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Statistics - Business, Economics & Finance | Statistical Tools for Finance and Insurance

Statistical Tools for Finance and Insurance

Cizek, Pavel, Härdle, Wolfgang Karl, Weron, Rafał (Eds.)

2nd ed. 2011, IV, 420p. 8 illus. in color.

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  • 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
  • Presents extensive examples

Statistical Tools for 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, this book offers a unique combination of topics from which every market analyst and risk manager will benefit.

Features of the significantly enlarged and revised second edition:

  • 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
    - expected shortfall for heavy tailed and mixture distributions*
    - pricing of variance swaps*
    - volatility smile calibration in FX markets
    - pricing of catastrophe bonds and temperature derivatives*
    - building loss models and ruin probability approximation
    - insurance pricing with GLM*
    - equity linked retirement plans*(new topics in the second edition marked with*)
  • Presents extensive examples

Content Level » Research

Keywords » Catastrophe Bonds - Compound Risk Model - Extreme Value Theory - Fuzzy Identification Model - Loss Distributions - Option Pricing - Ruin Probability - Stable Distributions - Tail Dependence - VOLA Surfaces

Related subjects » Business, Economics & Finance - Quantitative Finance

Table of contents 

I Finance: Models for heavy-tailed asset returns (Szymon Borak, Adam Misiorek, and Rafa l Weron).-  Expected shortfall (Simon A. Broda and Marc S. Paolella).- Modelling conditional heteroscedasticity in nonstationary series (Pavel Cížek).- FX smile in the Heston model (Agnieszka Janek, Tino Kluge, Rafał Weron, and Uwe Wystup).- Pricing of Asian temperature risk (Fred Espen Benth, Wolfgang Karl Härdle, and Brenda Lopez Cabrera).-  Variance swaps (Wolfgang Karl Härdle and Elena Silyakova).- Learning machines to help predict bankruptcy (Wolfgang Karl Härdle, Linda Hoffmann, and Rouslan Moro).- Distance matrix method for network structure analysis (Janusz Mískiewicz).- II Insurance: Building loss models (Krzysztof Burnecki, Joanna Janczura, and Rafał Weron).- Ruin probability in finite time (Krzysztof Burnecki and Marek Teuerle).- Property and casualty insurance pricing with GLMs (Jan Iwanik).- Pricing of catastrophe bonds (Krzysztof Burnecki, Grzegorz Kukla, and David Taylor).- Return distributions of equity-linked retirement plans (Nils Detering, Andreas Weber, and Uwe Wystup).- Index.

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