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The recent financial crisis has heightened the need for appropriate methodologies for managing and monitoring complex risks in financial markets. The measurement, management, and regulation of risks in portfolios composed of credits, credit derivatives, or life insurance contracts is difficult because of the nonlinearities of risk models, dependencies between individual risks, and the several thousands of contracts in large portfolios. The granularity principle was introduced in the Basel regulations for credit risk to solve these difficulties in computing capital reserves. In this book, authors Patrick Gagliardini and Christian Gouriéroux provide the first comprehensive overview of the granularity theory and illustrate its usefulness for a variety of problems related to risk analysis, statistical estimation, and derivative pricing in finance and insurance. They show how the granularity principle leads to analytical formulas for risk analysis that are simple to implement and accurate even when the portfolio size is large.

Money market. Capital market --- Finance --- Insurance --- Mathematical models --- Finance - Mathematical models --- Insurance - Mathematical models --- Mathematical models.

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Insurance --- Assurance --- Statistical methods --- Mathematical models --- Modèles mathématiques --- Statistical methods. --- Mathematical models. --- Actuarial statistics --- Insurance statistics --- Mathematics --- -Insurance --- -KBC9912-IVB --- 10.03.a --- Assurance (Insurance) --- Coverage, Insurance --- Indemnity insurance --- Insurance coverage --- Insurance industry --- Insurance protection --- Mutual insurance --- Underwriting --- Finance --- Actuariaat ; Algemeen --- Modèles mathématiques --- Insurance - Statistical methods. --- Insurance - Mathematical models. --- KBC9912-IVB --- Insurance - Statistical methods --- Insurance - Mathematical models

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The interaction between mathematicians and statisticians reveals to be an effective approach for dealing with actuarial, insurance and financial problems, both in an academic and in an operative perspective. The international conference MAF 2008, held at the University Ca’ Foscari of Venezia (Italy) in 2008, had precisely this purpose, and the collection here published gathers a selection of about the one hundred papers presented at the conference and successively referred and reviewed to this aim. They cover a wide variety of subjects in actuarial, insurance and financial fields, all treated in light of the successful cooperation between the two quantitative approaches.

Finance -- Statistical methods -- Congresses. --- Finance -- Statistical methods. --- Insurance -- Mathematical models -- Congresses. --- Insurance -- Mathematical models. --- Finance --- Insurance --- Business & Economics --- Economic Theory --- Statistical methods --- Mathematical models --- Mathematical statistics. --- Economics --- Economic theory --- Political economy --- Mathematics --- Statistical inference --- Statistics, Mathematical --- Mathematics. --- Business mathematics. --- Applied mathematics. --- Engineering mathematics. --- Economics, Mathematical. --- Actuarial science. --- Statistics. --- Macroeconomics. --- Quantitative Finance. --- Actuarial Sciences. --- Business Mathematics. --- Statistical Theory and Methods. --- Macroeconomics/Monetary Economics//Financial Economics. --- Applications of Mathematics. --- Social sciences --- Economic man --- Statistics --- Probabilities --- Sampling (Statistics) --- Finance. --- Math --- Science --- Arithmetic, Commercial --- Business --- Business arithmetic --- Business math --- Commercial arithmetic --- Funding --- Funds --- Currency question --- Economics, Mathematical . --- Statistics . --- Engineering --- Engineering analysis --- Mathematical analysis --- Statistical analysis --- Statistical data --- Statistical science --- Econometrics --- Mathematical economics --- Methodology

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Actuarial mathematics --- Processus stochastiques --- Stochastic processes --- Stochastische processen --- Insurance --- Finance --- Assurance --- Finances --- Mathematical models --- Modèles mathématiques --- Stochastic processes. --- Mathematical models. --- 519.218 --- -Insurance --- -Stochastic processes --- -Finance --- 332.015118 --- 10.01.a --- Random processes --- Probabilities --- Assurance (Insurance) --- Coverage, Insurance --- Indemnity insurance --- Insurance coverage --- Insurance industry --- Insurance protection --- Mutual insurance --- Underwriting --- Funding --- Funds --- Economics --- Currency question --- Special stochastic processes --- Verzekeringswiskunde ; Waarschijnlijkheidsrekening --- 519.218 Special stochastic processes --- Modèles mathématiques --- Insurance - Mathematical models. --- Finance - Mathematical models.

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Assurances --- Automobilisme --- Verzekeringen --- Automobile insurance --- Mathematical models --- Statistical methods --- 368:629.113 <493> --- Insurance, Automobile --- -Insurance, Automobile --- -351.811<493> --- 368.21:629.113 <493> --- Automobile collision insurance --- Automobile liability insurance --- Collision insurance, Automobile --- Liability insurance, Automobile --- Insurance --- Verzekeringswezen-:-Mechanically powered vehicles. Motor vehicles. Automobile engineering--België --- 368:629.113 <493> Verzekeringswezen-:-Mechanically powered vehicles. Motor vehicles. Automobile engineering--België --- 368.1 --- -10.03.j --- 05.05.a --- Schadeverzekering van materiele zaken --- Actuariaat ; Schadeverzekeringen --- Motorrijtuigenverzekering ; Algemeen --- 368.1 Schadeverzekering van materiele zaken --- 10.03.j --- 351.811<493> --- Road traffic --- Actuarial mathematics --- Mathematical models. --- Statistical methods. --- Actuariat --- Actuarial science --- Actuarial science. --- Automobile insurance - Mathematical models --- Automobile insurance - Statistical methods --- Automobile insurance - Belgium