Statistical Tools for Finance and Insurance

Pavel Cizek, Wolfgang Karl Härdle, Rafal Weron9783540221890, 3540221891

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 of quantitative finance and insurance, 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, 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.

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Table of contents :
Finance……Page 9
Introduction……Page 11
-stable distributions……Page 12
Characteristic function representation……Page 14
Simulation of -stable variables……Page 16
Estimation of parameters……Page 18
Tail exponent estimation……Page 19
Sample Quantiles Methods……Page 22
Sample Characteristic Function Methods……Page 23
Financial applications of -stable laws……Page 26
Tail dependence and copulae……Page 33
Archimedean copulae……Page 36
Elliptically contoured distributions……Page 37
Other copulae……Page 40
Estimating the tail-dependence coefficient……Page 43
Estimation and empirical results……Page 45
Bibliography……Page 53
Introduction……Page 55
Basic Option Pricing Overview……Page 57
Trees and Implied Models……Page 59
Basic insight……Page 62
State space……Page 64
Transition probabilities……Page 66
Possible pitfalls……Page 67
Illustrative examples……Page 68
Basic skills……Page 74
Advanced features……Page 81
What is hidden……Page 84
Bibliography……Page 87
Introduction……Page 89
Introduction……Page 91
An Overview……Page 93
Free Disposal Hull……Page 94
DEA in Practice : Insurance Agencies……Page 95
FDH in Practice : Manufacturing Industry……Page 96
Introduction……Page 103
General Remarks and Literature……Page 104
Econometric Specification of Money Demand Functions……Page 105
Estimation of Indonesian Money Demand……Page 108
Fuzzy Clustering……Page 113
Takagi-Sugeno Approach……Page 114
Model Identification……Page 115
Modelling Indonesian Money Demand……Page 117
Conclusions……Page 118
Bibliography……Page 121
Introduction……Page 125
Computation the exact tests in the XploRe……Page 127
Time processing estimation……Page 128
Estimation with missing time-to-failure information……Page 132
Implementation to the XploRe……Page 137
Asymptotical optimality……Page 138
Information and exact testing in the gamma family……Page 139
The Lambert W function……Page 140
Oversizing of the asymptotics……Page 141
Bibliography……Page 143
Introduction……Page 147
Introduction……Page 149
Introduction……Page 151
Introduction……Page 153
Introduction……Page 155
Insurance……Page 157
Introduction……Page 159
Introduction……Page 161
Introduction……Page 163
Introduction……Page 165
Introduction……Page 167
Introduction……Page 169
Introduction……Page 171
Introduction……Page 173
Introduction……Page 175