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 offers a unique combination of topics from which every market analyst and risk manager will benefit.

Features of the book:

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 heavy tailed distributions, implied trinomial trees, pricing of CAT bonds, simulation of risk processes and ruin probability approximation
Presents extensive examples
The downloadable electronic edition of the book offers interactive tools

"This book presents modern tools for quantitative analysis in finance and insurance. It provides a smooth introduction into advanced techniques applicable to a wide range of practical problems. The fact that all examples can be reproduced by the XploRe Quantlet Server technique makes it a "sure buy" for both practioners and theoretical analysts." Prof. Dr. Helmut Gründl, Dr. Wolfgang Schieren Chair for Insurance and Risk Management, sponsored by Allianz AG and Stifterverband für die Deutsche Wissenschaft

Résumé

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, this book offers a unique combination of topics from which every market analyst and risk manager will benefit.

Covering topics such as heavy tailed distributions, implied trinomial trees, support vector machines, valuation of mortgage-backed securities, pricing of CAT bonds, simulation of risk processes and ruin probability approximation, the book does not only offer practitioners insight into new methods for their applications, but it also gives theoreticians insight into the applicability of the stochastic technology. Additionally, the book provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations.

Written in an accessible and engaging style, this self-instructional book makes a good use of extensive examples and full explanations. The design of the text links theory and computational tools in an innovative way. All Quantlets for the calculation of examples given in the text are supported by the academic edition of XploRe and may be executed via XploRe Quantlet Server (XQS). The downloadable electronic edition of the book enables one to run, modify, and enhance all Quantlets on the spot.

Contenu
Finance: Stable Distributions in Finance (Sz. Borak, W. Härdle, R. Weron).- Tail Dependence (R. Schmidt).- Fuzzy Identification Model (N.A. Achsani, H. Sofyan).- Implied Trinomial Tress (K. Komrad).- Nonparametric Productivity Analysis (W.Härdle, 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. Härdle).- Correlated Asset Risks and Option Pricing (W. Härdle). 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).