Reprint

# A Celebration of the Ties That Bind Us: Connections between Actuarial Science and Mathematical Finance

Edited by

February 2018

216 pages

- ISBN978-3-03842-733-9 (Paperback)
- ISBN978-3-03842-734-6 (PDF)

This book is a reprint of the Special Issue A Celebration of the Ties That Bind Us: Connections between Actuarial Science and Mathematical Finance that was published in

Business & Economics

Computer Science & Mathematics

Format

- Paperback

License

© 2019 by the authors; CC BY license

Keywords

n/a; risk management; portfolio optimization; Omega measure; Sharpe ratio; active-set algorithm; non-convex optimization; capital; capital allocation; capital determination; diversification; homogeneous; insurance; insurance pricing; Lévy process; parameter risk; risk measure; risk theory; gainsharing; pension; discount rate; hurdle rate; asset smoothing; asset allocation; asymptotics; data truncation; delta method; model validation; operational risk; VaR estimation; mathematical finance; actuarial science; catastrophe arrivals; catastrophe reinsurance; default risk; Monte Carlo simulation; capital allocation; premium and reserve risk; Solvency Capital Requirement (SCR); Sequential Monte Carlo (SMC); Swiss Solvency Test (SST); standard Brownian motion; Brownian martingale; diffusion coefficient; hidden Markov model; stock prices; observations; states; predictions; AIC; BIC; likelihood; trading; actuarial science; mathematical finance; risk management