Gestão de Activos-Passivos (1 º Sem 2017/2018)

CA (Actuarial Science)

Bibliografia

Principal

  • Neuhaus, Walther, Lecture notes , ., 2011

Secundária

  • Insurance Information Institute, Alternative Capital and its impact on Insurance and reinsurance Markets., Alternative Capital and its impact on Insurance and reinsurance Markets. Insurance Information Institute New York. March 2015., 2015
  • William F. Sharpe and Lawrence G. Tint, Optimization of asset portfolios respecting stochastic liability returns, a closed form solution for the optimum portfolio selection., William F. Sharpe and Lawrence G. Tint (1990), Optimization of asset portfolios respecting stochastic liability returns, a closed form solution for the optimum portfolio selection. The Journal of Portfolio Management., 1990
  • Dowd, K., Measuring Market Risk, Dowd, K.: Measuring Market Risk. John Wiley & Sons., 2010
  • Hull, J.C., Options, Futures, and other Derivatives, Hull, J.C.: Options, Futures, and other Derivatives (use any of a score of editions). Prentice Hall., 2017