonicity -- Statistical inference of risk measures -- Risk aggregation -- Variance-covariance approach -- Model uncertainty approach -- Scenario aggregation approach -- Liability run-o_ approach -- Finite horizon mark-to-market approach -- Risk diversification -- Convex ordering -- Thickness of tail -- Conditional expectation -- Individual model vs aggregate model -- Law of large numbers for equity-linked insurance -- Identical and fixed initial payments -- Identically distributed initial payments -- Risk engineering of variable annuity guaranteed benefits -- Capital allocation -- Pro-rata principle -- Euler principle -- Stochastic reserving by example -- Exercises -- Risk Management -- Dynamic Hedging -- Discrete time hedging: binomial tree -- Replicating portfolio -- Hedging portfolio -- Continuous time hedging: Black-Scholes model -- Greek letters hedging -- Advanced Computational Methods -- Differential equation methods -- Reduction of dimension -- Laplace transform method -- General methodology -- Application -- Finite difference method -- General methodology -- Application -- Application to guaranteed minimum withdrawal benefit -- Value-at-risk of individual net liability -- Conditional tail expectation of individual net -- liability -- Numerical example -- Comonotonic approximation -- Tail value-at-risk of conditional expectation -- Comonotonic bounds for sums of random variables -- Guaranteed minimum maturity benefit -- Application to guaranteed minimum benefit -- Guaranteed minimum death benefit -- Nested stochastic modeling -- Preprocessed inner loops -- Least-squares Monte Carlo -- Application to guaranteed lifetime withdrawal benefit -- Overview of nested structure -- Outer loop: surplus calculation -- Inner loop: risk-neutral valuation -- Computational techniques -- Exercises.
|
| Abstract
|
:
|
"The book will be devoted to quantitative models and computational techniques for risk management of equity-linked insurance. Although there have been research papers on the valuation of a great variety of investment guarantee products, they were primarily based on financial option pricing theory from the policyholders' perspective. This book is aimed at addressing the risk management issues from the insurer and regulator's viewpoints."--Provided by publisher.
|
| Subject
|
:
|
Insurance-- Mathematical models.
|
| Subject
|
:
|
Risk (Insurance)-- Mathematical models.
|
| Subject
|
:
|
Risk management-- Mathematical models.
|
| Subject
|
:
|
Insurance-- Mathematical models.
|
| Subject
|
:
|
MATHEMATICS-- General.
|
| Subject
|
:
|
MATHEMATICS-- Probability Statistics-- General.
|
| Subject
|
:
|
Risk (Insurance)-- Mathematical models.
|
| Subject
|
:
|
Risk management-- Mathematical models.
|
| Dewey Classification
|
:
|
368
|
| LC Classification
|
:
|
HG8054.5.F46 2018eb
|