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Statistical Inference in Financial and Insurance Mathematics with R

Statistical Inference in Financial and Insurance Mathematics with R
A Book

by Alexandre Brouste

  • Publisher : Elsevier
  • Release : 2017-11-22
  • Pages : 202
  • ISBN : 0081012616
  • Language : En, Es, Fr & De
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Finance and insurance companies are facing a wide range of parametric statistical problems. Statistical experiments generated by a sample of independent and identically distributed random variables are frequent and well understood, especially those consisting of probability measures of an exponential type. However, the aforementioned applications also offer non-classical experiments implying observation samples of independent but not identically distributed random variables or even dependent random variables. Three examples of such experiments are treated in this book. First, the Generalized Linear Models are studied. They extend the standard regression model to non-Gaussian distributions. Statistical experiments with Markov chains are considered next. Finally, various statistical experiments generated by fractional Gaussian noise are also described. In this book, asymptotic properties of several sequences of estimators are detailed. The notion of asymptotical efficiency is discussed for the different statistical experiments considered in order to give the proper sense of estimation risk. Eighty examples and computations with R software are given throughout the text. Examines a range of statistical inference methods in the context of finance and insurance applications Presents the LAN (local asymptotic normality) property of likelihoods Combines the proofs of LAN property for different statistical experiments that appears in financial and insurance mathematics Provides the proper description of such statistical experiments and invites readers to seek optimal estimators (performed in R) for such statistical experiments

Computation and Modelling in Insurance and Finance

Computation and Modelling in Insurance and Finance
A Book

by Erik Bølviken

  • Publisher : Cambridge University Press
  • Release : 2014-04-10
  • Pages : 709
  • ISBN : 0521830486
  • Language : En, Es, Fr & De
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This practical introduction outlines methods for analysing actuarial and financial risk at a fairly elementary mathematical level suitable for graduate students, actuaries and other analysts in the industry who could use simulation as a problem solver. Numerous exercises with R-code illustrate the text.

Mathematical and Statistical Methods for Actuarial Sciences and Finance

Mathematical and Statistical Methods for Actuarial Sciences and Finance
A Book

by Cira Perna,Marilena Sibillo

  • Publisher : Springer Science & Business Media
  • Release : 2012-03-08
  • Pages : 412
  • ISBN : 8847023424
  • Language : En, Es, Fr & De
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The book develops the capabilities arising from the cooperation between mathematicians and statisticians working in insurance and finance fields. It gathers some of the papers presented at the conference MAF2010, held in Ravello (Amalfi coast), and successively, after a reviewing process, worked out to this aim.

Financial Modeling, Actuarial Valuation and Solvency in Insurance

Financial Modeling, Actuarial Valuation and Solvency in Insurance
A Book

by Mario V. Wüthrich,Michael Merz

  • Publisher : Springer Science & Business Media
  • Release : 2013-04-04
  • Pages : 432
  • ISBN : 3642313922
  • Language : En, Es, Fr & De
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Risk management for financial institutions is one of the key topics the financial industry has to deal with. The present volume is a mathematically rigorous text on solvency modeling. Currently, there are many new developments in this area in the financial and insurance industry (Basel III and Solvency II), but none of these developments provides a fully consistent and comprehensive framework for the analysis of solvency questions. Merz and Wüthrich combine ideas from financial mathematics (no-arbitrage theory, equivalent martingale measure), actuarial sciences (insurance claims modeling, cash flow valuation) and economic theory (risk aversion, probability distortion) to provide a fully consistent framework. Within this framework they then study solvency questions in incomplete markets, analyze hedging risks, and study asset-and-liability management questions, as well as issues like the limited liability options, dividend to shareholder questions, the role of re-insurance, etc. This work embeds the solvency discussion (and long-term liabilities) into a scientific framework and is intended for researchers as well as practitioners in the financial and actuarial industry, especially those in charge of internal risk management systems. Readers should have a good background in probability theory and statistics, and should be familiar with popular distributions, stochastic processes, martingales, etc.

