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 Xplo Re and may be executed via Xplo Re Quantlet Server (XQS). The downloadable electronic edition of the book enables one to run, modify, and enhance all Quantlets on the spot.
Innehållsförteckning
Finance.- Stable Distributions.- Extreme Value Analysis and Copulas.- Tail Dependence.- Pricing of Catastrophe Bonds.- Common Functional Implied Volatility Analysis.- Implied Trinomial Trees.- Heston’s Model and the Smile.- FFT-based Option Pricing.- Valuation of Mortgage Backed Securities: from Optimality to Reality.- Predicting Bankruptcy with Support Vector Machines.- Econometric and Fuzzy Modelling of Indonesian Money Demand.- Nonparametric Productivity Analysis.- Insurance.- Loss Distributions.- Modeling of the Risk Process.- Ruin Probabilities in Finite and Infinite Time.- Stable Diffusion Approximation of the Risk Process.- Risk Model of Good and Bad Periods.- Premiums in the Individual and Collective Risk Models.- Pure Risk Premiums under Deductibles.- Premiums, Investments, and Reinsurance.- General.- Working with the XQC.
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