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Statistical Tools for Finance and Insurance

  • Pavel Čížek
  • Rafał Weron
  • Wolfgang Härdle

Table of contents

  1. Front Matter
    Pages i-17
  2. Finance

    1. Szymon Borak, Wolfgang Härdle, Rafał Weron
      Pages 21-44
    2. Krzysztof Jajuga, Daniel Papla
      Pages 45-64
    3. Rafael Schmidt
      Pages 65-91
    4. Krzysztof Burnecki, Grzegorz Kukla, David Taylor
      Pages 93-114
    5. Michal Benko, Wolfgang Härdle
      Pages 115-134
    6. Pavel Čížek, Karel Komorád
      Pages 135-159
    7. Rafał Weron, Uwe Wystup
      Pages 161-181
    8. Szymon Borak, Kai Detlefsen, Wolfgang Härdle
      Pages 183-200
    9. Nicolas Gaussel, Julien Tamine
      Pages 201-223
    10. Wolfgang Härdle, Rouslan Moro, Dorothea Schäfer
      Pages 225-248
    11. Noer Azam Achsani, Oliver Holtemöller, Hizir Sofyan
      Pages 249-270
    12. Wolfgang Härdle, Seok-Oh Jeong
      Pages 271-286
  3. Insurance

    1. Krzysztof Burnecki, Adam Misiorek, Rafał Weron
      Pages 289-317
    2. Krzysztof Burnecki, Rafał Weron
      Pages 319-339
    3. Krzysztof Burnecki, Paweł Miśta, Aleksander Weron
      Pages 341-379
    4. Hansjörg Furrer, Zbigniew Michna, Aleksander Weron
      Pages 381-393
    5. Zbigniew Michna
      Pages 395-406
    6. Jan Iwanik, Joanna Nowicka-Zagrajek
      Pages 407-426
    7. Krzysztof Burnecki, Joanna Nowicka-Zagrajek, Agnieszka Wyłomańska
      Pages 427-452
    8. Paweł Miśta, Wojciech Otto
      Pages 453-488
  4. General

    1. Szymon Borak, Wolfgang Härdle, Heiko Lehmann
      Pages 491-506
  5. Back Matter
    Pages 507-517

About this book

Introduction

Statistical Tools in 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 of quantitative finance and insurance, this book offers a unique combination of topics from which every market analyst and risk manager will benefit.

Features of the book:

- 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 heavy tailed distributions, implied trinomial trees, pricing of CAT bonds, simulation of risk processes and ruin probability approximation

- Presents extensive examples

- The downloadable electronic edition of the book offers interactive tools

"This book presents modern tools for quantitative analysis in finance and insurance. It provides a smooth introduction into advanced techniques applicable to a wide range of practical problems. The fact that all examples can be reproduced by the XploRe Quantlet Server technique makes it a "sure buy" for both practioners and theoretical analysts." Prof. Dr. Helmut Gründl, Dr. Wolfgang Schieren Chair for Insurance and Risk Management, sponsored by Allianz AG and Stifterverband für die Deutsche Wissenschaft

 

Keywords

Catastrophe Bonds Compound Risk Model Extreme Value Theory Fuzzy Identification Model Loss distributions Option Pricing Reinsurance Ruin Probability Stable Distributions Support Vector Machine Tail Dependence VOL algorithms calculus modeling

Authors and affiliations

  • Pavel Čížek
    • 1
  • Rafał Weron
    • 2
  • Wolfgang Härdle
    • 3
  1. 1.Dept. of Econometrics & ORTilburg UniversityTilburgNetherlands
  2. 2.Hugo Steinhaus CenterWrocław University of TechnologyWrocławPoland
  3. 3.CASE — Center for Applied Statistics and Economics, Institut für Statistik und ÖkonometrieHumboldt-Universität zu BerlinBerlinGermany

Bibliographic information