Introduction to Dynamic Financial Analysis

作者： Roger Kaufmann , Andreas Gadmer , Ralf Klett

DOI: 10.2143/AST.31.1.1003

关键词: Actuarial science 、 Industrial engineering 、 Dynamic financial analysis 、 Stochastic simulation 、 Language of mathematics 、 Field (computer science) 、 Software 、 Reinsurance 、 Economics 、 Efficient frontier 、 Strategic management

摘要: In the last few years we have witnessed growing interest in Dynamic Financial Analysis (DFA) in the nonlife insurance industry. Page 1 INTRODUCTION TO DYNAMIC FINANCIAL …

参考文章(34)

Tomas Björk, Interest rate theory Lecture Notes in Mathematics. pp. 53- 122 ,(1997) , 10.1007/BFB0091999

Tony Neghaiwi, Paul Embrechts, Hubert Niggli, Peter Blum, Michel Dacorogna, Using DFA for Modelling the Impact of Foreign Exchange Risks on Reinsurance Decisions ,(2001)

Alexander McNeil, Paul Embrechts, Daniel Straumann, Correlation: Pitfalls and Alternatives ,(1999)

Gregory Taylor, Loss Reserving: An Actuarial Perspective ,(2000)

Paul Embrechts, Alexander J. McNeil, Daniel Straumann, Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls Cambridge University Press. pp. 176- 223 ,(2002) , 10.1017/CBO9780511615337.008

C Embrechts, P., Klüppelberg, T Mikosch, Modelling Extremal Events: for Insurance and Finance ,(1997)

Bernard Lapeyre, Damien Lamberton, Introduction to stochastic calculus applied to finance ,(2007)

Paul Embrechts, Filip Lindskog, Alexander Mcneil, Chapter 8 – Modelling Dependence with Copulas and Applications to Risk Management Handbook of Heavy Tailed Distributions in Finance. pp. 329- 384 ,(2003) , 10.1016/B978-044450896-6.50010-8

Jonathan E. Ingersoll, Theory of Financial Decision Making ,(1987)

Michael J. Brennan, Eduardo S. Schwartz, An Equilibrium Model of Bond Pricing and a Test of Market Efficiency The Journal of Financial and Quantitative Analysis. ,vol. 17, pp. 301- 329 ,(1982) , 10.2307/2330832