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Applications of Monte Carlo Methods to Finance and Insurance epub download

by Graham Lord,Thomas N. Herzog


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Applications of Monte Carlo Methods to Finance and Insurance. Thomas N. Herzog, Graham M Lord. We discuss the application of the Bayesian statistical paradigm in conjunction with Monte Carlo methods to practical problems

Applications of Monte Carlo Methods to Finance and Insurance. Herzog, Fritz J. Scheuren, William E. Winkler. We discuss the application of the Bayesian statistical paradigm in conjunction with Monte Carlo methods to practical problems. We begin by describing the basic constructs of the Bayesian paradigm.

Princeton University. Applications of Monte Carlo Methods to Finance and Insurance. We describe a number of applications of simulation methods to practical problems in finance and insurance. The first entails the simulation of a two-stage model of a property-casualty insurance operation. The second application simulates the operation of an insurance regime for home equity conversion mortgages (also known as reverse mortgages). Introduction to Credibility Theory. Value at Risk: The New Benchmark for Managing Financial Risk.

Graham Lord, Thomas N. Herzog. Fritz Scheuren, William E. Winkler, Fritz J. Scheuren, Fritz J Scheuren, Thomas N. Herzog, William E Winkler, Thomas N Herzog. Join Chegg Study and get: Guided textbook solutions created by Chegg experts. Learn from step-by-step solutions for over 34,000 ISBNs in Math, Science, Engineering, Business and more. Answers in a pinch from experts and subject enthusiasts all semester long.

Monte Carlo Methods and Models in Finance and Insurance (Chapman and Hall/CRC Financial Mathematics Series) by. . Published by Actex Pubns Inc (2002)

Applications of Monte Carlo Methods to Finance and Insurance. Published by Actex Pubns Inc 2002-06 (2002). ISBN 10: 1566984335 ISBN 13: 9781566984331. Published by Actex Pubns Inc (2002).

This book develops the use of Monte Carlo methods in finance and it also uses simulation as a vehicle for presenting models and ideas from financial engineering. It divides roughly into three parts.

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Monte Carlo methods are used in corporate finance and mathematical finance to value and analyze (complex) instruments, portfolios and investments by simulating the various sources of uncertainty affecting their value, and then determining the distrib.

Monte Carlo methods are used in corporate finance and mathematical finance to value and analyze (complex) instruments, portfolios and investments by simulating the various sources of uncertainty affecting their value, and then determining the distribution of their value over the range of resultant outcomes. This is usually done by help of stochastic asset models. The advantage of Monte Carlo methods over other techniques increases as the dimensions (sources of uncertainty) of the problem increase.

Monte Carlo methods are useful in solving a wide range of problems, both stochastic and deterministic, that cannot easily be solved using analytic methods. In this text, the authors describe a number of schemes for generating sequences of both pseudo-random and quasi-random numbers from a wide variety of probability distributions. They discuss several variance reduction methods aimed at improving the efficiency and the robustness of the simulation process. The text illustrates the practical application of such methods to real-life problems in finance and insurance by presenting several in-depth case studies, including a model for generating stochastic interest rates. It also addresses issues relating to the important concept of Value at Risk, a measure for assessing the risk and/or performance of assets and/or liabilities. It is thus an excellent source for continuing education involving solutions to new and unique actuarial problems. The authors take you through several examples that demonstrate how Monte Carlo methods can be used in a financial environment. Estimation of mortgage prepayments, the measurement of Value at Risk of a portfolio of assets and liabilities, and the calculation of the annuity payments from a reverse mortgage are included. From there the reader will be prepared to use Monte Carlo Methods to build model offices of insurance products, analyze the impact of alternative investment strategies, perform asset liability management, forecast the impact of natural catastrophes, and perform dynamic solvency testing.

Applications of Monte Carlo Methods to Finance and Insurance epub download

ISBN13: 978-1566984331

ISBN: 1566984335

Author: Graham Lord,Thomas N. Herzog

Category: Other

Subcategory: Business & Finance

Language: English

Publisher: Actex Pubns Inc (June 1, 2002)

Pages: 264 pages

ePUB size: 1336 kb

FB2 size: 1249 kb

Rating: 4.7

Votes: 691

Other Formats: mobi lrf azw mbr

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