An Introduction to Computational Risk Management of Equity-Linked Insurance First Edition Feng 1351647725 9781351647724

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Product details:

• ISBN 10: 1351647725
• ISBN 13: 9781351647724
• Author: Feng

The quantitative modeling of complex systems of interacting risks is a fairly recent development in the financial and insurance industries. Over the past decades, there has been tremendous innovation and development in the actuarial field. In addition to undertaking mortality and longevity risks in traditional life and annuity products, insurers face unprecedented financial risks since the introduction of equity-linking insurance in 1960s. As the industry moves into the new territory of managing many intertwined financial and insurance risks, non-traditional problems and challenges arise, presenting great opportunities for technology development. Today’s computational power and technology make it possible for the life insurance industry to develop highly sophisticated models, which were impossible just a decade ago. Nonetheless, as more industrial practices and regulations move towards dependence on stochastic models, the demand for computational power continues to grow. While the industry continues to rely heavily on hardware innovations, trying to make brute force methods faster and more palatable, we are approaching a crossroads about how to proceed. An Introduction to Computational Risk Management of Equity-Linked Insurance provides a resource for students and entry-level professionals to understand the fundamentals of industrial modeling practice, but also to give a glimpse of software methodologies for modeling and computational efficiency.

Table of contents:

1 Modeling of Equity-linked Insurance

2 Elementary Stochastic Calculus

3 Monte Carlo Simulations of Investment Guarantees

4 Pricing and Valuation

5 Risk Management – Reserving and Capital Requirement

6 Risk Management – Dynamic Hedging

7 Advanced Computational Methods

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