Institute of Actuaries Publications Unit Book Sale

Books and other publications
SALE
The Publications Unit is currently working on an on-line publications shop and therefore we are
selling our limited current stock at further discounted prices. These prices are only valid for our
remaining stock; it is recommended that you contact the Publications Unit to confirm stock levels
prior to ordering.
Actuarial models for disability insurance

(Further reading subject CT5)
Haberman, S; Pitacco, E
Chapman & Hall, 1999. xviii, 280 pages. ISBN: 0 8493 0389 3
Order reference: TBAMODI
SALE PRICE: 33.50 (RRP: 46.99)
Disability insurance, long term care insurance and critical illness cover are becoming
increasingly important in developed countries as the problems of demographic ageing
come to the fore. Solutions to these pressures, together with demands from a
population that is better educated and more prosperous, are increasingly being found
through insurance by the private sector. Actuarial models for disability insurance
deals with the actuarial structure of disability insurance, long-term care insurance and
critical illness cover. It is the first book to examine, in a unified manner, the actuarial
problems in the design and development of a wide range of disability and care
insurances. Actuarial problems, in particular pricing and reserving, are treated within
the context of multiple state modelling, which provides a vigorous and sound
framework for analysing insurances of the person.
Actuarial practice in general insurance

(Further reading subject SA3)
Hart, D G; Buchanan, R A; Howe, B A
2001 edition. 592 pages. ISBN: 0858130556
Order reference: TBAUSGI
Price: UK: 45.00
This textbook is a basic text for actuarial students studying general insurance. It
covers three main areas: the nature and operations of general insurance, actuarial
techniques for general insurance, and actuarial practice of general insurance. Now in
its 6th edition, this book is also a valuable resource for general insurance
practitioners.
Actuarial tables with explanatory notes for use in personal injury and fatal
accident cases
Her Majesty s Stationery Office, 1998. 4th edition. 68 pages. ISBN: 0 11 560082 5
Order reference: TBATPIFA
Price: 12.50 (RRP: 12.50)
The tables have been prepared by the Government Actuary s Department. They provide an aid for those assessing
the lump sum appropriate as compensation for a continuing future pecuniary loss or consequential expense or cost of
care in personal injury and fatal accident cases.
Against the gods
the remarkable story of risk
Bernstein, Peter L
John Wiley, 1998. 383 pages. ISBN: 0 471 29563 9
Order reference: TBATGOD
In this unique exploration of the role of risk in our society, Peter Bernstein argues that
the notion of bringing risk under control is one of the central ideas that distinguishes
modern times from the distant past. Against the gods chronicles the remarkable
intellectual adventure that liberated humanity from oracles and soothsayers by means
of the powerful tools of risk management that are available to us today.
Analysis of financial time series

Tsay, Ruey S
Order reference: TBTSAY
Fundamental topics and new methods in time series analysis. Analysis of financial
time series provides a comprehensive and systematic introduction to financial
econometric models and their application to modelling and prediction of financial time
series data. It utilizes real-world examples and real financial data throughout the
book to apply the models and methods described.
The author begins with basic characteristics of financial time series; the return series
of multiple assets; and Bayesian inference in finance methods. Timely topics and
recent results include: Value at risk (VaR), High-frequency financial data analysis,
Markov chain monte carlo (MCMC) methods, Derivative pricing using extreme value
theory based on a non-homogeneous two-dimensional Poisson process, Multivariate
volatility models with time-varying correlations.
Ideal as a fundamental introduction to time series for MBA students or as a reference
for researchers and practitioners in business and finance, Analysis of financial time
series offers an in-depth and up-to-date account of these vital methods.
Analysis of survival data

Cox, D R; Oakes, D
Chapman & Hall, 1984. 208 pages. ISBN: 0 412 24490 X
Order reference: TBANSURVD
The analysis of survival data is a traditional statistical theme. However, in the last
10 15 years there has been an explosion of interest resulting in the development of
many new theoretical ideas and useful methods, especially in the study of the
relationship between survival times and explanatory variables. This monograph
brings together the older and newer ideas to present a comprehensive up-to-date
account of the field.
The value of survival analysis methods is not confined to medical statistics, where the
benefit of the analysis of data on such factors as life expectancy and duration of
periods of freedom from symptoms of a disease as related to treatment applied,
individual histories and so on, is obvious.
The techniques also find important applications in industrial life-testing and a range of
subjects from physics to econometrics. In the eleven chapters of the book the
methods and applications are discussed and illustrated by examples. Some new
results, not previously published, are included. Each chapter concludes with
bibliographic notes and outline statements of further results which can be used for
student exercises. Very specialised topics have been omitted in order to keep the
treatment coherent and concise.
Asset pricing
Cochrane, John H
Princeton University Press, 2001. 530 pages. ISBN: 0 691074984
Order reference: TBASSTPR
Every day, the financial markets bravely price trillions of dollars in such risky
securities as stocks, bonds, options, futures, and derivatives. The systematic
determination of their values
asset pricing
has developed dramatically in the
last few years due to advances in financial theory and econometrics. In one of the
most highly anticipated books in financial economics, John Cochrane unifies and
brings this science up to date for the benefit of advanced students and professionals.
Cochrane traces the pricing of all assets back to a single idea
price equals
expected discounted payoff
that captures the macro-economic risks underlying
each security s value. By using a single, stochastic discount factor rather than a
separate set of tricks for each asset class, Cochrane builds a unified account of
modern asset pricing. He presents applications to stocks, bonds, and options. Each
model
consumption-based, CAPM, multifactor, term structure, and option pricing
is derived as a different specification of the discount factor.
The discount factor framework also leads to a state-space geometry for meanvariance frontiers and asset pricing models. It puts payoffs in different states of
nature on the axes rather than mean and variance of return, leading to a new and
conveniently linear geometrical representation of asset pricing ideas.
Cochrane approaches empirical work with the Generalized Method of Moments,
which studies sample average prices and discounted payoffs to determine whether
price does equal expected discounted factor, GMM, and state-space language and
the beta, mean-variance, and regression language common in empirical work and
earlier theory. The book also includes a review of recent empirical work on return
predictability, value and other puzzles in the cross section, and equity premium
puzzles and their resolution.
Written to be a summary for academics and professionals as well as a textbook for
advanced graduate students, this book condenses and advances recent scholarship
in financial economics.
Blueprint for investment

FitzHerbert, Richard
Wrightbooks, 1998. 2nd ed. 224 pages. ISBN: 1 875857 54 0
Order reference: TBBLUEINV
Price: 12.50
The first edition of Blueprint for investment, published in 1993, was a sell-out
success. It was reprinted the following year and has been continuously in print ever
since. Richard FitzHerbert s approach is based on the historical record, a grasp of
the concept of value and a critical evaluation of the investment fashions of the day.
His investment strategy is timeless. Blueprint for investment provides the essential
framework which will enable serious, long term investors to make intelligent
investment decisions.
Richard FitzHerbert is an honours graduate of the University of Sydney and a Fellow
of the Institute of Actuaries. He has lectured on investment matters for the Securities
Institute of Australia, the Institute of Actuaries of Australia, Victoria University of
Technology and the University of Melbourne. He was elected as Associate of the
Securities Institute of Australia in 1993 for his contribution to the securities industry.
Capital asset investment: strategy, tactics and tools

Herbst, Anthony F
Order reference: TBCAISTT
A balanced and practical approach to capital management and budgeting Capital
asset investment: strategy, tactics and tools management and strategic financial
decision-making offers a detailed discussion of the theory, quantitative methods, and
applications of capital budgeting. Comprehensive in scope, all the major topics in the
field of capital investment are covered, including the various approaches to capital
project evaluation. Financial managers and business leaders planning future
strategies will look to this book for a helping hand in making long-term financial
decisions.
Classical competing risks

Crowder, Martin
Chapman & Hall, 2001. 186 pages. ISBN: 1 58488 175 5
Order reference: TBCCOMPR
Classical competing risks thoroughly examines the probability framework and
statistical analysis of data of competing risks, an area deserving much more
prominence in mainstream survival analysis. The author explores both the theory of
the subject and the practicalities of fitting the models of data. In a coherent, selfcontained, and sequential account, the treatment moves from the bare bones of the
competing risks set-up and the associated likelihood functions through survival
analysis using hazard functions.
It examines discrete failure times and the difficulties of identifiability and concludes
with an introduction to the counting-process approach and the associated martingale
theory.
With a dearth of modern treatments on the subject and the importance of its methods,
this book fills a long-standing gap in the literature with a carefully organised
exposition, real data sets, numerous examples, and clear, readable prose. If you
work with lifetime data, Classical competing risks presents a modern, comprehensive
overview of the methodology and theory you need.
Features:
Real data sets from a variety of fields
Theory and methodology for both continuous and discrete failure times
Likelihood-based methods, including Markov chain Monte Carlo computation for
Bayesian inference
Emphasis on hazard-based methods
Exploration of the latent failure-time approach and the associated identifiability
issues
Self-contained treatment with detailed derivations and discussion of results
Corporate finance and investment

