Statistical Tools for Finance and Insurance

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*(new topics in the second edition marked with*)
• Presents extensive examples

I Finance:
Models for heavy-tailed asset returns (Szymon Borak, Adam Misiorek, and Rafa l Weron). - Expected shortfall (Simon A. Broda and Marc S. Paolella). - Modelling conditional heteroscedasticity in nonstationary series (Pavel Cížek). - FX smile in the Heston model (Agnieszka Janek, Tino Kluge, Rafa Weron, and Uwe Wystup). - Pricing of Asian temperature risk (Fred Espen Benth, Wolfgang Karl Härdle, and Brenda Lopez Cabrera). - Variance swaps (Wolfgang Karl Härdle and Elena Silyakova). - Learning machines to help predict bankruptcy (Wolfgang Karl Härdle, Linda Hoffmann, and Rouslan Moro). - Distance matrix method for network structure analysis (Janusz Mískiewicz). -
II Insurance
: Building loss models (Krzysztof Burnecki, Joanna Janczura, and Rafa Weron). - Ruin probability in finite time (Krzysztof Burnecki and Marek Teuerle). - Property and casualty insurance pricing with GLMs (Jan Iwanik). - Pricing of catastrophe bonds (Krzysztof Burnecki, Grzegorz Kukla, and David Taylor). - Return distributions of equity-linked retirement plans (Nils Detering, Andreas Weber, and Uwe Wystup). - Index.