Quantitative Risk Management

Quantitative Risk Management
Concepts, Techniques and Tools - Revised Edition

by Alexander J. McNeil,Rüdiger Frey,Paul Embrechts

  • Publisher : Princeton University Press
  • Release : 2015-05-26
  • Pages : 720
  • ISBN : 0691166277
  • Language : En, Es, Fr & De
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This book provides the most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management. Whether you are a financial risk analyst, actuary, regulator or student of quantitative finance, Quantitative Risk Management gives you the practical tools you need to solve real-world problems. Describing the latest advances in the field, Quantitative Risk Management covers the methods for market, credit and operational risk modelling. It places standard industry approaches on a more formal footing and explores key concepts such as loss distributions, risk measures and risk aggregation and allocation principles. The book's methodology draws on diverse quantitative disciplines, from mathematical finance and statistics to econometrics and actuarial mathematics. A primary theme throughout is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. Proven in the classroom, the book also covers advanced topics like credit derivatives. Fully revised and expanded to reflect developments in the field since the financial crisis Features shorter chapters to facilitate teaching and learning Provides enhanced coverage of Solvency II and insurance risk management and extended treatment of credit risk, including counterparty credit risk and CDO pricing Includes a new chapter on market risk and new material on risk measures and risk aggregation

Fundamental Aspects of Operational Risk and Insurance Analytics

Fundamental Aspects of Operational Risk and Insurance Analytics
A Handbook of Operational Risk

by Marcelo G. Cruz,Gareth W. Peters,Pavel V. Shevchenko

  • Publisher : John Wiley & Sons
  • Release : 2015-01-20
  • Pages : 928
  • ISBN : 1118573021
  • Language : En, Es, Fr & De
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A one-stop guide for the theories, applications, and statistical methodologies essential to operational risk Providing a complete overview of operational risk modeling and relevant insurance analytics, Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk offers a systematic approach that covers the wide range of topics in this area. Written by a team of leading experts in the field, the handbook presents detailed coverage of the theories, applications, and models inherent in any discussion of the fundamentals of operational risk, with a primary focus on Basel II/III regulation, modeling dependence, estimation of risk models, and modeling the data elements. Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk begins with coverage on the four data elements used in operational risk framework as well as processing risk taxonomy. The book then goes further in-depth into the key topics in operational risk measurement and insurance, for example diverse methods to estimate frequency and severity models. Finally, the book ends with sections on specific topics, such as scenario analysis; multifactor modeling; and dependence modeling. A unique companion with Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk, the handbook also features: Discussions on internal loss data and key risk indicators, which are both fundamental for developing a risk-sensitive framework Guidelines for how operational risk can be inserted into a firm’s strategic decisions A model for stress tests of operational risk under the United States Comprehensive Capital Analysis and Review (CCAR) program A valuable reference for financial engineers, quantitative analysts, risk managers, and large-scale consultancy groups advising banks on their internal systems, the handbook is also useful for academics teaching postgraduate courses on the methodology of operational risk.

Computational Actuarial Science with R

Computational Actuarial Science with R
A Book

by Arthur Charpentier

  • Publisher : CRC Press
  • Release : 2015-09-15
  • Pages : 656
  • ISBN : 1498759823
  • Language : En, Es, Fr & De
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A Hands-On Approach to Understanding and Using Actuarial Models Computational Actuarial Science with R provides an introduction to the computational aspects of actuarial science. Using simple R code, the book helps you understand the algorithms involved in actuarial computations. It also covers more advanced topics, such as parallel computing and C/C++ embedded codes. After an introduction to the R language, the book is divided into four parts. The first one addresses methodology and statistical modeling issues. The second part discusses the computational facets of life insurance, including life contingencies calculations and prospective life tables. Focusing on finance from an actuarial perspective, the next part presents techniques for modeling stock prices, nonlinear time series, yield curves, interest rates, and portfolio optimization. The last part explains how to use R to deal with computational issues of nonlife insurance. Taking a do-it-yourself approach to understanding algorithms, this book demystifies the computational aspects of actuarial science. It shows that even complex computations can usually be done without too much trouble. Datasets used in the text are available in an R package (CASdatasets).

Transactions

Transactions
A Book

by Society of Actuaries

  • Publisher : Unknown Publisher
  • Release : 1990
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Financial and Actuarial Statistics

Financial and Actuarial Statistics
An Introduction, Second Edition

by Dale S. Borowiak,Arnold F. Shapiro

  • Publisher : CRC Press
  • Release : 2013-11-12
  • Pages : 392
  • ISBN : 0203911245
  • Language : En, Es, Fr & De
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Understand Up-to-Date Statistical Techniques for Financial and Actuarial ApplicationsSince the first edition was published, statistical techniques, such as reliability measurement, simulation, regression, and Markov chain modeling, have become more prominent in the financial and actuarial industries. Consequently, practitioners and students must ac

Canadian Journal of Forest Research

Canadian Journal of Forest Research
A Book

by Anonim

  • Publisher : Unknown Publisher
  • Release : 2014
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Mathematical Reports

Mathematical Reports
A Book

by Anonim

  • Publisher : Unknown Publisher
  • Release : 2006
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Journal of Banking & Finance

Journal of Banking & Finance
A Book

by Anonim

  • Publisher : Unknown Publisher
  • Release : 2002
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Which Degree in Britain

Which Degree in Britain
A Book

by Anonim

  • Publisher : Unknown Publisher
  • Release : 1999
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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A comprehensive guide to full-time degree courses, institutions and towns in Britain.

