Statistical Tools for Finance and Insurance

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, this book offers a unique combination of topics from which every market analyst and risk manager will benefit.

Covering topics such as heavy tailed distributions, implied trinomial trees, support vector machines, valuation of mortgage-backed securities, pricing of CAT bonds, simulation of risk processes and ruin probability approximation, the book does not only offer practitioners insight into new methods for their applications, but it also gives theoreticians insight into the applicability of the stochastic technology. Additionally, the book provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations.

Written in an accessible and engaging style, this self-instructional book makes a good use of extensive examples and full explanations. The design of the text links theory and computational tools in an innovative way. All Quantlets for the calculation of examples given in the text are supported by the academic edition of XploRe and may be executed via XploRe Quantlet Server (XQS). The downloadable electronic edition of the book enables one to run, modify, and enhance all Quantlets on the spot.

• 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
• quantitative finance

From the reviews of the first edition:

"This book is designed for students, researchers and practitioners who want to be introduced to modern statistical tools applied in finance and insurance. … The text is comprehensible for a graduate student in financial engineering as well as for an inexperienced newcomer to quantitative finance and insurance who wants to get a grip on advanced statistical tools applied in these fields. An experienced reader … will hopefully enjoy the various computational tools." (Edward M. Psyadlo, Zentralblatt MATH, Vol. 1078, 2006)

"The book under review provides a comprehensive collection of articles on modern quantitative analysis in finance and insurance. In particular … use of formulas and its illustrative examples are attractive to the intended audience." (Dr. Mathias Fischer, Statistical Papers, Vol. 48, 2006)

"The present book, written by Wolfgang Härdle and some of his collaborators, is a welcome addition to the literature in this area. … The book covers a wide range of topical and useful ground. It has plenty of data analysis, plenty of graphics and plenty of references, most of them recent standard texts or recent research contributions or reprints. It will certainly be useful for its intended audience and is worth having for the range of topics and the references alone." (N. H. Bingham, Significance, Vol. 3 (3), 2006)

"This book offers a unique combination of topics from which every market analyst and risk manager will benefit. … the book does not only offers practitioners insight into new methods for their applications, but it also gives theoreticians insight into the applicability of the stochastic technology. … Written in an accessible and engaging style, this self-instructional book makes a good use of extensive examples and full explanations. The design of the text links theory and computational tools in an innovative way." (Zeitschrift für die gesamte Versicherungswissenschaft, Issue 1, 2006)

• Dept. of Econometrics & OR, Tilburg University, Tilburg, Netherlands

  Pavel Čížek

• Hugo Steinhaus Center, Wrocław University of Technology, Wrocław, Poland

  Rafał Weron

• CASE — Center for Applied Statistics and Economics, Institut für Statistik und Ökonometrie, Humboldt-Universität zu Berlin, Berlin, Germany

  Wolfgang Härdle