Statistical Methods and Applications in Insurance and Finance

1. Front Matter

   Pages i-x

   PDF

2. Finance

   1. Front Matter

      Pages 1-1

      PDF

   2. A Didactic Introduction to Risk Management via Hedging in Discrete and Continuous Time

      • Frederi Viens

      Pages 3-37

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

      • M’hamed Eddahbi, Sidi Mohamed Lalaoui Ben Cherif

      Pages 39-80

   4. Variance-GGC Asset Price Models and Their Sensitivity Analysis

      • Nicolas Privault, Dichuan Yang

      Pages 81-101

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

      • Josep Vives

      Pages 103-123

3. Insurance

   1. Front Matter

      Pages 125-125

      PDF

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

      • Boualem Djehiche

      Pages 127-147

   3. Necessary and Sufficient Conditions of Optimalcontrol for Infinite Dimensional SDEs

      • Abdulrahman Al-Hussein

      Pages 149-171

   4. Sufficient Conditions of Optimality for Forward-Backward Doubly SDEs with Jumps

      • AbdulRahman Al-Hussein, Boulakhras Gherbal

      Pages 173-191

   5. On the Pathwise Uniqueness of Solutions of One-Dimensional Stochastic Differential Equations with Jumps

      • Mohsine Benabdallah, Siham Bouhadou, Youssef Ouknine

      Pages 193-210

   6. BSDE Approach for Dynkin Game and American Game Option

      • El Hassan Essaky, M. Hassani

      Pages 211-225

4. Erratum to: Statistical Methods and Applications in Insurance and Finance

   • M’hamed Eddahbi, El Hassan Essaky, Josep Vives

   Pages E1-E1

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. 

• Quantitative Finance
• Insurance
• Risk management
• Statistics
• Financial modeling
• Optimal control

“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)

• Department of Mathematics, Université Cadi Ayyad Department of Mathematics, Marrakesh, Morocco

  M'hamed Eddahbi

• Faculté Polydisciplinaire, Université Cadi Ayyad, Safi, Morocco

  El Hassan Essaky

• Faculty of Mathematics, University of Barcelona, Barcelona, Spain

  Josep Vives

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