This paper presents a duration dependent model for analyzing the evolution of credit ratings. It considers the backward recurrence process to tackle the time of permanence problem in the rating classes. In this way it is possible to manage the duration effects, which represent one of the most...

Intro -- Table of Contents -- Title -- Copyright -- Foreword -- Introduction -- 1 Introduction to Big Data and Its Applications in Insurance -- 1.1. The explosion of data: a typical day in the 2010s -- 1.2. How is big data defined? -- 1.3. Characterizing big data with the five Vs -- 1.4....

This book introduces ALM in the context of banks and insurance companies. Although this strategy has a core of fundamental frameworks, models may vary between banks and insurance companies because of the different risks and goals involved. The authors compare and contrast these methodologies to...