Ontology type: schema:ScholarlyArticle
2011-09
AUTHORSThomas Knispel, Gerhard Stahl, Stefan Weber
ABSTRACTInsurance companies are exposed to many different types of risk, in particular actuarial as well as financial risks. As a consequence, the classical actuarial principle of pooling does not provide a sufficient basis for the valuation and risk management of the total portfolio of an insurance company. Instead, the methodology needs to be complemented by modern financial mathematics that enables a market consistent valuation. The current article provides an introduction to the fundamental principles of financial mathematics that were originally developed by Fischer Black, Robert Merton and Myron Scholes in the beginning of the 1970s. We will discuss the relevance of these concepts for insurance firms in the context of internal models and the computation of the market consistent embedded value (MCEV). More... »
PAGES139-172
http://scigraph.springernature.com/pub.10.1365/s13291-011-0022-y
DOIhttp://dx.doi.org/10.1365/s13291-011-0022-y
DIMENSIONShttps://app.dimensions.ai/details/publication/pub.1041922338
JSON-LD is the canonical representation for SciGraph data.
TIP: You can open this SciGraph record using an external JSON-LD service: JSON-LD Playground Google SDTT
[
{
"@context": "https://springernature.github.io/scigraph/jsonld/sgcontext.json",
"about": [
{
"id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/1502",
"inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/",
"name": "Banking, Finance and Investment",
"type": "DefinedTerm"
},
{
"id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/15",
"inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/",
"name": "Commerce, Management, Tourism and Services",
"type": "DefinedTerm"
}
],
"author": [
{
"affiliation": {
"alternateName": "University of Hannover",
"id": "https://www.grid.ac/institutes/grid.9122.8",
"name": [
"Institut f\u00fcr Mathematische Stochastik, Leibniz Universit\u00e4t Hannover, Welfengarten 1, 30167, Hannover, Germany"
],
"type": "Organization"
},
"familyName": "Knispel",
"givenName": "Thomas",
"id": "sg:person.014154747012.47",
"sameAs": [
"https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.014154747012.47"
],
"type": "Person"
},
{
"affiliation": {
"name": [
"Talanx AG, Quantitative Risk Management, Riethorst 2, 30659, Hannover, Germany"
],
"type": "Organization"
},
"familyName": "Stahl",
"givenName": "Gerhard",
"type": "Person"
},
{
"affiliation": {
"alternateName": "University of Hannover",
"id": "https://www.grid.ac/institutes/grid.9122.8",
"name": [
"Institut f\u00fcr Mathematische Stochastik, Leibniz Universit\u00e4t Hannover, Welfengarten 1, 30167, Hannover, Germany"
],
"type": "Organization"
},
"familyName": "Weber",
"givenName": "Stefan",
"id": "sg:person.012445527065.47",
"sameAs": [
"https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.012445527065.47"
],
"type": "Person"
}
],
"citation": [
{
"id": "https://doi.org/10.1111/1467-9965.00068",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1003263023"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1016/s0167-6911(02)00121-4",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1005738103"
],
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/s007800050062",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1006247094",
"https://doi.org/10.1007/s007800050062"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1080/14697680802169787",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1009433834"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1111/j.1467-9965.2007.00317.x",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1009559669"
],
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/s001860100127",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1009607815",
"https://doi.org/10.1007/s001860100127"
],
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/978-3-662-03460-6",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1015553379",
"https://doi.org/10.1007/978-3-662-03460-6"
],
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/978-3-662-03460-6",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1015553379",
"https://doi.org/10.1007/978-3-662-03460-6"
],
"type": "CreativeWork"
},
{
"id": "https://app.dimensions.ai/details/publication/pub.1015586590",
"type": "CreativeWork"
},
{
"id": "https://app.dimensions.ai/details/publication/pub.1015586590",
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/978-3-662-10061-5",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1015705823",
"https://doi.org/10.1007/978-3-662-10061-5"
],
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/978-3-662-10061-5",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1015705823",
"https://doi.org/10.1007/978-3-662-10061-5"
],
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/4-431-27233-x_2",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1027806967",
"https://doi.org/10.1007/4-431-27233-x_2"
],
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/bf01191909",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1034124957",
"https://doi.org/10.1007/bf01191909"
],
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/bf01191909",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1034124957",
"https://doi.org/10.1007/bf01191909"
],
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/978-3-642-11252-2",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1036312982",
"https://doi.org/10.1007/978-3-642-11252-2"
],
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/978-3-642-11252-2",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1036312982",
"https://doi.org/10.1007/978-3-642-11252-2"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1080/15326340600878677",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1036911092"
],
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/978-4-431-67891-5_4",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1038137805",
"https://doi.org/10.1007/978-4-431-67891-5_4"
],
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/s007800050008",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1039468730",
