Statistical Tools for Finance and Insurance

• Main Authors: Čížek, Pavel (Author), Weron, Rafał (Author), Härdle, Wolfgang (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2005.
• Subjects: Statistics.; Economics, Mathematical.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Quantitative Finance.

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...

Table of Contents:

• Finance
• Stable Distributions
• Extreme Value Analysis and Copulas
• Tail Dependence
• Pricing of Catastrophe Bonds
• Common Functional Implied Volatility Analysis
• Implied Trinomial Trees
• Heston's Model and the Smile
• FFT-based Option Pricing
• Valuation of Mortgage Backed Securities: from Optimality to Reality
• Predicting Bankruptcy with Support Vector Machines
• Econometric and Fuzzy Modelling of Indonesian Money Demand
• Nonparametric Productivity Analysis
• Insurance
• Loss Distributions
• Modeling of the Risk Process
• Ruin Probabilities in Finite and Infinite Time
• Stable Diffusion Approximation of the Risk Process
• Risk Model of Good and Bad Periods
• Premiums in the Individual and Collective Risk Models
• Pure Risk Premiums under Deductibles
• Premiums, Investments, and Reinsurance
• General
• Working with the XQC.