Pike, Richard; Neale, Bill
Pearson Education, 2002. 4th edition. 928 pages. ISBN: 0273 65138 2
Order reference: TBCOF&I
This popular text has been extensively revised and updated for this 4th edition. Whilst significant new material has
been added, the book continues to balance the conceptual and technical aspects of Corporate Finance, without
allowing theory to dominate practice. Extensive examples illustrate how the concepts of financing and investment
decisions can be applied to practical management and business policy issues.
Corporate finance and investment is highly suitable for undergraduates studying for accounting, finance and business
studies degrees, as well as for those taking MBA and other postgraduate level courses in corporate finance.
Features:
A strategic focus relating finance to management issues to set the subject in context of corporate decision-making
and planning
Clear and accessible style presents maths using worked examples and diagrams to aid understanding and
highlight application
A UK/European perspective comprehensively addressing issues in Europe
Practical orientation blending theory and practice and featuring a wealth of real-world examples, case studies and
cameos to help students to learn how to apply their knowledge
Recommended by CIMA and ACCA
A course in financial calculus

Etheridge, Alison
Cambridge University Press, 196 pages. ISBN: 0 521 89077 2
Order reference: TBCFNCAL
Finance provides a dramatic example of the successful application of advanced
mathematical techniques to a practical problem: the pricing of financial derivatives.
This self-contained text is designed for first courses in financial calculus aimed at
students with a good background in mathematics. Key concepts such as martingales
and change of measure are introduced in the discrete time framework, allowing an
accessible amount of Brownian motion and stochastic calculus: proofs in the
continuous time world follow naturally. The Black-Scholes pricing formula is first
derived in the simplest financial context. The second half of the book is then devoted
to increasing the financial sophistication of the models and instruments. The final
chapter introduces more advanced topics including stock price models with jumps,
and stochastic volatility.
A valuable feature is the large number of exercises and examples, designed to test
technique and illustrate how the methods and concepts can be applied to realistic
financial questions.
Credit risk: modeling, valuation and hedging

Bielecki, T R; Rutkowski, M
Order reference: TBCRMVH
Springer, 2002. 460 pages. ISBN: 3 540 67593 0
The main objective of Credit risk: modelling, valuation and hedging is to present a
comprehensive survey of the past developments in the area of credit risk research, as
well as to put forth the most recent advancements in this field. An important aspect of
this text is that it attempts to bridge the gap between the mathematical theory of credit
risk and the financial practice, which serves as the motivation for the mathematical
modelling studied in the book. Mathematical developments are presented in a
thorough manner and cover the structural (value-of-the-firm) and the reduced-form
(intensity-based) approaches to credit risk modelling, applied both to single and to
multiple defaults. In particular, the book offers a detailed study of various arbitragefree models of defaultable term structures with several rating grades.
This book will serve as a valuable reference for financial analysts and traders
involved with credit derivatives. Some aspects of the book may also be useful for
market practitioners engaged in managing credit-risk sensitive portfolios.
Graduate students and researchers in areas such as finance theory, mathematical
finance, financial engineering and probability theory will benefit from the book as well.
On the technical side, readers are assumed to be familiar with graduate level
probability theory, theory of stochastic processes, and elements of stochastic analysis
and PDE; some acquaintance with arbitrage pricing theory is also expected. A
systematic exposition of mathematical techniques underlying the intensity-based
approach is provided, however.
Derivatives in financial markets with stochastic volatility

Fouque, J; Papanicolaou, G; Sircar, K R
Cambridge University Press, 2000. 216 pages. ISBN: 0 521 79163 4
Order reference: TBDFNMSV
This book addresses problems in financial mathematics of pricing and hedging
derivatives securities in an environment of uncertain and changing market volatility.
These problems are important to investors from large trading institutions to pension
funds. It presents mathematical and statistical tools that exploit the bursty nature of
market volatility. The mathematics is introduced through examples and illustrated
with simulations and the modelling approach that is described is validated and tested
on market data. The material is easily accessible to derivatives practitioners in the
financial engineering industry.
Contents: The Black-Scholes theory of derivative pricing; Introduction to stochastic
volatility models; Scales in mean-reverting stochastic volatility; Tools for estimating
the rate of mean-reversion; Symptotics for pricing European derivatives;
Implementation and stability; Hedging strategies; Application to exotic derivatives;
Applications to American derivatives; Generalisations; Applications to interest rates
models.
Essentials of investments
Bodie, Z; Kane, A; Marcus, A J
McGraw-Hill, 2004. 5th ed. 816 pages. ISBN: 0 07 123229 X
Order reference: TBEINV5
Essentials of investments is an undergraduate textbook on investment analysis. The
authors concentrate on material that will be useful to practitioners throughout their
careers as new ideas and challenges emerge from the financial marketplace. The fifth
edition includes new features:
A greater emphasis on the Internet. Each chapter features relevant websites and
includes Internet exercises.
All Excel spreadsheets have been updated and full interactive versions are found
on the Online Learning Center at www.mhhe.com/bkm
Chapter 18 is a new chapter on taxes, inflation and investment strategy.
International coverage is integrated throughout the text to help students
understand the importance of today s global economy.
Financial calculus: an introduction to derivative pricing

(Further reading CT8, SA5)
Baxter, Martin; Rennie, Andrew
Order reference: TBFCDRP
The rewards and dangers of speculating in the modern financial markets have been
to the fore in recent times. This is the first rigorous and accessible account of the
mathematics behind the pricing, construction and hedging of derivative securities.
Key concepts such as martingales, changes of measure, and the Heath-JarrowMorton model are described in a style tailored for market practitioners. Starting from
discrete-time hedging on binary trees, continuous-time stock models (including the
Black-Scholes) are developed. Practicalities are stressed, including examples from
stock, currency and interest rate markets, all accompanied by graphical illustrations
with realistic data. A full glossary of probabilistic and financial terms is provided. This
book will be an essential purchase for market practitioners, quantitative analysts, and
derivatives traders, whether existing or trainees, in investment banks throughout the
world. This book forms part of the recommended reading for the CiD and AciD.
Financial engineering and computation

Lyuu, Yuh-Dauh
Cambridge University Press, 2002. 648 pages. ISBN: 0 521 78171 X
Order reference: TBFE&C
Nowadays students and professionals intending to work in any area of finance
must master not only advanced concepts and mathematical models but also
learn how to implement these models computation. This comprehensive text
combines the theory and mathematics behind financial engineering with an
emphasis on computation, in keeping with the way financial engineering is
practised in today s capital markets. Unlike most books on investments, financial
engineering, or derivative securities, the book starts from a very basic ideas in
finance and gradually builds up the theory. It offers a thorough grounding in the
subject for MBAs in finance, students of engineering and sciences who are
pursuing a career in finance, researchers in computational finance, system
analysts, and financial engineers. Along with the theory, the author presents
numerous algorithms for pricing, risk management, and portfolio management.
The emphasis is on pricing financial and derivative securities, interest rate
derivatives, mortgage-backed securities, bonds with embedded options, and
more. Each instrument is treated in a short, self-contained chapter for ready
reference use. Many of these algorithms are coded in Java as programs for the
web, available from the book s home page.
Financial engineering: derivatives and risk

management
Cuthbertson, Keith; Nitzsche, Dirk
Order reference: TBFED&RM
This text provides a thorough treatment of futures, plain vanilla options and
swaps as well as the use of exotic derivatives and interest rate options for
speculation and hedging. Pricing of options using numerical methods such as
lattices (BOPM), Monte Carlo simulation and finite difference methods, in
addition to solutions using continuous time mathematics, are also covered. Real
options theory and its use in investment appraisal and in valuing internet and
biotechnology companies provide cutting edge practical applications.
Practical risk management issues are examined in dept. Alternative models for
calculating Value at Risk (market risk) and credit risk provide the theoretical
basis for a practical and timely overview of these areas of regulatory policy.
Financial market analysis

Blake, D
John Wiley, 1999. 748 pages. ISBN: 0 471 87728 X
Order reference: TBFMKTA
Financial market analysis provides an up-to-date and authoritative analysis of
financial markets from within the framework of modern finance theory.
The eagerly awaited second edition of this successful book has been greatly
expanded from 400 to over 700 pages and contains new material on value at risk,
speculative bubbles, volatility effects in financial markets, chaos and neural networks.
Financial market analysis deals with the composition of financial markets and the
analysis and valuation of traded securities. It describes the use of securities both in
constructing and managing portfolios and in contributing to portfolio performance.
Particular attention is paid to new types of investment product, different portfolio
management strategies, speculation, arbitrage and risk management strategies and
to financial market failure.
This book is an essential text for all finance-related degree courses at undergraduate,
postgraduate, and MBA level. It also provides a useful source of reference for
financial institutions and professionals in the financial markets.
Formulae and tables for actuarial examinations

