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Computation and Modelling in Insurance and Finance


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Table of Contents

1. Introduction; Part I. Tools for Risk Analysis: 2. Getting started the Monte Carlo way; 3. Evaluating risk: a primer; 4. Monte Carlo II: improving technique; 5. Modelling I: linear dependence; 6. Modelling II: conditional and non-linear; 7. Historical estimation and error; Part II. General Insurance: 8. Modelling claim frequency; 9. Modelling claim size; 10. Solvency and pricing; 11. Liabilities over long terms; Part III. Life Insurance and Financial Risk: 12. Life and state-dependent insurance; 13. Stochastic asset models; 14. Financial derivatives; 15. Integrating risk of different origin; Appendix A. Random variables: principal tools; Appendix B. Linear algebra and stochastic vectors; Appendix C. Numerical algorithms: a third tool; References; Index.

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A user-oriented, practical introduction outlining methods for analysing actuarial and financial risk.

About the Author

Erik Bolviken, with broad experience as an applied statistician, holds the Chair of Actuarial Science at the University of Oslo and was for many years a partner in Gabler and Partners, Oslo.

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