Actuarial Finance: Derivatives Quantitative Models And Risk Management
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From the Back Cover
A new textbook offering a comprehensive introduction to models and techniques for the emerging field of actuarial finance
Drs. Boudreault and Renaud answer the need for a clear, application-oriented guide to the growing field of actuarial finance with this volume, which focuses on the mathematical models and techniques used in actuarial finance for the pricing and hedging of actuarial liabilities exposed to financial markets and other contingencies. With roots in modern financial mathematics, actuarial finance presents unique challenges due to the long-term nature of insurance liabilities, the presence of mortality or other contingencies and the structure and regulations of the insurance and pension markets.
Motivated, designed and written for and by actuaries, this book puts actuarial applications at the forefront in addition to balancing mathematics and finance at an adequate level to actuarial undergraduates. While the classical theory of financial mathematics is discussed, the authors provide a thorough grounding in such crucial topics as recognizing embedded options in actuarial liabilities, adequately quantifying and pricing liabilities, and using derivatives and other assets to manage actuarial and financial risks.
Actuarial applications are emphasized and illustrated with about 300 examples and 200 exercises. The book also comprises end-of-chapter point-form summaries to help the reader review the most important concepts. This text will prove itself a firm foundation for undergraduate courses in financial mathematics or economics, actuarial mathematics or derivative markets. It is also highly applicable to current and future actuaries preparing for the exams or actuary professionals looking for a valuable addition to their reference shelf.
MATHIEU BOUDREAULT, PHD, is Professor of Actuarial Science in the Département de mathématiques at Université du Québec à Montréal (UQAM), Canada. Fellow of the Society of Actuaries and Associate of the Canadian Institute of Actuaries, his teaching and research interests include actuarial finance, catastrophe modeling and credit risk.
JEAN-FRANÇOIS RENAUD, PHD, is Professor of Actuarial Science in the Département de mathématiques at Université du Québec à Montréal (UQAM), Canada. His teaching and research interests include actuarial finance, actuarial mathematics and applied probability.
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