2002. 2nd ed. 190 pages. ISBN: 0 901066 57 5
Order reference: TBFTTAB2
Price: 15.00
This new edition of the Formulae and Tables is an expanded and updated version of
its predecessor first published in 1980.
The contents have been updated to reflect more fully the evolving syllabus
requirements of the profession, and also in the case of the tables to reflect more
contemporary experience and methods. Correspondingly, there has been some
modest removal of material, which has become redundant with syllabus changes or
obviated by the availability of pocket calculators.
As in the predecessor book, it is important to note that these tables have been
produced for the sole use of examination candidates.
Formulae and tables (1st edition)

1980, repr 1988 [corrected] ed. 125 pages. ISBN: 0 901066 06 0
Order reference: TBFTAB1
Price: 5.00
Now updated with the second edition (as above) the first edition can be used as an
aid to revision on past examination papers and reports.
Fundamentals of private pensions

McGill, D M; Brown, K N; Haley, JJ; Schieber, S J.
University of Pennsylvania Press, 1996. 7th ed. 840 pages
Order reference:TBFPSION
For four decades, Fundamentals of private pensions has been regarded as the single
most authoritative reference source for private pensions. This seventh edition of the
classic text represents a major restructuring of the contents with a wealth of new
material and an expanded discussion that provides new economic and policy
perspectives on the provision of retirement income. It addresses the economics of
tax incentives provided to retirement programs and evaluates the various human
resource incentives in defined benefit and defined contribution programs. The
discussion and development of retirement income adequacy measures, a feature
dating back to the first edition, has been significantly expanded.
The seventh edition is organised into five main sections:
1. Lays out the regulatory environment in which private pension plans operate.
2. Investigates the various forms of retirement plans available.
3. Focuses on the economics of pensions, including a discussion of recent
economic literature on the operations of employer-sponsored retirement plans.
4. Explores the funding and accounting environment in which private employersponsored retirement plans operate.
5. Examines the handling of assets in employer-sponsored plans and their
valuation, as well as insurance provisions behind the benefit promises implied by
these plans.
As the single most authoritative source on corporate pensions, Fundamentals of
private pensions is invaluable to managers seeking to develop efficient pension
plans, scholars and policymakers concerned with pension design and regulation, and
actuaries and tax specialists. Employee benefits and human resource professionals
around the world will find this edition an essential reference, and investment experts
as well as accountants will gain a clearer understanding of how pensions influence
corporate and employee well-being.
General Insurance convention papers 2003

2003. 425 pages
Order reference: CPGI03
Price: 15.00

2004. 354 pages
Price: 15.00

2005. 446 pages
Price: 15.00
Genetics in society
Doble, A. et al. Institute of Actuaries of Australia. 2001. 144 pages.
ISBN: 085813070X
Order reference: TBAUSGEN
Price: 20.00
Essential reading for all those who are interested in developing their knowledge about
genetics and where actuaries can add value , this publication explores genetic
advances from a range of perspectives
medical, social and financial. Chapters
include: How genes work; Research fields in human genetics; Ethics and the new
genetics; Genetically modified organisms; Genetics and the financial sector;
Legislation and codes of conduct; and Actuarial modelling.
The handbook of fixed income securities

Fabozzi, Frank J
McGraw Hill, 2000. 6th ed. 1,350 pages. ISBN: 0 07 135805 6
Order reference: TBFICOME
First published in 1983, Frank Fabozzi s The handbook of fixed income securities has
become the benchmark for institutional and individual fixed income investors worldwide. Now revised and updated to keep pace with today s fast-changing financial
markets, this classic sixth edition provides in-depth coverage, analysis, and guidance
on topics including:
Types of features of fixed income securities
Risk and risk control strategies
Mortgage-backed and asset-backed securities
Bond market indexes
Bonds with embedded options
Floating rate securities
Municipal bonds
Fixed-income portfolio management
Treasury securities
Inflation-indexed bonds
Interest rate derivatives and their applications
To maximise returns as you minimise risk in the fixed income marketplace, it is
imperative that you have the most up-to-date facts available. The handbook of fixed
income securities will give you a thorough knowledge of 21st century fixed income
investing
along with the safety and security of knowing today s most trusted fixed
income reference is anchoring your investment library.
Insurance from underwriting to derivatives

Briys, E; De Varenne, F
Order reference: TBIUNDER
Asset liability management in insurance companies
Over recent years the insurance industry has faced a period of rapid change and
consolidation, with recent natural and man-made disasters highlighting the problems
that the industry faces. Yet this has also been a time of opportunity with the
traditional role in insurance giving way to its classification as an asset class. This has
resulted in insurance risks now being priced and exchanged on the markets.
In this book, the authors analyse the convergence between the insurance industry
and the capital markets. They summarise the main trends and issues and analyse
past events within the industry. Thus, they demonstrate that the current market
pressures on insurance companies do not just create challenges but also new
opportunities.
Insurance risk and ruin

Dickson, David D C
Cambridge University press, 2005. 242 pages. ISBN: 9780521846400
Order reference: TBIR&RDD
SALE PRICE 31.50 (RRP: 35.00)
Based on the author s experience of teaching final-year actuarial students in Britain
and Australia, and suitable for a first course in insurance risk theory, this book
focuses on the two major areas of risk theory aggregate claims distributions and
ruin theory. Fir aggregate claims distributions, detailed descriptions are given of
recursive techniques that can be used in the individual and collective risk models.
For collective model, different classes of counting distribution are discussed, and
recursion schemes for probability functions and moments presented. For the
individual model, the three most commonly applied techniques are discussed and
illustrated. Care has been taken to make the book accessible to readers who have
solid understanding of the basic tools of probability theory. Numerous worked
examples are included in the text and each chapter concludes with exercises, which
have answers in the book ad full solutions available for instructors from
www.cambridge.org.
The intelligent investor

Graham, Benjamin
Harper Collins. 1973. 4th revised ed. 340 pages. ISBN: 0 06 015547 7
Order reference: TBINTINV
This guide to the stock market offers principles proven by the success of investors for
over 35 years. Its main objective in its philosophy of value investing is to protect the
investor against the areas of possible error and to develop policies which are rational.
It takes account of both the defensive and enterprising investor, outlining the
principles of stock selection for each, and stressing the advantages of a simple
portfolio policy. It features the use of comparisons of pairs of common stocks to bring
out their elements of strength and weakness, and also the construction of investment
portfolios designed to meet specific requirements of quality and price attractiveness.
An introduction to actuarial studies

Atkinson, M E; Dickson, D C M
Edward Elgar Publishing, 2000. 172 pages. ISBN: 1 84064 446 X
Order reference: TBACTS
An introduction to actuarial studies provides a contemporary guide to actuarial
technique and practice. It covers a broad range of topics representing the basic
areas of actuarial science including compound interest calculations, demographic
theory and techniques, and the pricing and operation of simple life assurance
contracts. Numerous worked examples illustrate the principles and techniques
described in the text. In addition, the authors provide exercises with solutions to
allow the reader to establish confidence in using these techniques.
The text assumes no prior knowledge of actuarial work but requires mathematical
knowledge at first year university level and an ability for problem solving. It is
designed both for those beginning a career in actuarial work, as well as those
interested in learning about basic actuarial tools and the main areas of actuarial
practice.
An introduction to the mathematics of finance

