Statistical Tools for Finance and Insurance
Springer Berlin (Verlag)
978-3-540-22189-0 (ISBN)
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Covering topics such as heavy tailed distributions, implied trinomial trees, support vector machines, valuation of mortgage-backed securities, pricing of CAT bonds, simulation of risk processes and ruin probability approximation, the book does not only offer practitioners insight into new methods for their applications, but it also gives theoreticians insight into the applicability of the stochastic technology. Additionally, the book provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations.
Written in an accessible and engaging style, this self-instructional book makes a good use of extensive examples and full explanations. The design of the text links theory and computational tools in an innovative way. All Quantlets for the calculation of examples given in the text are supported by the academic edition of XploRe and may be executed via XploRe Quantlet Server (XQS). The downloadable electronic edition of the book enables one to run, modify, and enhance all Quantlets on the spot.
Wolfgang Härdle is a professor of statistics at the Humboldt-Universität zu Berlin and director of C.A.S.E. the Centre for Applied Statistics and Economics. He teaches quantitative finance and semiparametric statistical methods. His research focuses on dynamic factor models, multivariate statistics in finance and computational statistics. He is an elected ISI member and advisor to the Guanghua School of Management, Peking University and to National Central University, Taiwan.
From the contents:
Finance: Stable Distributions in Finance.- Tail Dependence.- Fuzzy Identification Model.- Implied Trinomial Tress.- Nonparametric Productivity Analysis.- The Exact LR Test of the Scale in the Gamma Family.- Pricing of Catastrophe (CAT) Bonds.- Extreme Value Theory - Modeling and Financial Applications.- Long Memory for VOLA Surfaces.- Correlated Asset Risks and Option Pricing. Insurance: Loss Distributions.- Visualization of the Risk Process.- Approximation of Ruin Probability.- Deductibles.- Net Premiums.- Premium Calculation in the Collective Risk Model Framework under Different Models of Dependent Claims.- Stable Levy Motion Approximation in Collective Risk Theory.- Diffusion Approximation in Risk Theory.
| Sprache | englisch |
|---|---|
| Maße | 155 x 235 mm |
| Gewicht | 865 g |
| Einbandart | Paperback |
| Themenwelt | Wirtschaft ► Allgemeines / Lexika |
| Schlagworte | Catastrophe Bonds • Compound Risk Model • extreme value theory • Finanzmathematik • Fuzzy Identification Model • Loss distributions • Option pricing • Ruin Probability • Stable Distributions • Tail Dependence • Versicherungsmathematik • VOLA Surfaces |
| ISBN-10 | 3-540-22189-1 / 3540221891 |
| ISBN-13 | 978-3-540-22189-0 / 9783540221890 |
| Zustand | Neuware |
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