Statistical Tools for Finance and Insurance
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...
| Other Authors: | , , |
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| Format: | eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2011, 2011
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| Edition: | 2nd ed. 2011 |
| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
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