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RISK ANALYSIS IN FINANCE AND INSURANCE

Financial and insurance markets always operate under various types of uncertainties that can affect nancial positions of companies and individuals. In nancial and insurance theories these uncertainties are usually referred to as risks. Given certain states of the market, and the economy in general, one can talk about risk exposure. Any economic activities of individuals, companies and public establishments aiming for wealth accumulation assume studying risk exposure. The sequence of the corresponding actions over some period of time forms the process of risk management. Some of the main principles and ingredients of risk management are qualitative identi cation of risk; estimation of possible losses; choosing the appropriate strategies for. | Sff CHAPMAN HALL CRC J I Monographs and Surveys in w Pure and Applied Mathematics 131 RISK ANALYSIS IN FINANCE AND INSURANCE ALEXANDER MELNIKOV Translated and edited by Alexei Filinkov CHAPMAN HALL CRC A CRC Press Company Boca Raton London New York Washington D.C. Library of Congress Cataloging-in-Publication Data Melnikov Alexander. Risk analysis in finance and insurance Alexander Melnikov p. cm. Monographs surveys in pure applied math 131 Includes bibliographical references and index. ISBN 1-58488-429-0 alk. paper 1. Risk management. 2. Finance. 3. Insurance. I. Title II. Chapman Hall CRC monographs and surveys in pure and applied mathematics 131. HD61.M45 2003 368 dc21 2003055407 This book contains information obtained from authentic and highly regarded sources. Reprinted material is quoted with permission and sources are indicated. A wide variety of references are listed. Reasonable efforts have been made to publish reliable data and information but the author and the publisher cannot assume responsibility for the validity of all materials or for the consequences of their use. Neither this book nor any part may be reproduced or transmitted in any form or by any means electronic or mechanical including photocopying microfilming and recording or by any information storage or retrieval system without prior permission in writing from the publisher. The consent of CRC Press LLC does not extend to copying for general distribution for promotion for creating new works or for resale. Specific permission must be obtained in writing from CRC Press LLC for such copying. Direct all inquiries to CRC Press LLC 2000 N.W. Corporate Blvd. Boca Raton Florida 33431. Trademark Notice Product or corporate names may be trademarks or registered trademarks and are used only for identification and explanation without intent to infringe. Visit the CRC Press Web site at www.crcpress.com 2004 by CRC Press LLC No claim to original U.S. Government works International Standard Book Number .