Statistical tools for finance and insurance / [edited by] Pavel Cizek, Wolfgang Hardle, Rafa Weron.

Format:

Book

Contributor:

Cizek, Pavel.

Härdle, Wolfgang.

Weron, Rafa.

Language:

English

Subjects (All):

Finance--Mathematical models.

Finance.

Insurance--Mathematics.

Insurance.

Physical Description:

1 online resource (IV, 518 p.)

Edition:

1st ed. 2005.

Place of Publication:

Berlin : Springer, c2005.

Summary:

Statistical Tools in Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field of quantitative finance and insurance, this book offers a unique combination of topics from which every market analyst and risk manager will benefit. Features of the book: - Offers insight into new methods and the applicability of the stochastic technology - Provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations. - Covers topics such as heavy tailed distributions, implied trinomial trees, pricing of CAT bonds, simulation of risk processes and ruin probability approximation - Presents extensive examples - The downloadable electronic edition of the book offers interactive tools "This book presents modern tools for quantitative analysis in finance and insurance. It provides a smooth introduction into advanced techniques applicable to a wide range of practical problems. The fact that all examples can be reproduced by the XploRe Quantlet Server technique makes it a "sure buy" for both practioners and theoretical analysts." Prof. Dr. Helmut Gründl, Dr. Wolfgang Schieren Chair for Insurance and Risk Management, sponsored by Allianz AG and Stifterverband für die Deutsche Wissenschaft .

Contents:

Finance

Stable Distributions

Extreme Value Analysis and Copulas

Tail Dependence

Pricing of Catastrophe Bonds

Common Functional Implied Volatility Analysis

Implied Trinomial Trees

Heston's Model and the Smile

FFT-based Option Pricing

Valuation of Mortgage Backed Securities: from Optimality to Reality

Predicting Bankruptcy with Support Vector Machines

Econometric and Fuzzy Modelling of Indonesian Money Demand

Nonparametric Productivity Analysis

Insurance

Loss Distributions

Modeling of the Risk Process

Ruin Probabilities in Finite and Infinite Time

Stable Diffusion Approximation of the Risk Process

Risk Model of Good and Bad Periods

Premiums in the Individual and Collective Risk Models

Pure Risk Premiums under Deductibles

Premiums, Investments, and Reinsurance

General

Working with the XQC.

Notes:

"This book is also available as e-book on www.i-xplore.de. Use the licence code at the end of the book to download the e-book."--T.p. verso.

Includes bibliographical references and index.

ISBN:

1-280-30608-4

9786610306084

3-540-27395-6