McCutcheon, John J; Scott, William F
Heinemann, 1989. 480 pages. ISBN: 0 75060092 6
Order reference: TBMSCOTT
Price: 50.00 (RRP: 73.00)
A concise but thorough treatment of the basic compound interest functions, normal
rates of interest, and the yield (or internal rate return) plus many examples of
discounted cash flow. This book has been especially written for a wide audience
actuaries, investment analysts, accountants, stockbrokers and economists.
Introductory statistics with applications in general

insurance
Hossack, Ian B; Pollard, John H; Zehnwirth, Benjamin
Cambridge University Press, 1999. 294 pages. ISBN: 052165534X
Order reference: TBHPZ
This is a very successful introduction to statistical methods for general insurance
practitioners. No prior statistical knowledge is assumed, and the mathematical level
required is approximately equivalent to school mathematics. Whilst the book is
primarily introductory, the authors discuss some more advanced topics, including
simulation, calculation of risk premiums, credibility theory, estimation of outstanding
claim provisions and risk theory. All topics are illustrated by examples drawn from
general insurance, and references for further reading are given. Solutions to most of
the exercises are included. For the new edition the opportunity has been taken to
make minor improvements and corrections throughout the text, to rewrite some
sections to improve clarity, and to update the examples and references. A new
section dealing with estimation has also been added.
Inventing money: the story of long-term capital

management and the legends behind it
Dunbar, Nicholas
John Wiley, 2000. 280 pages. ISBN: 0471498114
Order reference: TBINVMON
LTCM was the fund that was too big to fail, the brightest star in the financial world.
Built on genius, by legends of Wall Street and two Nobel laureates, it spiralled to ever
greater heights, commanding unimaginable wealth. When it fell to earth in September
1998 it shook the world. This is the story of the rise and fall of LTCM and the legends
behind it. A brave and ambitious work, Inventing money was written by leading
financial journalist Nicholas Dunbar.
Investments
Sharpe, W F; Alexander, G J; Bailey, J V
Pearson, 1999. 6th ed. 962 pages. ISBN: 0 13 011507 X
Order reference: TBINVSHP
The subject matter for this edition of Investments has evolved considerably since
1978 when the first edition was published. For example, in the last few years
international investing has expanded rapidly, securities such as swaps and mortgage
derivatives have become increasingly popular, and investors have placed much more
emphasis on investment styles. The task of the authors has been to keep
Investments fresh and stimulating and to continue the tradition of this text to offer
students and instructors the most thorough and most current survey of the investment
environment.
New to this edition:
New chapter on efficient markets, investment value, and market price.
Statistical concepts appendix added to chapter 6
the portfolio selection
problem.
Additional institutional issues facing large institutional investors such as pension
funds and mutual funds.
Coverage of financial analysis expanded and includes a real-life corporate
example.
Additional end-of-chapter problems and CFA examination questions.
Totally updated coverage of latest developments in investments.
Management of company finance

(Further reading subjects SA5)
Samuels, J M; Wilkes, F M; Bradshaw, R E.
Thomson Learning, 1995. 6th ed. 256 pages. ISBN: 1 86152 229 0
Order reference: TBMGTFIN
This is the sixth edition of one of the leading textbooks on corporate finance. It offers
a comprehensive coverage for undergraduates and professional students.
Features:
New material on global financial markets, corporate governance, treasury
management, derivatives and corporate restructuring
End-of-chapter problems from the past examination papers of ACCA, CIMA and
ICAEW
Package of main text, teachers manual and OHP masters available.
Managing bank capital

Matten, Chris
John Wiley. 2000. 2nd ed. 341 pages. ISBN: 0 471 85196 5
Order reference: TBMBANKC
Effective capital management is fundamental to the optimisation of shareholder value
for any financial institution. In this significantly expanded and updated new edition of
the successful Managing bank capital Chris Matten addresses the issue of capital
allocation both from an internal and an external perspective. His expert advice and
international perspective on best practice will guide managers through proven
techniques for improving performance, minimising risk and maximising shareholder
value.
Organised in six discrete sections to cater for every interested reader from MBA
student to experienced investment banker, Managing bank capital contains both
introductory and detailed technical chapters on:
The role and definition of capital
The treasurer s perspective
understanding and meeting regulatory capital
constraints
The risk manager s perspective
understanding and meeting regulatory capital
constraints
The risk manager s perspective
building an internal risk capital model
The shareholder s perspective
using earnings volatility to measure risk
A holistic approach to capital management
bringing the four perspectives
together to manage capital so as to enhance shareholder value
Managing downside risk in financial markets

Sortino, F; Satchell, S
Butterworth Heinemann, 2001. 267 pages. ISBN: 0 7506 4863 5
Order reference: TBMDRFM
What s the downside? is the oft-used question that captures the notion of financial
risk. The degree of risk involved in any financial decision depends on what the
investor is trying to accomplish. For most financial decisions, there is some rate of
return that must be earned at minimum in order to accomplish the goal. We call this
the minimal acceptable return, or MAR. Returns below the MAR incur risk of not
accomplishing your goal. Returns above the MAR are the reward you get for taking
the risk, and every investment decision involves trade off between risk and return.
In this book a number of researchers and practitioners who share a common view of
how to measure, and therefore, manage downside risk share their knowledge with
you. The book includes a CD with software that will enable you to calculate downside
risk from monthly returns on any portfolio manager.
Mathematical statistics
Freund, John E
Prentice Hall, 1998. 6th ed. 624 pages. ISBN: 0 13 9741550
Order reference: TBFREUND
This book emphasises the theory of mathematical statistics while using applications
to illustrate points. It is a calculus-based text, covering such areas as estimation and
hypothesis testing
basing decisions on statistics and critical regions. It includes
exercises throughout each chapter. This book read in conjunction with the ActEd
Course, may be helpful to students taking Subject 101: Statistical Modelling, or
certain similar examinations at Universities.
Mathematics of financial markets

Elliott, R J; Kopp, P E
Springer, 1999. 300 pages. ISBN: 0 387 98553 0
Order reference: TBFNMKT
The past few years have seen a number of introductory texts which focus on the
applications of modern stochastic calculus to the theory of finance, and on the pricing
models for derivatives securities in particular. Some of these books develop the
mathematics very quickly, making substantial demands on the reader s background in
advanced probability theory. Others emphasize the financial applications and do not
attempt a rigorous coverage of the continuous-time calculus. This book provides a
rigorous introduction for those who do not have a good background in stochastic
calculus. The emphasis is on keeping the discussion self-contained rather than
giving the most general results possible.
Methods of mathematical finance

Karatzas, I; Shreve, S E
Springer, 1998. xv, 407 pages. ISBN: 0 387 94839 2
Order reference: TBMMFIN
This book is the sequel to Brownian motion and stochastic calculus by the same
authors. Within the context of Brownian-motion-driven asset prices, it develops
contingent claim pricing and optimal consumption/investment in both complete and
incomplete markets. The latter topic is extended to a study of equilibrium, providing
conditions for existence and uniqueness of market prices which support trading by
several heterogeneous agents. Although much of the incomplete-market material is
available in research papers, these topics are treated for the first time in a unified
manner. The book contains an extensive set of references and notes describing the
field, including topics not treated in the book. This book will be of interest to
researchers wishing to see advanced mathematics applied to finance. The material
in optimal consumption and investment, leading to equilibrium, is addressed to the
theoretical finance community. The chapters on contingent claim valuation presents
techniques of practical importance, especially for pricing exotic options.
Mind over data: an actuarial history

Dennett, Laurie
Institute of Actuaries, 224 pages, 80 illustrations. ISBN: 1 85757 082 0
Order reference: TBMOD
Price: 20.00
Fellows of the Institute of Actuaries apply mathematical skills and statistical methods
to everyday problems involving risk and uncertainty. Laurie Dennett s Mind over data
recounts the history of the Institute, with particular reference to financial stories which
have affected all our lives in the last sixty years. The author measures the Institute s
reactions to changes wrought by developments in education, the economy and
industry, and discusses the origins of recent high-profile issues.
The Institute of Actuaries is in many ways a pioneer. It has forged international links
into a network of more than sixty actuarial organisations, united by the International
Actuarial Association. To be an actuary is to belong to on of today s most adept and
forward looking professions.
A myriad of people rely on the advice of an actuary. Mind over data will appeal not
only to actuaries themselves but also to life insurance companies, pension funds,
government, policy makers, other professions, business historians, and economics
students. But for all people interested in issues of personal finance, this book lends
insight on how well actuaries collectively vigilant to the data of risk for long-term
state, corporate and individual financial provision have critically informed national
debate for change.
Mixed Poisson processes

Grandell, Jan
Order reference: TBMXPPRO
This publication was reviewed by G E Willmot in the British Actuarial Journal
Volume 4, Part IV (page 925)
Mixed Poisson processes have until now been studied by scientists primarily
interested in either insurance mathematics or joint processes. Often work in one area
has been carried out without knowledge of the other. Mixed Poisson processes is the
first book to be totally devoted to combining both these areas.
The first part of the book gives special emphasis to the estimation of the underlying
intensity, thinning, infinite divisibility and reliability properties; the second part of this
is, to a greater extent, based on Lundberg s thesis. Many newer results, such as
characterizations in terms of thinning, random translations, Palm probabilities and
symmetric distributions are given. Models for the risk fluctuations in an insurance
company are considered in some detail.
Combining a rigorous mathematical approach with an informal discursive style, this
book will be an invaluable source for probabilists, applied probabilists and actuaries,
as well as graduate students and scientists in these areas.
Modeling and analysis of stochastic systems

