Statistical Tools for Finance and Insurance

• Corporate Author: SpringerLink (Online service)
• Other Authors: Cizek, Pavel (Editor), Härdle, Wolfgang Karl (Editor), Weron, Rafał (Editor)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2011.
• Subjects: Statistics.; Economics, Mathematical.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Quantitative Finance.

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 topic...

Table of Contents:

• I Finance: Models for heavy-tailed asset returns (Szymon Borak, Adam Misiorek, and Rafa l Weron)
•  Expected shortfall (Simon A. Broda and Marc S. Paolella)
• Modelling conditional heteroscedasticity in nonstationary series (Pavel Cížek)
• FX smile in the Heston model (Agnieszka Janek, Tino Kluge, Rafał Weron, and Uwe Wystup)
• Pricing of Asian temperature risk (Fred Espen Benth, Wolfgang Karl Härdle, and Brenda Lopez Cabrera).-  Variance swaps (Wolfgang Karl Härdle and Elena Silyakova)
• Learning machines to help predict bankruptcy (Wolfgang Karl Härdle, Linda Hoffmann, and Rouslan Moro)
• Distance matrix method for network structure analysis (Janusz Mískiewicz)
• II Insurance: Building loss models (Krzysztof Burnecki, Joanna Janczura, and Rafał Weron)
• Ruin probability in finite time (Krzysztof Burnecki and Marek Teuerle)
• Property and casualty insurance pricing with GLMs (Jan Iwanik)
• Pricing of catastrophe bonds (Krzysztof Burnecki, Grzegorz Kukla, and David Taylor)
• Return distributions of equity-linked retirement plans (Nils Detering, Andreas Weber, and Uwe Wystup)
• Index.