"https://doi.org/10.1007/s007800050008"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1016/s1570-8659(08)00002-1",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1047877644"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1080/13504860701352206",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1048020856"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1016/j.jmaa.2004.01.010",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1049374154"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1111/j.0960-1627.2004.00207.x",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1050366571"
],
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/s007800200072",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1051514674",
"https://doi.org/10.1007/s007800200072"
],
"type": "CreativeWork"
},
{
"id": "https://app.dimensions.ai/details/publication/pub.1051913815",
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/978-3-642-14852-1",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1051913815",
"https://doi.org/10.1007/978-3-642-14852-1"
],
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/978-3-642-14852-1",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1051913815",
"https://doi.org/10.1007/978-3-642-14852-1"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1086/260062",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1058573543"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1137/s0363012903423168",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1062880688"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1137/s0363012992232579",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1062880911"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1214/105051604000000341",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1064391734"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.2307/3318603",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1070261741"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1515/9783110218053",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1096916039"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1515/9783110197952",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1096967252"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1017/cbo9780511543289",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1098787381"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.2307/3003143",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1102129307"
],
"type": "CreativeWork"
},
{
"id": "https://app.dimensions.ai/details/publication/pub.1109705068",
"type": "CreativeWork"
},
{
"id": "https://app.dimensions.ai/details/publication/pub.1109705068",
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/978-1-4757-4015-8",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1109705758",
"https://doi.org/10.1007/978-1-4757-4015-8"
],
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/978-1-4757-4015-8",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1109705758",
"https://doi.org/10.1007/978-1-4757-4015-8"
],
"type": "CreativeWork"
}
],
"datePublished": "2011-09",
"datePublishedReg": "2011-09-01",
"description": "Insurance companies are exposed to many different types of risk, in particular actuarial as well as financial risks. As a consequence, the classical actuarial principle of pooling does not provide a sufficient basis for the valuation and risk management of the total portfolio of an insurance company. Instead, the methodology needs to be complemented by modern financial mathematics that enables a market consistent valuation. The current article provides an introduction to the fundamental principles of financial mathematics that were originally developed by Fischer Black, Robert Merton and Myron Scholes in the beginning of the 1970s. We will discuss the relevance of these concepts for insurance firms in the context of internal models and the computation of the market consistent embedded value (MCEV).",
"genre": "research_article",
"id": "sg:pub.10.1365/s13291-011-0022-y",
"inLanguage": [
"en"
],
"isAccessibleForFree": false,
"isPartOf": [
{
"id": "sg:journal.1136093",
"issn": [
"0012-0456",
"1869-7135"
],
"name": "Jahresbericht der Deutschen Mathematiker-Vereinigung",
"type": "Periodical"
},
{
"issueNumber": "3",
"type": "PublicationIssue"
},
{
"type": "PublicationVolume",
"volumeNumber": "113"
}
],
"name": "From the Equivalence Principle to Market Consistent Valuation",
"pagination": "139-172",
"productId": [
{
"name": "readcube_id",
"type": "PropertyValue",
"value": [
"c7b3185d00e872d9e9158b355cf076b4bd406731a10599d5051597184d80742a"
]
},
{
"name": "doi",
"type": "PropertyValue",
"value": [
"10.1365/s13291-011-0022-y"
]
},
{
"name": "dimensions_id",
"type": "PropertyValue",
"value": [
"pub.1041922338"
]
}
],
"sameAs": [
"https://doi.org/10.1365/s13291-011-0022-y",
"https://app.dimensions.ai/details/publication/pub.1041922338"
],
"sdDataset": "articles",
"sdDatePublished": "2019-04-10T22:45",
"sdLicense": "https://scigraph.springernature.com/explorer/license/",
"sdPublisher": {
"name": "Springer Nature - SN SciGraph project",
"type": "Organization"
},
"sdSource": "s3://com-uberresearch-data-dimensions-target-20181106-alternative/cleanup/v134/2549eaecd7973599484d7c17b260dba0a4ecb94b/merge/v9/a6c9fde33151104705d4d7ff012ea9563521a3ce/jats-lookup/v90/0000000001_0000000264/records_8690_00000592.jsonl",
"type": "ScholarlyArticle",
"url": "http://link.springer.com/10.1365/s13291-011-0022-y"
}
]Download the RDF metadata as: json-ld nt turtle xml License info
JSON-LD is a popular format for linked data which is fully compatible with JSON.
curl -H 'Accept: application/ld+json' 'https://scigraph.springernature.com/pub.10.1365/s13291-011-0022-y'
N-Triples is a line-based linked data format ideal for batch operations.
curl -H 'Accept: application/n-triples' 'https://scigraph.springernature.com/pub.10.1365/s13291-011-0022-y'
Turtle is a human-readable linked data format.
curl -H 'Accept: text/turtle' 'https://scigraph.springernature.com/pub.10.1365/s13291-011-0022-y'
RDF/XML is a standard XML format for linked data.
curl -H 'Accept: application/rdf+xml' 'https://scigraph.springernature.com/pub.10.1365/s13291-011-0022-y'
This table displays all metadata directly associated to this object as RDF triples.
184 TRIPLES
21 PREDICATES
60 URIs
19 LITERALS
7 BLANK NODES