Statistical tools for finance and insurance

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Bibliographic Information

Statistical tools for finance and insurance

Pavel Čížek, Wolfgang Härdle, Rafał Weron

Springer, c2005

Available at  / 17 libraries

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Note

Includes bibliographical references and index

Description and Table of Contents

Description

Written in an accessible and engaging style, this self-instructional book makes a good use of extensive examples and full explanations. The electronic edition, allowing the reader to run, modify, and enhance all quantlets on the spot, can be downloaded at no cost via the attached license registration card.

Table of Contents

Finance: Stable Distributions in Finance (Sz. Borak, W. Hardle, R. Weron).- Tail Dependence (R. Schmidt).- Fuzzy Identification Model (N.A. Achsani, H. Sofyan).- Implied Trinomial Tress (K. Komrad).- Nonparametric Productivity Analysis (W.Hardle, S-O. Jeong).- The Exact LR Test of the Scale in the Gamma Family (M. Stehlik).- Pricing of Catastrophe (CAT) Bonds (K. Burnecki, D. Taylor).- Extreme Value Theory - Modeling and Financial Applications (K. Jajuga, D. Papla).- Long Memory for VOLA Surfaces (R. Deo, W. Hardle).- Correlated Asset Risks and Option Pricing (W. Hardle). Insurance: Loss Distributions (K. Burnecki, G. Kukla, R. Weron).- Visualization of the Risk Process (P. Mista, R. Weron).- Approximation of Ruin Probability (K. Burnecki, P. Mista, A. Weron).- Deductibles (K. Burnecki, J. Nowicka-Zagrajek, A. Weron).- Net Premiums (K. Brunecki, J. Nowicka-Zagrajek).- Premium Calculation in the Collective Risk Model Framework under Different Models of Dependent Claims (W. Otto).- Stable Levy Motion Approximation in Collective Risk Theory (H. Furrer, Z. Michna, A. Weron).- Diffusion Approximation in Risk Theory (Z. Michna).

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