Elsevier

Handbook of Statistics

Volume 19, 2001, Pages 365-412
Handbook of Statistics

Stochastic processes in insurance and finance

https://doi.org/10.1016/S0169-7161(01)19014-0Get rights and content

Publisher Summary

This chapter dealt mainly with the application of financial pricing techniques to insurance problems. However, actuarial concepts are also of increasing relevance for finance problems. This chapter presents that realistic models for asset price processes are typically incomplete. Actuarial concepts for risk-management might prove helpful in dealing with these “unhedgeable” risks. An example where such concepts are already applied, is the RAC-(risk adjusted capital) approach in insurance that has become popular among investment banks as a tool for the determination of risk capital and capital allocations. It is no coincidence that Swiss Bank Cooperation (now UBS) called one of its credit risk management systems ACRA, which stands for Actuarial Credit Risk Accounting.

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