Kulkarni, V G
Chapman & Hall, 1995. xi, 619 pages. ISBN: 0 412 04991 0
Order reference: TBMASTOS
This practical and accessible text enables students in engineering business,
operations research, public policy, and computer science to model and analyse
stochastic systems. The major cases of useful stochastic processes
discrete and
continuous time Markov chains, renewal processes, regenerative processes, and
Markov regenerative processes
are presented, with an emphasis on modelling
real-life situations with stochastic elements and analysing the resulting stochastic
model.
The author provides user-friendly, yet rigorous coverage, and
follows a set pattern of development for each class of stochastic processes:
transient analysis, steady-state analysis, first-passage-time analysis and
cost/reward analysis
introduces Markov chains before renewal processes so that the reader can begin
modelling systems early
demonstrates both numerical and analytical solution methods in detail, giving the
reader an in-depth understanding of solutions
explains queuing applications in detail in a separate chapter
includes numerous worked examples and exercises that are conveniently
categorised as modelling, computational, or conceptual, making difficult concepts
easy to grasp
Taking a practical approach to working with stochastic models, this book helps
students to model and analyse the increasingly complex and interdependent systems
made possible by recent advances.
Modeling extremal events for insurance and finance

Embrechts, P; Kluppelberg, C; Mikosch, T
Springer, 1999. xv, 648 pages. 100 figs. ISBN: 3 540 60931 8
Order reference: TBMEXTEV
Both in insurance and finance applications, questions involving extremal events such
as large insurance claims, large fluctuations in financial data, stock market shocks
and risk management play an increasingly important role. This book sets out to
bridge the gap between the existing theory and practical applications both from a
probabilistic as well as from a statistical point of view. Whatever new theory is
presented is always motivated by relevant real-life examples. The numerous
illustrations and examples, and the extensive bibliography make this book an ideal
reference text for students, teachers and users in the industry of extremal event
methodology.
Given the nature of the subject
the book is easy to read
The narrative style is
marvellous
An amazing amount of knowledge. ASTIN Bulletin
the essential generic work on EVT. The style is infectiously enthusiastic; the
bibliography is exceptionally good, with many pointers in the text. Mathematics
Today
Modern actuarial theory and practice

(Further reading subjects CT5)
Booth, P; Chadburn, R; Cooper, D; Haberman, S; James, D
Chapman & Hall, 1999. xiii, 716 pages. ISBN: 0 8493 0388 5
Order reference: TBMACTTP
In the last two decades there has been a significant shift in actuarial thinking, and in
the approach taken to actuarial practice, moving from deterministic methods (with
implicit or explicit margins to protect against variability) to fully stochastic methods.
This book describes the traditional areas of actuarial activity in a way which highlights
the fundamental principles, as well as the economic, financial and statistical
foundations of actuarial theory and practice.
Modern portfolio theory and investment analysis

(Further reading subject 109)
Elton, Edwin J; Gruber, Martin J; Brown, Stephen J; Goetzmann, William N
John Wiley. 2003. 6th ed. 705 pages. ISBN: 0 471 238546
Order reference: TBPORTIA
How do you create portfolios that investors will find desirable? What are the benefits
of diversifying portfolios internationally? How do portfolios relate to the securities
from which they are formed?
You ll find answers to these and more in the sixth edition. In this new edition the
authors offer an accessible, up-to-date presentation of advanced theories and
techniques of investment analysis and portfolio management.
Following a concise introduction to the basic concepts of securities and markets, the
book guides you step by step through the nuts and bolts of modern portfolio theory,
including its strengths and weaknesses, and recent breakthroughs. Along the way,
you ll learn how to evaluate individual securities, combine securities into highperformance portfolios, and apply modern tools, such as equilibrium theory, to
manage portfolios more effectively.
The investment portfolio user s manual

Elton, E: Gruber, M; Blake, C
John Wiley, 2003. ISBN: 0 471 246107
Order reference: TBPORTUM
With this self contained, Windows-based software, you can apply what you ve learned
in Modern portfolio theory and investment analysis, 6th edition. Get hands-on
experience as you create, evaluate, and manage realistic portfolios made up of
stocks, bonds, mutual funds, and treasury bills.
Money and capital markets: pricing, yields and analysis

Sherris, Michael
Allen & Unwin, 1996. 2nd ed. 217pages. ISBN: 1 86448 159 5
Order reference: TBCAPMK
Price: 15.00 (RRP: 19.99)
Money and capital markets provides the most up-to-date, practical coverage of the
pricing and analysis of financial instruments and transactions available for Australian
and international capital markets. Here you have the underlying tools and techniques
for the valuation and risk management of short-term money market and capital
market securities and their derivatives. In a clear and direct way, Michael Sherris
covers fixed interest securities, forwards, futures, swaps, options and interest rate
derivatives (new in the 2nd edition). Everything
from yield calculations to tax and
horizon effects to interest rate risk measures
is lucidly explained and extensively
illustrated with examples.
Neuro-linguistic programming in a week

Shapiro, Mo
Chartered Management Institute. ISBN: 0340850299
Order reference: TBNEURO
Price: 6.99 (RRP: 6.99)
This book provides a dynamic collection of tools, techniques and strategies which
facilitate excellence throughout the work environment. By studying the way you access
and disseminate information through the language you use, your perceptions, and the
values you hold, this book will lead to:
Increasing your repertoire of excellence
Different ways of filtering information
Developing greater rapport
Formulating key questions for clarification
Transferring skills and resources
Extending your map of the world
Contents List: Introduction, Sunday: What is NLP? Monday: Personal and working beliefs, Tuesday: Knowing
yourself and others, Wednesday: What exactly do you mean, Thursday: Filter systems, Friday: Levels of change and
reframing, Saturday: Increase your options.
Mo Shapiro is a qualified practitioner of Neuro-Linguistic Programming and partner in INFORM Training and
Communication www.inform-global.com. She has an outstanding record as an emotional fitness coach, management
trainer and public speaker. Mo contributes expert advice to all popular media and has co-authored Succeeding at
interviews and Tackling interview questions.
No monkey business
and why
what investors need to know
Fowler, S
Prentice Hall, 2002. 336 pages. ISBN: 0 273 656589
Order reference: TBNMONKEY
Millions of people have accumulated investments on a scale that changes their needs
for professional financial services. A shameful number have directly experienced
abuse of trust in their dealings with the industry. Many more are discovering that the
relationships and products they thought were safe and simple are actually highly
complex and conceal risks they were never aware of.
It s time to take personal responsibility
No monkey business is a kick in the pants for the industry and a wake-up call for
individual investors. It shows you how to place money in the context of setting
individual life goals
making investment personally relevant. It also counters tricks
within the industry using a few essential principles, some helpful devices and a code
of safe practice that will transform the way individuals think about investment and the
way they select and manage their relationships with the industry. The code makes
sense of risk, defines how to select agents, products and services, and shows you
what to pay and how to pay.
No monkey business will educate investors, shed light on malpractice and ensure
consumers have the ammunition and know-how to make the most of their
investments.
No monkey business is supported by its own interactive website which provides the
latest developments in the industry, as well as links to other information resources
and services consistent with the No monkey business code of safe practice.
An insider s guide to the money, markets and people in between.
Operational risk: measurement and modelling

King, Jack L
John Wiley, 2001. 276 pages. ISBN: 0 471 852090
Order reference: TBOPRISK
Operational risk is emerging as the third leg of an institutional risk strategy for
financial institutions. Now recognised as a potential source of financial waste,
operational risk has become the subject of surveys, analysis, and the search for a
comprehensive set of definitions and a shared framework. Written by a leading
expert on operational risk measurement, this important work provides the needed
feedback for managing and mitigating it. Using both theoretical and practical
material, the author lays out a foundation theory that can be applied and refined for
application in the financial sector and beyond which includes a new technique called
Delta-EVT . This technique is a combination of two existing methods which
provides for the complete measurement of operational risk loss. The book contains
comprehensive step-by-step descriptions based on real-world examples, formul
and procedures for calculating many common risk measures and building causal
models using Bayesian networks, and background for understanding the history and
motivation for addressing operational risk.
Options, futures and other derivatives
2 copies left
(Further reading subjects CT8 and SA5)

