Beschreibung
Inhaltsangabe1.Introduction.- Part I: Financial Valuation Principles.- 2.State price deflators and stochastic discounting.- 3.spot rate models.- 4.Stochastic forward rate and yield curve modeling.- 5.Pricing of financial assets.- Part II: Actuarial Valuation and Solvency.- 6.Actuarial and financial modeling.- 7.Valuation portfolio.- 8.Protected valuation portfolio.- 9.Solvency.- 10.Selected topics and examples.- Part III: Appendix.- 11.Auxiliary considerations.- References.- Index.
Autorenportrait
InhaltsangabeIntroduction.- Part I. Financial Valuation Principles.- 1. State price deflators and stochastic discounting.- 2. Gaussian spot rate models.- 3. Non-Gaussian spot rate models.- 4. Stochastic forward rate modeling.- 5.Dynamic Nelson-Siegel and Svensson framework.- 6. Pricing of financial assets.- Part II. Actuarial Valuation and Solvency.- 7. Actuarial and financial modeling.- 8. Valuation portfolio.- 9. Protected valuation portfolio.- 10. Solvency.- 11. Selected topics and examples.- Part III. Appendix.- A. Auxiliary considerations.- Bibliography.- Index.
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