Statistical Tools for Finance and Insurance

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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 topic...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor Corporativo: SpringerLink (Online service)
Otros Autores: Cizek, Pavel (Editor ), Härdle, Wolfgang Karl (Editor ), Weron, Rafał (Editor )
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2011.
Edición:2nd ed. 2011.
Temas:
Statistics .
Social sciences-Mathematics.
Statistics in Business, Management, Economics, Finance, Insurance.
Mathematics in Business, Economics and Finance.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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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