Risk: From Insurance to Finance

Hailiang Yang
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Hailiang Yang: Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, China

Chapter 19 in Recent Developments in Mathematical Finance, 2001, pp 228-237 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractRisk and risk management are the most important concerns for insurance companies and financial institutions. In this paper, we will overview some of our research work on this area. In the insurance risk case, we will use ruin probability as a risk measure and discuss the issue of how to estimate it. We will also post some research problems on this subject. For finance risk, we will briefly discuss the risk measures in literature and summarize some of our recent results on coherent risk measures for derivatives. Then we will illustrate how to use some actuarial science techniques to measure financial risk, in particular, credit risk. In this paper, we will focus on the interplay between finance and actuarial science.

Keywords: Proceedings; Conference; Mathematical Finance; Shanghai (China) (search for similar items in EconPapers)
Date: 2001
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