Hull, John C
Prentice Hall, 2003. 5th ed. 744 pages. ISBN: 0 13 0465925
Order reference: TBOFODER
This book is appropriate for graduate and advanced undergraduate courses in
business, economics, and financial engineering. It is also suitable for practitioners
who want to acquire a working knowledge of how derivatives can be analysed.
Options, futures and other derivatives provides a unifying approach to the valuation of
all derivatives
not just futures and options. It assumes that the reader has taken
introductory courses in finance, probability and statistics, but no prior knowledge of
options, futures contracts, swaps, or other instruments is assumed. This book forms
part of the recommended reading for the CiD and ACiD.
Pensions and insurance before 1800
A social history
Lewin, Chris G
2003. 438 pages. ISBN: 1 86232 211 2
Order reference: TBLEWIN
Price: 22.50 (RRP: 25.00)
Few people realise that pension and insurance were starting to become established as long as the Middle Ages. This
well-illustrated book is the first comprehensive work on a fascinating subject. Using a wealth of little-known case
studies, it shows how people gradually evolved financial organisations that pooled risks and protected them and their
families from the financial consequences of disaster or of living too long.
Monasteries, merchants, usurers, disabled seamen, almshouses, plagues, fires, and property leases these are
some of the diverse areas on which the subject touches, in both Britain and Europe. It is a story full of human interest,
- struggles against adversity, and great philanthropic schemes, but also sometimes greed or even criminality. Despite
the passage of time, the issues and some of the solutions adopted are relevant even today.
Chris Lewin is Head of UK Pensions, Unilever plc.
Pensions terminology; a glossary for pension schemes

Pensions Management Institute, 1997. 5th ed. ISBN: 1 898 785 317
Order reference: TBPTERM
Price: 8.00; (RRP: 8.00) (UK: free postage; Rest of the World add: 2.50)
This is a glossary of pension terms which is produced in conjunction with the
Pensions Research Accountants Group. The purpose of the glossary is to encourage
all pension practitioners to speak the same language. It is revised and updated
periodically. The current edition was published in 1997.
The pension challenge: Risk transfers and retirement

income security
Mitchell, Olivia S; Smetters, Kent.
Oxford University Press,
Order reference: TBPCHAL
This book, the first in a new series produced by the Pension Research Council of the
Wharton School of the University of Pennsylvania in collaboration with Oxford
University Press, explores ways to enhance retirement security in a volatile financial
environment.
The book begins by assessing the myriad retirement risks confronting employees,
retirees, employers, and governments, and it shows how stakeholders can work to
reinvent pensions that perform well in a competitive global setting. Contributors then
indicate how pension systems can be better designed to help protect against these
risks.
Of special interest is a discussion of new financial products and structures to meet
and manage challenges to old-age security. Examples considered include pension
investment guarantees and hedges, adapting catastrophe bonds to the pension
context, and key regulatory structures and portfolio requirements designed to protect
unwary and unwitting pension participants. The contributors draw important lessons
from a wide range of countries, drawing from both developed and developing market
experiences.
Contributors include world famous finance experts and risk management faculty,
development economists, pension regulators, and pension consultants.
Practical risk theory for actuaries

Daykin, Chris D; Pentikinen, Teivo and Pesonen, Martti
Order reference: TBPRT
Practical risk theory for actuaries is a textbook for practising and student actuaries on
the practical aspects of stochastic modelling of the insurance business. It has its
roots in the classical theory of risk but introduces many new elements that are
important in managing the insurance business but which are usually ignored in the
classical theory. These include modelling the stochastic behaviour of inflation and
investments, cyclical effects affecting both claims and premiums, claim run-off
uncertainty and feed-back mechanisms. The main focus of the book is on general
insurance (property/casualty insurance) but there are also chapters on life insurance
and pensions. Practical tips are given for the use of simulation to solve both shortterm and longer-term problems, with many practical applications. The text avoids the
use of unnecessarily complex or abstruse mathematical formulations and makes
liberal use of diagrams and graphical representations.
Chris Daykin is The Government Actuary of the UK; Professor Teivo Pentikinen was
formerly the Managing Director for Ilmarinen, Helskinki, Finland and Dr Martti
Pesonen is the Chief Actuary for Industrial Insurance Co., Helsinki, Finland.
Principles of corporate finance
7th edition & Study guide (5 copies left)
Brealey, Richard A; Myers, Stewart C

McGraw-Hill, 2002. 7th ed. 1071 pages ISBN 0 07 115144 3. Study guide 437 pages. ISBN: 0 07 246801 7
SALE PRICE: 50.00 (RRP: Principles of corporate finance: 42.99, RRP: Study guide 20.99)
Brealey and Myers Principles of corporate finance is the world-wide leading text that describes the theory and
practice of corporate finance. Throughout the book the authors show how managers use financial theory to solve
practical problems and as a way of learning how to respond to change by showing not just how but why companies
and management act as they do. The text is comprehensive, authoritative, and modern and yet the material is
presented at a common sense level. The discussions and illustrations are unique due to the depth of detail blended
with a distinct sense of humour for which the book is well known and highly regarded. This text is a valued reference
for thousands of practising financial mangers.
The President, Jeremy Goford in his presidential address recommends that all actuaries, who have not already done
so, should read Brealey & Myers. As a minimum he recommends the sections on Risk , Dividend Policy and Capital
Structure , Options and Risk Management as well as the chapters on Corporate Financing and the Six Lessons of
Market Efficiency , Valuing Debt and Conclusions .
Probability and random processes

Grimmett, Geoffrey; Stirzaker, David
Oxford University Press, 2001. 3rd ed. 608 pages. ISBN: 0 19 857222 0
Order reference: TBPRRPRO
The new edition of this successful text gives a rigorous and extensive introduction to
probability theory and in-depth account of the most important random processes.
The book begins with basic ideas common to many undergraduate courses in
mathematics, statistics and the sciences; it concludes with topics usually found at
graduate level. Highlights of the third edition include new sections on sampling and
Markov chain Monte Carlo, geometric probability, coupling and Poisson processes,
renewal-reward, queuing networks, stochastic calculus, Ito s formula and option
pricing in the Black-Scholes model for financial markets.
Project management in a week

Brown, Mark
Chartered Management Institute. ISBN: 0 340 84937 1
Order reference: TBSPMNGT
Price: 6.99 (RRP: 6.99)
Successful businesses frequently thrive or fail on their ability to manage change. An
enormous responsibility is placed on the shoulders of Project Managers whose task it
is to make that change happen.
Project management in a week demystifies what can sometimes appear to be an
esoteric science by explaining the basic principles of project management and
describing practical steps which Project Managers should take. Topics include:
Understanding the nature of projects
Setting up a project
Planning projects
Controlling projects
The role and personal qualities of a Project Manager
Mark Brown is a management consultant with Coopers & Lybrand. He has managed
numerous large projects, particularly in the Financial Services industry and provides
training and consultancy services on the subject. He is a Member of the British
Computer Society.
150 puzzles
Marshall, Rod; Sole, Timothy C. 1998. 83 pages. ISBN: 0 901066 58 3
Order reference: TB150PUZ
Price: 5.00 or free with any publication order over 50
This book was published by the Faculty and Institute of Actuaries to coincide with
the profession s 150th Anniversary celebrations. It contains a selection of past
puzzles from The Actuary and its predecessor Fiasco, as well as some new
puzzles.
A question of trust
the BBC Reith lectures 2002
O Neill, Onora
Cambridge University Press. 2002. 100 pages. ISBN: 0 521 52996 4
Order reference: TBQTRUST
We say we can no longer trust our public services, institutions or the people who run
them. The professionals we have to rely on
politicians, doctors, scientists,
businessmen and many others
are treated with suspicion. Their word is doubted,
their motives questioned. Whether real or perceived, this crisis of trust has a
debilitating impact on society and democracy. Can trust be restored by making
people and institutions more accountable? Or do complex systems of accountability
and control themselves damage trust? Onora O Neill challenges current approaches,
investigates sources of deception in our society and re-examines questions of press
freedom. The 2002 Reith Lectures present a philosopher s view of trust and
deception, and ask whether and how trust can be restored in a modern democracy.
RAMP: Risk analysis and management for projects

Institution of Civil Engineers; Faculty and Institute of Actuaries.
Thomas Telford, 2005. 2nd ed. 147 Pages. ISBN: 0 7277 3390 7
Order reference: TBRAMP02
Price: 35.00 (RRP: 35.00) NEW EDITION
Risk surrounds every human activity and influences everything we do. RAMP
(risk analysis for projects) is a simple and straightforward process for evaluating
and controlling risk in major projects, which has been developed by a joint
working party of the actuarial and civil engineering professions. This handbook
shows how RAMP can enable one to identify, analyse and respond to risks, and
place financial values on them. Allied with sound judgement, RAMP should
reduce the chance of the resources committed to a project being wasted or the
project being a failure. It should also lead to better financial returns for
sponsors, investors and lenders, and help to improve the consequences of
projects for the wider community.
The RAMP process is concerned with more than the construction phase of a
project. It covers the entire life-cycle of the asset, with regular reviews at key
points and a system for the control of those risks which remain. It can be
applied both to hard projects involving the construction of a physical asset and
to soft projects like the acquisition of a business or a launch of a new product
or service.
The handbook will be of use to everyone who is concerned with the financial,
commercial, legal or engineering aspects of projects of any kind
This is the second edition of the handbook and it incorporates some significant
changes, with more attention being devoted to upside risks, general uncertainty,
risk efficiency, decision criteria, and the need for independent validation of
appraisals. There is also new material about public sector procurement. A new
Appendix 12 presents recent evidence about the serious and sometimes
unrecognised risks in major infrastructure projects, both in the UK and abroad,
and makes recommendations for changes in the way these risks are
approached.
Reckoning with risk: learning to live with uncertainty

