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Developed from the Second International Congress on Actuarial Science and Quantitative Finance, this volume showcases the latest progress in all theoretical and empirical aspects of actuarial science and quantitative finance. Held at the Universidad de Cartagena in Cartegena, Colombia in June 2016, the conference emphasized relations between industry and academia and provided a platform for practitioners to discuss problems arising from the financial and insurance industries in the Andean and Caribbean regions. Based on invited lectures as well as carefully selected papers, these proceedings address topics such as statistical techniques in finance and actuarial science, portfolio management, risk theory, derivative valuation and economics of insurance.
Sommario
Part I: Actuarial Sciences.- Robust paradigm applied to parameter reduction in actuarial triangle models.- Unlocking reserve assumptions using retrospective analysis.- Spatial Statistical tools to assess mortality differences in Europe.- Stochastic control for insurance: Models, Strategies and Numerics.- Stochastic control for insurance: new problems and methods.- Part II: Quantitative Finance.- Bermudan option valuation under state-department models.- Option-Implied Objective Measures of Market Risk with Leverage.- The Sustainable Black-Scholes Equations.- Author Index.
Info autore
Johnny Gruelle was a newspaper man who began writing stories about Raggedy Ann at the turn of the century, in order to entertain his ailing daughter, Marcella. He wrote many stories about the rag doll and her brother Raggedy Andy, including two collections, Raggedy Ann Stories and Raggedy Andy Stories. Though Mr. Gruelle died in 1938, his legacy is continued by his family and the millions around the world who have been touched by his simple messages of love, respect, and friendship.
Johnny Gruelle was a newspaper man who began writing stories about Raggedy Ann at the turn of the century, in order to entertain his ailing daughter, Marcella. He wrote many stories about the rag doll and her brother Raggedy Andy, including two collections, Raggedy Ann Stories and Raggedy Andy Stories. Though Mr. Gruelle died in 1938, his legacy is continued by his family and the millions around the world who have been touched by his simple messages of love, respect, and friendship.
Riassunto
Developed from the Second International Congress on Actuarial Science and Quantitative Finance, this volume showcases the latest progress in all theoretical and empirical aspects of actuarial science and quantitative finance. Held at the Universidad de Cartagena in Cartegena, Colombia in June 2016, the conference emphasized relations between industry and academia and provided a platform for practitioners to discuss problems arising from the financial and insurance industries in the Andean and Caribbean regions. Based on invited lectures as well as carefully selected papers, these proceedings address topics such as statistical techniques in finance and actuarial science, portfolio management, risk theory, derivative valuation and economics of insurance.
