Computation and Modelling in Insurance and Finance

Erik Bølviken, 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.

• 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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