Gigerenzer, Gerd
Penguin. 2003. 320 pages. ISBN: 0140297863
Order reference: TBRWR
Price: 7.99 (RRP: 8.99)
However much we want certainty in our lives, it feels as if we live in an uncertain and dangerous world. But
are we guilty of wildly exaggerating the chances of some unwanted event happening to us? Are we misled
by our ignorance of the reality of risk?
Far too many of us, argues Gerd Gigerenzer, are hampered by our own innumeracy, while statistics are
often presented to us in highly confusing ways. With real world examples, such as the incidence of errors in
tests for breast cancer or HIV, DNA fingerprinting, and the manipulation of statistics for evidence in court,
he shows that our difficulty in thinking about numbers can easily be overcome.
This essential book illustrates how, with a few simple techniques, we can learn to uncloud our minds,
demand hopefully presented information and turn ignorance into insight.
Risk analysis in finance and insurance

Melnikov, Alexander
Chapman & Hall, 2003. 210 pages. ISBN: 1 584 884290
Order reference: TBRAFI
Offers the first comprehensive, interdisciplinary treatment of risk management based on modern stochastic
analysis
Presents unified methodologies applicable to both finance and insurance
Contains a simplified presentation of pricing for financial and insurance derivative securities that facilitates
understanding
Discusses new and innovative ideas such as superhedging, quantile hedging, markets with constraints, and real
options
Includes exercises with hints and solutions and provides programming codes at
www.crcpress.com/e_products/downloads/download.asp?cat_no=C429
Historically, financial and insurance risks were separate subjects most often analyzed using qualitative methods.
The development of quantitative methods based on stochastic analysis is an important achievement of modern
financial mathematics, one that can naturally be extended and applied in actuarial mathematics.
Risk analysis in finance and insurance offers the first comprehensive and accessible introduction to the ideas,
methods, and probabilistic models that have transformed risk management into a quantitative science and led to
unified methods for analyzing insurance and finance risks. The author's approach is based on a methodology for
estimating the present value of future payments given current financial, insurance, and other information, which
leads to proper, practical definitions of the price of a financial contract, the premium for an insurance policy, and
the reserve of an insurance company.
Self-contained and full of exercises and worked examples, Risk analysis in finance and insurance serves equally
well as a text for courses in financial and actuarial mathematics and as a valuable reference for financial analysts
and actuaries. Ancillary electronic materials will be available for download from the publisher's Web site.
Risk management and insurance

Harrington, Scott; Niehaus, Gregory
McGraw-Hill, 2003. 672 pages. ISBN: 0 07 1232443
Order reference: TBRM&IM
For many years, introductory insurance textbooks presented insurance as a subject
based in contracts. Slowly, the course has moved towards a consumer orientation,
giving students a broad, descriptive survey of the insurance field, covering topics
such as legal aspects, life and health, and property and liability. Over the past ten
years, textbooks have begun to promote and incorporate a stronger business risk
management component while maintaining a consumer orientation. This text is
written to take the next step, offering the essential aspects of insurance contracts and
the insurance industry while providing a substantially more conceptual analysis and
attention to business risk management and public policy issues that exists in current
texts.
Risk management
challenge & opportunity
Frenkel, M; Hommel, U; Rudolf, M

Springer, 2000. xxvi, 415 pages. ISBN: 3 540 67134 X
Order reference: TBRSKMGT
The book broadly deals with all aspects of risk management which have undergone
significant innovation in recent years. It has been written for academics as well as
practitioners, in particular finance specialists. It is the only volume to date which
brings together such a wide array of experts and offers such a complete coverage of
recent developments. The emphasis of this volume is placed on highlighting the
linkage between the academic literature and practical issues related to the
organisation of the risk management function.
Schaum s outline of mathematics of finance and actuarial science

Zima, Petr; Brown Robert L
McGraw-Hill, 1996. 2nd ed. 304 pages. ISBN: 0 07 0082030
Order reference: TBSUCHMF
Price: 12.50 (RRP: 13.99)
This example-filled reference provides you with the perfect course guide to be used either as a supplement to
standard textbooks or as a stand-alone study aid. Armed with the book and your electronic calculator, you ll be on
your way to improved comprehension and top grades!
Now updated to reflect the changing environment of business finance, the book includes new material on life
insurance, life annuities, and more.
Master effective problem solving techniques using your calculator with the help of a huge number of solved and
supplementary problems 1224 in all. The book s coverage of a wide variety of practical applications using actual
business and financial transactions gives you a feel for how it s done in the real world.
Each chapter presents principles and formulas, together with solved problems relevant to each subtopic, followed by a
set of supplementary problems with answers. In addition, you ll find review problems at the end of the book for
additional study or self-testing.
Chapter topics include: Exponents and logarithms, Progressions, Simple interest and discount, Compound interest
and discount, Simple annuities, General and other annuities, Amortization and sinking funds, Bonds, Capital
budgeting and depreciation, Contingent payments, Life annuities and life insurance.
Security market imperfections in world-wide equity markets

Keim, D B; Ziemba, W T
Order reference: TBSMWWEM
Security market imperfections, which are not consistent with existing theories, concern the relationship between stock
returns and variables and seasonal effects. This book provides the most complete and current account of work in the
area. Leading academics and investment researchers have produced a comprehensive coverage of the subject,
including both cross-sectional and time series analyses, as well as discussing the measurement of risk and prediction
models. The studies cover worldwide markets including the US, Japan, Asia, and Europe.
Stochastic calculus and financial applications

Steele, J M
Springer, 2001. ix, 300 pages. ISBN: 0 387 95016 8
Order reference: TBSCAFAP
This book is designed for students who want to develop professional skills in
stochastic calculus and its application to problems in finance. The Wharton School
course on which the book is based is designed for energetic students who have had
some experience with probability and statistics, but who have not had advanced
courses in stochastic processes. Even though the course assumes only a modest
background, it moves quickly and
in the end
students can expect to have the
tools that are deep enough and rich enough to be relied upon throughout their
professional careers. This material is used to motivate the theory of martingales,
and, after reaching a decent level of confidence with discrete processes, the course
takes up the more demanding development of continuous time stochastic process,
especially Brownian motion. The construction of Brownian motion is given in detail,
and enough material on the subtle properties of Brownian paths is developed so that
the student should sense when intuition can be trusted and when it cannot. The
course then takes up the It integral and aims to provide a development that is
honest and complete without being pedantic.
Stochastic differential equations

ksendal, B
Springer, 1998. 5th ed. xix, 326 pages. ISBN: 3 540 63720 6
Order reference: TBSTDFEQ
This book gives an introduction to the basic theory of stochastic calculus and its
applications. Examples are given throughout the text, in order to motivate and
illustrate the theory and show its importance for many applications in e.g. economics,
biology and physics. The basic idea of the presentation is to start from some basic
results (without proofs) of the easier cases and develop the theory from there, and to
concentrate on the proofs of the easier case (which nevertheless are often sufficiently
general for many purposes) in order to be able to reach quickly the parts of the theory
which is most important for the applications. The new feature of this 5th edition is an
extra chapter on applications to mathematical finance.
Keywords: Stochastic analysis, stochastic differential, equations, filtering theory,
mathematical finance, optimal stopping, stochastic control.
Contents: Some mathematical preliminaries; It integrals; It processes and the It
formula; Stochastic differential equations; The filtering problem; Diffusions: Basic
problems; Other topics in diffusion theory; Applications to boundary value problems;
Applications to optimal stopping; Application to stochastic control; Application to
mathematical finance; Appendix A - Normal random variables; Appendix B Conditional expectations; Appendix C - Uniform integrability and martingale
convergence; Solutions and additional hints to some of the exercises; Bibliography;
List of frequently used notation and Symbols. Index
Stochastic processes for insurance and finance

Rolski, T; Schmidli, H; Schmidt, V; Teugels, J
Order reference: TBSPROIF
Stochastic processes for insurance and finance offers a thorough yet accessible
reference for researchers and practitioners of insurance mathematics. Building on
recent and rapid developments in applied probability, the authors describe in general
terms models based on Markov processes, martingales and various types of point
processes.
Discussing frequently asked insurance questions, the authors present a coherent
overview of the subject and specifically address:
The principal concepts of insurance and finance.
Practical examples with real life data.
Numerical and algorithmic procedures essential for modern practices.
Assuming competence in probability calculus, this book will provide a fairly rigorous
treatment of insurance risk theory. Recommended for researchers and students
interested in applied probability as well as practitioners of actuarial sciences.
Stochastic processes with applications to finance

