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Statistical Tools for Finance and Insurance (2nd edition)

Author

Listed:
  • Pavel Cizek
  • Wolfgang Karl Härdle
  • Rafal Weron

Abstract

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; Presents extensive examples in Matlab and/or R.

Suggested Citation

  • Pavel Cizek & Wolfgang Karl Härdle & Rafal Weron, 2011. "Statistical Tools for Finance and Insurance (2nd edition)," HSC Books, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number hsbook1101, December.
    • Handle: RePEc:wuu:hsbook:hsbook1101
    Note: Published by Springer-Verlag, Berlin
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    File URL: http://www.springerlink.com/content/978-3-642-18061-3
    File Function: Original published version (Springer)
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    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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    Cited by:

    1. Michael Kurz, 2018. "Closed-form approximations in derivatives pricing: The Kristensen-Mele approach," Papers 1804.08904, arXiv.org.
    2. Gschöpf, Philipp & Härdle, Wolfgang Karl & Mihoci, Andrija, 2015. "TERES: Tail event risk expectile based shortfall," SFB 649 Discussion Papers 2015-047, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021. "CBI-time-changed L\'evy processes for multi-currency modeling," Papers 2112.02440, arXiv.org, revised Jul 2022.
    4. Royuela-del-Val, Javier & Simmross-Wattenberg, Federico & Alberola-López, Carlos, 2017. "libstable: Fast, Parallel, and High-Precision Computation of α-Stable Distributions in R, C/C++, and MATLAB," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 78(i01).
    5. Javed, Farrukh & Loperfido, Nicola & Mazur, Stepan, 2024. "Edgeworth expansions for multivariate random sums," Econometrics and Statistics, Elsevier, vol. 31(C), pages 66-80.
    6. Wesselhöfft, Niels & Härdle, Wolfgang Karl, 2019. "Constrained Kelly portfolios under alpha-stable laws," IRTG 1792 Discussion Papers 2019-004, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    7. Antonio Díaz & Gonzalo García-Donato & Andrés Mora-Valencia, 2017. "Risk quantification in turmoil markets," Risk Management, Palgrave Macmillan, vol. 19(3), pages 202-224, August.
    8. Sergey Nasekin & Wolfgang Karl Hardle, 2020. "Model-driven statistical arbitrage on LETF option markets," Papers 2009.09713, arXiv.org.
    9. Niels Wesselhöfft & Wolfgang K. Härdle, 2020. "Risk-Constrained Kelly Portfolios Under Alpha-Stable Laws," Computational Economics, Springer;Society for Computational Economics, vol. 55(3), pages 801-826, March.
    10. Denis-Alexandre Trottier & Van Son Lai & Anne-Sophie Charest, 2017. "CAT Bond Spreads Via HARA Utility and Nonparametric Tests," Working Papers 2017-002, Department of Research, Ipag Business School.
    11. repec:hum:wpaper:sfb649dp2015-047 is not listed on IDEAS
    12. Alexander Lipton, 2024. "Hydrodynamics of Markets:Hidden Links Between Physics and Finance," Papers 2403.09761, arXiv.org.
    13. Krzysztof Burnecki & Zbigniew Palmowski & Marek Teuerle & Aleksandra Wilkowska, 2023. "Ruin probability for the quota share model with~phase-type distributed claims," Papers 2303.07705, arXiv.org.
    14. Kucharczyk, Daniel & Wyłomańska, Agnieszka & Zimroz, Radosław, 2017. "Structural break detection method based on the Adaptive Regression Splines technique," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 499-511.
    15. Omar El Euch & Mathieu Rosenbaum, 2016. "The characteristic function of rough Heston models," Papers 1609.02108, arXiv.org.
    16. Ogwang, Tomson, 2013. "Is the wealth of the world’s billionaires Paretian?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 757-762.
    17. Tsyganov, Aleksander & Baskakov, Valery & Yazykov, Andrey & Sheparnev, Nikolay & Yanenko, Evgeny & Grysenkova, Yulia, 2019. "The impact of the bonus-malus system on the insurance ratemaking in the system of compulsory insurance of the responsibility of transport owners in Russia," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 56, pages 123-141.
    18. Eudald Romo & Luis Ortiz-Gracia, 2021. "SWIFT Calibration of the Heston Model," Mathematics, MDPI, vol. 9(5), pages 1-20, March.
    19. Lenkšas, A. & Mackevičius, V., 2015. "Weak approximation of Heston model by discrete random variables," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 113(C), pages 1-15.
    20. J. Martin van Zyl, 2018. "An Empirical Study of the Behaviour of the Sample Kurtosis in Samples from Symmetric Stable Distributions," Papers 1811.00476, arXiv.org, revised Nov 2018.

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