Springer Proceedings in Mathematics & Statistics

Statistical Methods and Applications in Insurance and Finance

CIMPA School, Marrakech and Kelaat M’gouna, Morocco, April 2013

Editors: Eddahbi, M'hamed, Essaky, El Hassan, Vives, Josep (Eds.)

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  • Offers important insights into statistical estimation methods and applications
  • Updates readers on key aspects of risk management
  • Provides an up-to-date overview of quantitative finance and financial modeling
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eBook $109.00
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  • ISBN 978-3-319-30417-5
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Hardcover $169.99
price for USA in USD
  • ISBN 978-3-319-30416-8
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  • Usually dispatched within 3 to 5 business days.
Softcover $139.99
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  • ISBN 978-3-319-80804-8
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About this book

This book is the outcome of the CIMPA School on Statistical Methods and Applications in Insurance and Finance, held in Marrakech and Kelaat M'gouna (Morocco) in April 2013. It presents two lectures and seven refereed papers from the school, offering the reader important insights into key topics. The first of the lectures, by Frederic Viens, addresses risk management via hedging in discrete and continuous time, while the second, by Boualem Djehiche, reviews statistical estimation methods applied to life and disability insurance. The refereed papers offer diverse perspectives and extensive discussions on subjects including optimal control, financial modeling using stochastic differential equations, pricing and hedging of financial derivatives, and sensitivity analysis. Each chapter of the volume includes a comprehensive bibliography to promote further research. 

Reviews

“The book will be equally attractive to graduate students, practitioners and researchers in the vast fields insurance and finance. … the book has a good collection of research work on important and interesting topics in insurance and finance. Researchers and professionals looking to learn more in insurance, finance and related areas would benefit from papers collected in this book. The content in most of these chapters has proved to be an enjoyable read … .” (S. Ejaz Ahmed, Technometrics, Vol. 58, November, 2016)


Table of contents (10 chapters)

Table of contents (10 chapters)
  • A Didactic Introduction to Risk Management via Hedging in Discrete and Continuous Time

    Viens, Frederi

    Pages 3-37

  • Sensitivity Analysis for Time-Inhomogeneous Lévy Process: A Malliavin Calculus Approach and Numerics

    Eddahbi, M’hamed (et al.)

    Pages 39-80

  • Variance-GGC Asset Price Models and Their Sensitivity Analysis

    Privault, Nicolas (et al.)

    Pages 81-101

  • Decomposition of the Pricing Formula for Stochastic Volatility Models Based on Malliavin-Skorohod Type Calculus

    Vives, Josep

    Pages 103-123

  • Statistical Estimation Techniques in Life and Disability Insurance—A Short Overview

    Djehiche, Boualem

    Pages 127-147

Buy this book

eBook $109.00
price for USA in USD (gross)
  • ISBN 978-3-319-30417-5
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $169.99
price for USA in USD
  • ISBN 978-3-319-30416-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $139.99
price for USA in USD
  • ISBN 978-3-319-80804-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Statistical Methods and Applications in Insurance and Finance
Book Subtitle
CIMPA School, Marrakech and Kelaat M’gouna, Morocco, April 2013
Editors
  • M'hamed Eddahbi
  • El Hassan Essaky
  • Josep Vives
Series Title
Springer Proceedings in Mathematics & Statistics
Series Volume
158
Copyright
2016
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing Switzerland
eBook ISBN
978-3-319-30417-5
DOI
10.1007/978-3-319-30417-5
Hardcover ISBN
978-3-319-30416-8
Softcover ISBN
978-3-319-80804-8
Series ISSN
2194-1009
Edition Number
1
Number of Pages
X, 225
Number of Illustrations
16 b/w illustrations, 3 illustrations in colour
Topics