Statistical Tools for Finance and Insurance

  • Pavel Cizek
  • Wolfgang Karl Härdle
  • Rafał Weron

Table of contents

  1. Front Matter
    Pages i-17
  2. Finance

    1. Front Matter
      Pages 19-19
    2. Szymon Borak, Adam Misiorek, Rafał Weron
      Pages 21-55
    3. Simon A. Broda, Marc S. Paolella
      Pages 57-99
    4. Agnieszka Janek, Tino Kluge, Rafał Weron, Uwe Wystup
      Pages 133-162
    5. Fred Espen Benth, Wolfgang Karl Härdle, Brenda Lopez Cabrera
      Pages 163-199
    6. Wolfgang Karl Härdle, Elena Silyakova
      Pages 201-223
    7. Wolfgang Karl Härdle, Linda Hoffmann, Rouslan Moro
      Pages 225-250
  3. Insurance

    1. Front Matter
      Pages 291-291
    2. Krzysztof Burnecki, Joanna Janczura, Rafał Weron
      Pages 293-328
    3. Krzysztof Burnecki, Marek Teuerle
      Pages 329-348
    4. Krzysztof Burnecki, Grzegorz Kukla, David Taylor
      Pages 371-391
    5. Nils Detering, Andreas Weber, Uwe Wystup
      Pages 393-413
  4. Back Matter
    Pages 415-420

About this book


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 topics from which every market analyst and risk manager will benefit.

Features of the significantly enlarged and revised second edition:

  • Offers insight into new methods and the applicability of the stochastic technology
  • Provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations
  • Covers topics such as
    - expected shortfall for heavy tailed and mixture distributions*
    - pricing of variance swaps*
    - volatility smile calibration in FX markets
    - pricing of catastrophe bonds and temperature derivatives*
    - building loss models and ruin probability approximation
    - insurance pricing with GLM*
    - equity linked retirement plans*(new topics in the second edition marked with*)
  • Presents extensive examples


Catastrophe Bonds Compound Risk Model Extreme Value Theory Fuzzy Identification Model Loss Distributions Option Pricing Ruin Probability Stable Distributions Tail Dependence VOLA Surfaces

Editors and affiliations

  • Pavel Cizek
    • 1
  • Wolfgang Karl Härdle
    • 2
  • Rafał Weron
    • 3
  1. 1.Fac. Economics & Business Administration, Dept. Econometrics &Tilburg UniversityTilburgNetherlands
  2. 2.L.v.Bortkiewicz Chair of Statistics, C.A.S.E. Centre f. Appl. Stat. & Econ.Humboldt-Universität zu BerlinBerlinGermany
  3. 3., Institute of Organization andWrocław University of TechnologyWrocławPoland

Bibliographic information