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Statistical Tools for Finance and Insurance (2nd edition)

Pavel Cizek, Wolfgang Karl Härdle and Rafal Weron

in HSC Books from Hugo Steinhaus Center, Wroclaw University of Technology

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.

Date: 2011
Note: Published by Springer-Verlag, Berlin
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http://www.springerlink.com/content/978-3-642-18061-3 Original published version (Springer) (text/html)
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