2011

Statistical Tools for Finance and Insurance

Editors:

ISBN: 978-3-642-18061-3 (Print) 978-3-642-18062-0 (Online)

Table of contents (13 chapters)

  1. Front Matter

    Pages i-17

  2. Finance

    1. Front Matter

      Pages 19-19

    2. No Access

      Book Chapter

      Pages 21-55

      Models for heavy-tailed asset returns

    3. No Access

      Book Chapter

      Pages 57-99

      Expected shortfall for distributions in finance

    4. No Access

      Book Chapter

      Pages 101-132

      Modelling conditional heteroscedasticity in nonstationary series

    5. No Access

      Book Chapter

      Pages 133-162

      FX smile in the Heston model

    6. No Access

      Book Chapter

      Pages 163-199

      Pricing of Asian temperature risk

    7. No Access

      Book Chapter

      Pages 201-223

      Variance swaps

    8. No Access

      Book Chapter

      Pages 225-250

      Learning machines supporting bankruptcy prediction

    9. No Access

      Book Chapter

      Pages 251-289

      Distance matrix method for network structure analysis

  3. Insurance

    1. Front Matter

      Pages 291-291

    2. No Access

      Book Chapter

      Pages 293-328

      Building loss models

    3. No Access

      Book Chapter

      Pages 329-348

      Ruin probability in finite time

    4. No Access

      Book Chapter

      Pages 349-370

      Property and casualty insurance pricing with GLMs

    5. No Access

      Book Chapter

      Pages 371-391

      Pricing of catastrophe bonds

    6. No Access

      Book Chapter

      Pages 393-413

      Return distributions of equity-linked retirement plans

  4. Back Matter

    Pages 415-420