Risk Analysis and Prediction in Finance and Insurance. Risk Assessment and Management Improvements

      Аннотация: This practical book presents the Risk Analysis and Prediction in Finance and Insurance for experienced risk managers, risk analysts, financial risk managers, and the relating subject’s degree students. The book presents models for Risk Analysis and Prediction using simulation, optimisation, and Neural Networks to control risks and improve Risk Assessment & Management. The chapters present: Optimal portfolio selection in Investment Management to control Market Risk; Controlling Credit Risk for optimal loan portfolio selection in Banking; Controlling Market Risk for optimal portfolio selection with Correlated Assets; Analysis of different aspects of Credit Risk for loan approvals in Banking; Analysis of Insurance Risk with Reinsurance option; Analysis of Insurance Risk in claim payments; Predicting the loan applicants’ timely payments in Banking; Predicting the Stock Market Up or Down direction. The applied Sensitivity Analysis provides for essential improvements. Bernstein stated, “the risk will always be there, so we must explore many interesting tools that can help us to control risks we cannot avoid taking” (Bernstein and Damodaran 1998). The method presented is one such tool.

Ключевые слова: Risk Assessment & Management, risk analysis, prediction, sensitivity analysis, Finance, insurance, Stochastic Model, Monte Carlo simulation, Stochastic optimisation, NEURAL NETWORKS.