Statistical Tools for Finance and Insurance

DOI10.1007/b139025zbMath1078.62112OpenAlexW3143536790MaRDI QIDQ4671205

Rafał Weron, Pavel Čížek, Wolfgang Karl Härdle

Publication date: 25 April 2005

Full work available at URL: https://doi.org/10.1007/b139025

zbMATH Keywords

extreme value analysiscopulasstable distributionsreinsurancepremiumstail dependenceinvestmentsnonparametric productivity analysisloss distributionspricing of catastrophe bondscommon functional IV analysisFFT-based option pricingHeston's model and the smileimplied trinomial treesmodeling of the risk processmodelling Indonesian money demandpredicting bankruptcy with support vector machinespremiums in the individual and collective risk modelspure risk premiums under deductiblesrisk model of good and bad periodsruin probabilities in finite and infinite timestable diffusion approximation of the risk processvaluation of mortgage backed securities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Auctions, bargaining, bidding and selling, and other market models (91B26) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

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Uses Software

• XploRe

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