Statistical Tools for Finance and Insurance

Cizek, Pavel; Härdle, Wolfgang Karl; Weron, Rafał

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.

Features of the significantly enlarged and revised second edition:

• 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
  - expected shortfall for heavy tailed and mixture distributions*
  - pricing of variance swaps*
  - volatility smile calibration in FX markets
  - pricing of catastrophe bonds and temperature derivatives*
  - building loss models and ruin probability approximation
  - insurance pricing with GLM*
  - equity linked retirement plans*(new topics in the second edition marked with*)
• Presents extensive examples

Details

Published by: Springer

Publication Date: 2011-03-23

Format: Paperback

ISBN-13: 9783642180613

DOI: 10.1007/978-3-642-18062-0

Dimensions: 235cm x155cm

Pages: 420