Mathematical and Statistical Methods for Insurance and Finance

Mathematical and Statistical Methods for Insurance and Finance
A Book

by Cira Perna,Marilena Sibillo

  • Publisher : Springer Science & Business Media
  • Release : 2007-12-12
  • Pages : 208
  • ISBN : 9788847007048
  • Language : En, Es, Fr & De
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The interaction between mathematicians and statisticians reveals to be an effective approach to the analysis of insurance and financial problems, in particular in an operative perspective. The Maf2006 conference, held at the University of Salerno in 2006, had precisely this purpose and the collection published here gathers some of the papers presented at the conference and successively worked out to this aim. They cover a wide variety of subjects in insurance and financial fields.

財務金融學刊

財務金融學刊
JFS

by Anonim

  • Publisher : Unknown Publisher
  • Release : 2003
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Copulae and Multivariate Probability Distributions in Finance

Copulae and Multivariate Probability Distributions in Finance
A Book

by Alexandra Dias,Mark Salmon,Chris Adcock

  • Publisher : Routledge
  • Release : 2013-08-21
  • Pages : 208
  • ISBN : 1317976908
  • Language : En, Es, Fr & De
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Portfolio theory and much of asset pricing, as well as many empirical applications, depend on the use of multivariate probability distributions to describe asset returns. Traditionally, this has meant the multivariate normal (or Gaussian) distribution. More recently, theoretical and empirical work in financial economics has employed the multivariate Student (and other) distributions which are members of the elliptically symmetric class. There is also a growing body of work which is based on skew-elliptical distributions. These probability models all exhibit the property that the marginal distributions differ only by location and scale parameters or are restrictive in other respects. Very often, such models are not supported by the empirical evidence that the marginal distributions of asset returns can differ markedly. Copula theory is a branch of statistics which provides powerful methods to overcome these shortcomings. This book provides a synthesis of the latest research in the area of copulae as applied to finance and related subjects such as insurance. Multivariate non-Gaussian dependence is a fact of life for many problems in financial econometrics. This book describes the state of the art in tools required to deal with these observed features of financial data. This book was originally published as a special issue of the European Journal of Finance.

Stochastic Calculus for Quantitative Finance

Stochastic Calculus for Quantitative Finance
A Book

by Alexander A Gushchin

  • Publisher : Elsevier
  • Release : 2015-08-26
  • Pages : 208
  • ISBN : 0081004761
  • Language : En, Es, Fr & De
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In 1994 and 1998 F. Delbaen and W. Schachermayer published two breakthrough papers where they proved continuous-time versions of the Fundamental Theorem of Asset Pricing. This is one of the most remarkable achievements in modern Mathematical Finance which led to intensive investigations in many applications of the arbitrage theory on a mathematically rigorous basis of stochastic calculus. Mathematical Basis for Finance: Stochastic Calculus for Finance provides detailed knowledge of all necessary attributes in stochastic calculus that are required for applications of the theory of stochastic integration in Mathematical Finance, in particular, the arbitrage theory. The exposition follows the traditions of the Strasbourg school. This book covers the general theory of stochastic processes, local martingales and processes of bounded variation, the theory of stochastic integration, definition and properties of the stochastic exponential; a part of the theory of Lévy processes. Finally, the reader gets acquainted with some facts concerning stochastic differential equations. Contains the most popular applications of the theory of stochastic integration Details necessary facts from probability and analysis which are not included in many standard university courses such as theorems on monotone classes and uniform integrability Written by experts in the field of modern mathematical finance

The World of Learning 1995

The World of Learning 1995
A Book

by Anonim

  • Publisher : Europa Publications (PA)
  • Release : 1995
  • Pages : 2123
  • ISBN : 9781857430028
  • Language : En, Es, Fr & De
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Arranged alphabetically by country, this major reference work lists over 26,000 universities, colleges, schools of art and music, libraries, learned societies, research institutes, museums and art galleries in over 180 countries. Every important library is included, giving the number of volumes held and outstanding features of the collection.

Bulletin - Institute of Mathematical Statistics

Bulletin - Institute of Mathematical Statistics
A Book

by Institute of Mathematical Statistics

  • Publisher : Unknown Publisher
  • Release : 1991
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Mathematical Reviews

Mathematical Reviews
A Book

by Anonim

  • Publisher : Unknown Publisher
  • Release : 2004
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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