Statistical Tools for Finance and Insurance / Edition 1

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Overview

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.
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Product Details

  • ISBN-13: 9783540221890
  • Publisher: Springer-Verlag New York, LLC
  • Publication date: 3/26/2008
  • Edition number: 1
  • Pages: 522
  • Product dimensions: 9.21 (w) x 6.14 (h) x 1.06 (d)

Meet the Author

Pavel Cížek isprofessor of econometrics and statistics at Tilburg University. He teaches various courses covering time-series, simulation-based, and semiparametric estimation methods. His research interests are methods of semiparametric and robust statistics and econometrics with applications primarily in microeconomics and quantitative finance.

Wolfgang Karl Härdle isprofessor of statistics at the Humboldt-Universität zu Berlin and director of C.A.S.E. – the Centre for Applied Statistics and Economics. He teaches quantitative finance and semiparametric statistical methods. His research focuses on dynamic factor models, multivariate statistics in finance and computational statistics. He is an elected ISI member and advisor to the Guanghua School of Management, Peking University.

Rafał Weron isprofessor of economics at Wrocław University of Technology (WUT). His research focuses on developing risk management and forecasting tools for the energy industry and computational statistics as applied to finance and insurance. He is periodically engaged as a consultant to energy (Tauron Polska Energia, Vattenfall) and financial (BRE Bank, Bank Millennium) companies. He teaches graduate level courses on energy and financial markets at NTNU (Trondheim) and WUT.

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Table of Contents

1 Stable distributions 21
2 Extreme value analysis and copulas 45
3 Tail dependence 65
4 Pricing of catastrophe bonds 93
5 Common functional IV analysis 115
6 Implied trinomial trees 135
7 Heston's model and the smile 161
8 FFT-based option pricing 183
9 Valuation of mortgage backed securities 201
10 Predicting bankruptcy with support vector machines 225
11 Modelling Indonesian money demand 249
12 Nonparametric productivity analysis 271
13 Loss distributions 289
14 Modeling of the risk process 319
15 Ruin probabilities in finite and infinite time 341
16 Stable diffusion approximation of the risk process 381
17 Risk model of good and bad periods 395
18 Premiums in the individual and collective risk models 407
19 Pure risk premiums under deductibles 427
20 Premiums, investments, and reinsurance 453
21 Working with the XQC 491
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