Kijima, Masaaki
Chapman & Hall, 2002. 288 pages. ISBN: 1 584 882247
Order reference: TBSPAF
Uses discrete processes to explain important but difficult concepts in stochastic calculus
Includes an introduction to Monte Carlo simulation that emphasizes its use in financial engineering
Addresses applications in the pricing of derivative securities, corporate bonds, and credit derivatives
Describes the dynamics of credit ratings using Markov chains
Contains numerous exercises that support the concepts
In recent years, modeling financial uncertainty using stochastic processes has become increasingly important, but
it is commonly perceived as requiring a deep mathematical background. Stochastic processes with applications to
finance shows that this is not necessarily so. It presents the theory of discrete stochastic processes and their
applications in finance in an accessible treatment that strikes a balance between the abstract and the practical.
Using an approach that views sophisticated stochastic calculus as based on a simple class of discrete processes"random walks"-the author first provides an elementary introduction to the relevant areas of real analysis and
probability. He then uses random walks to explain the change of measure formula, the reflection principle, and the
Kolmogorov backward equation. The Black-Scholes formula is derived as a limit of binomial model, and
applications to the pricing of derivative securities are presented. Another primary focus of the book is the pricing of
corporate bonds and credit derivatives, which the author explains in terms of discrete default models.
By presenting important results in discrete processes and showing how to transfer those results to their
continuous counterparts, Stochastic processes with applications to finance imparts an intuitive and practical
understanding of the subject. This unique treatment is ideal both as a text for a graduate-level class and as a
reference for researchers and practitioners in financial engineering, operations research, and mathematical and
statistical finance.
Stock index futures and options: the ins and outs of

trading any index, anywhere
Gidel, S A
Order reference: TBSINDEX
Like so many other areas of the market, stock indexes
the compilations of many
stocks such as the Standard & Poor s 500 and the Dow Jones Industrial Average
have traditionally been out of reach for the individual investor and small trader. But
thanks to the recent creation of E-mini S&P 500 and Dow futures and options
contracts, private investors and professional traders can now join the major players
actively trading the most popular broad markets.
Financial writer Susan Abbott Gidel provides a comprehensive overview of everything
traders and investors need to know about the different types of stock indexes and
how they are traded. Included here are all the essentials with complete details on
using stock index futures and options
including pricing, technical analysis, market
indicators, circuit breakers, index expirations, and more. You ll learn how to formulate
sound strategies that are tailored to individual trading philosophies, from minimising
risk by spreading one contract against another and diversifying stock holdings to
capitalising on January Effect to make gains on rising small-cap stocks. You ll also
see which individual stocks are the most influential in each index.
Susan Gidel explains how the index you are trading is designed, calculated, and
targeted for a particular type of investor. She focuses on broad-based stock indexes,
including the NYSE composite and Standard & Poor s 500 in the United States as
well as a host of pan-European indexes and those representing stock markets in
eleven North American, Asian, and European countries.
Other U.S. markets she focuses on include large-, mid-, and small-cap indexes such
as the DJIA and Russell 2000; and style and sector indexes, including the NASDAQ100, the S&P 500 Growth and Value indexes, and the Internet Stock Index. She
highlights more than forty accessible indexes available today on twenty U.S. and
foreign exchanges, including the Chicago Board of Trade, Chicago Mercantile
Exchange, London International Financial Futures and Options Exchange, Eurex, and
the Singapore International Monetary Exchange.
Stock index futures & options provides you with the professional know-how and
critical overview that both individual investors and professional traders need to break
into trading stock indexes on every major market in the world.
Survival models and data analysis

(Further reading subject 104)
Elandt-Johnson, R C; Johnson, N L
Order reference: TBSMODELS
Survival analysis deals with the distribution of life times, essentially the times from an
initiating event such as birth or the start of a job to some terminal event such as death
or pension. This book, originally published in 1980, surveys and analyses methods
that use survival measurements and concepts, and helps readers apply the
appropriate method for a given situation. Four broad sections cover introductions to
data, univariate survival function, multiple-failure data, and advanced topics.
A detailed survey of methods which utilise data from population censuses and other
demographic sources, actuarial records, and clinical trials, this text analyses
similarities and differences between the various methods, providing criteria for
determining methodological suitability for particular problems.
Written by well-known and respected experts, this classic text is still essential reading
for both undergraduate and graduate students, as well as being a useful reference for
practitioners in industry today.
Theory of financial risk and derivative pricing: from

statistical physics to risk management
Bouchaud, J; Potters, M
Cambridge University Press, 2003. 2nd ed. 420 pages. ISBN: 0 521 81916 4
Order reference: TBTFRSPR
Risk control and derivative pricing are major concerns to financial institutions. The
need for adequate statistical tools to measure and anticipate amplitude of potential
moves of financial markets is clearly expressed, in particular for derivative markets.
Classical theories, however, are based on assumptions leading to systematic
(sometimes dramatic) underestimation of risks. Theory of financial risk and derivative
pricing summarises developments, some inspired by statistical physics, using which
one can take into account more faithfully the real behaviour of financial markets for
asset allocation, derivative pricing and hedging, and risk control.
Contents: Probability theory: basic notations, Maximum and addition of random
variables, Continuous time limit, Ito calculus and path integrals, Analysis of empirical
data, Financial products and financial markets, Statistics of real prices: basic results,
Non-linear correlations and volatility fluctuation, Skewness and price-volatility
correlations, Cross-correlations, Risk measures, Extreme correlations and variety,
Optimal portfolios, Futures and options: fundamental concepts, Options: hedging and
residual risk, Options: the role of drift and correlations, Options: the Black and
Scholes model, Options: some more specific problems, Options: minimum variance
Monte Carlo, The yield curve, Simple mechanisms for anomalous price statistics.
Time series
applications to finance
Chan, N H
John Wiley, 2002. Pages. ISBN: 0 471 411175
Order reference: TBTSAFIN
Time series is designed to help readers grasp the conceptual underpinnings of time
series modelling in order to gain a deeper understanding of the ever-changing
dynamics of the financial world. It covers theory and application equally for readers
from both financial and mathematical backgrounds.
The book offers sufficient coverage of standard topics in statistical time series
such as forecasting and spectral analysis
in a manner that is both technical and
conceptual. Recent developments in non-standard time series techniques are
discussed and illustrated in detail with real financial examples. These techniques
include:
Nonstationarity
Heteroskedasticity
Multivariate time series
State space modelling and stochastic volatility
Multivariate GARCH
Cointegrations and common trends
All examples are systematically illustrated with S-Plus and highlight the relevance of
time series in financial applications. Detailed analysis and explanations for the SPlus commands, as well as challenging end-of-chapter exercises, are also provided.
Features:
Incorporates techniques from epidemiology, actuarial science, reliability theory,
and vital statistics
Outlines the general principles to be used in each given case
A useful guide for tackling survival analysis literature and techniques
Clearly written, easy-to-understand presentation guides the reader through the
applications
Thorough examples and challenging exercises
Understanding actuarial management: the actuarial

control cycle
Bellis, Clare; Shepherd, John; Lyon, Richard
Institute of Actuaries of Australia
Order reference: TBAUDUAM
Price: 51.75
Actuaries combine skills from mathematics, statistics, economics and finance to
forecast future financial outcomes.
Whilst traditionally based in life insurance and retirement savings, actuaries now work
across general insurance, investment management, health financing, banking, energy
markets and the environment.
The Actuarial control cycle is a framework which actuaries use to access, evaluate
and manage risk, where there is uncertainty of future events.
Elements of the cycle include: Assessing risk, Valuing liabilities, Managing solvency
and capital, Product design and pricing, Construction and monitoring investment
portfolios, and all in the context of regulation and professionalism.
Understanding actuarial management: the actuarial control cycle is essential reading
for actuarial students and other professionals seeking an insight into how actuaries
manage future financial risk within dynamic economic and social systems.
In this book and CD-ROM, a number of prominent actuaries provide refreshing and
practical insights into the application of actuarial theory to real-world problems.
When genius failed: the rise and fall of long-term capital

management
Lowenstein, Roger
Fourth Estate, 2002. 264 pages. ISBN: 1 84115 504 7
Order reference: TBWGNFLD
Price: 6.25 (RRP: 7.99)
A group of elite investors who called themselves Long-Term Capital Management
believed they could beat the market and, like alchemists, create limitless wealth for
themselves and their partners. In fact, they created a trillion-dollar hole in the
international banking system. It s a tale of vivid characters, overweening ambition
and perilous drama told, in Roger Lowenstein s hands, with brilliant style and
panache.
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