Statistical Methods and Applications in Insurance and Finance

M'hamed Eddahbi & El Hassan Essaky

M’hamed Eddahbi & El Hassan Essaky
Statistical Methods and Applications in Insurance and Finance [PDF ebook]
CIMPA School, Marrakech and Kelaat M’gouna, Morocco, April 2013

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Hoes van M'hamed Eddahbi & El Hassan Essaky: Statistical Methods and Applications in Insurance and Finance (PDF)

This book is the outcome of the CIMPA School on Statistical Methods and Applications in Insurance and Finance, held in Marrakech and Kelaat M’gouna (Morocco) in April 2013. It presents two lectures and seven refereed papers from the school, offering the reader important insights into key topics. The first of the lectures, by Frederic Viens, addresses risk management via hedging in discrete and continuous time, while the second, by Boualem Djehiche, reviews statistical estimation methods applied to life and disability insurance. The refereed papers offer diverse perspectives and extensive discussions on subjects including optimal control, financial modeling using stochastic differential equations, pricing and hedging of financial derivatives, and sensitivity analysis. Each chapter of the volume includes a comprehensive bibliography to promote further research.

€96.29

Inhoudsopgave

1 Frederi Viens: A didactic introduction to risk management via hedging in discrete and continuous time.- 2 M’hamed Eddahbi and Sidi Mohamed Lalaoui Ben Cherif: Sensitivity analysis for time–inhomogeneous L´evy process: A Malliavin calculus approach and numeric.- 3 Nicolas Privault and Dichuan Yang: Variance-GGC asset price models and their sensitivity analysis.- 4 Josep Vives: Decomposition of the pricing formula for stochastic volatility models based on Malliavin-Skorohod type calculus.- 5 Boualem Djehiche: Statistical estimation techniques in life and disability insurance -A short overview.- 6 Abdul Rahman Al-Hussein: Necessary and sufficient conditions of optimal control for infinite dimensional SDEs.- 7 Abdul Rahman Al-Hussein and Boulakhras Gherbal: Sufficient conditions of optimality for forward-backward doubly SDEs with jumps.- 8 Mohsine Benabdallah, Siham Bouhadou, Youssef Ouknine: On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations withjumps.- 9 E. H. Essaky and M. Hassani: BSDE Approach for Dynkin Game and American Game Option.

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Taal Engels ● Formaat PDF ● Pagina’s 225 ● ISBN 9783319304175 ● Bestandsgrootte 3.8 MB ● Editor M’hamed Eddahbi & El Hassan Essaky ● Uitgeverij Springer International Publishing ● Stad Cham ● Land CH ● Gepubliceerd 2016 ● Downloadbare 24 maanden ● Valuta EUR ● ID 4873270 ● Kopieerbeveiliging Sociale DRM

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