Statistical Tools for Finance and Insurance
common functional IV analysiscopulasextreme value analysisFFT-based option pricingHeston's model and the smileimplied trinomial treesinvestmentsloss distributionsmodeling of the risk processmodelling Indonesian money demandnonparametric productivity analysispredicting bankruptcy with support vector machinespremiumspremiums in the individual and collective risk modelspricing of catastrophe bondspure risk premiums under deductiblesreinsurancerisk model of good and bad periodsruin probabilities in finite and infinite timestable diffusion approximation of the risk processstable distributionstail dependencevaluation of mortgage backed securities
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Applications of statistics to actuarial sciences and financial mathematics (62P05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Auctions, bargaining, bidding and selling, and other market models (91B26) Statistical methods; risk measures (91G70)
- Smoothed L-estimation of regression function
- Heavy-tails and regime-switching in electricity prices
- Recovery process model for two companies
- Asymptotics for high dimensional regression \(M\)-estimates: fixed design results
- An efficient series approximation for the Lévy \(\alpha\)-stable symmetric distribution
- Robust estimators and tests for bivariate copulas based on likelihood depth
- A general model of forager search: adaptive encounter-conditional heuristics outperform Lévy flights in the search for patchily distributed prey
- Codifference as a practical tool to measure interdependence
- Stable and generalized-\(t\) distributions and applications
- Bounds on mean absolute deviation portfolios under interval-valued expected future asset returns
- Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
- Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics
- Fractional-order mathematical model for calcium distribution in nerve cells
- Systems simulation analysis and optimization of insurance business
- Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
- Large covariance estimation through elliptical factor models
- Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime
- Bayesian neural network priors for edge-preserving inversion
- Statistical tools for anomaly detection as a part of predictive maintenance in the mining industry
- Statistics and Data Analysis for Financial Engineering
- Forecasting volatility with support vector machine-based GARCH model
- Statistical tools for finance and insurance.
- Parametric estimation of risk neutral density functions
- Estimation of the ruin probability in infinite time for heavy right-tailed losses
- e-Learning statistics — a selective review
- Financial and Insurance Formulas
- Fractionally delineate the neuroprotective function of calbindin-D28k in Parkinson’s disease
- ECA: High-Dimensional Elliptical Component Analysis in Non-Gaussian Distributions
- Eigen-Adjusted Functional Principal Component Analysis
- Optimal lower barrier on modified surplus process
- Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws
- Collocating volatility: a competitive alternative to stochastic local volatility models
- Empirical cumulant function based parameter estimation in stable laws
- A new approach for extracting the amplitude spectrum of the seismic wavelet from the seismic traces
- Self-organisation of random oscillators with Lévy stable distributions
- Computational Science - ICCS 2004
- The value of product recall insurance in a price competition with financially constrained suppliers
- An end-to-end deep learning approach for extracting stochastic dynamical systems with -stable Lévy noise
- High-Dimensional Elliptical Sliced Inverse Regression in Non-Gaussian Distributions
- Robust estimator of the ruin probability in infinite time for heavy-tailed distributions
- Reduced-bias estimator of the ruin probability in infinite time for heavy-tailed distributions with index in the upper half of the unit interval
- Higher moment estimation for elliptically distributed data: is it necessary to use a sledgehammer to crack an egg?
- Three-time levels compact scheme for pricing European options under regime switching jump-diffusion models
- Numerical approximation of ruin probability in the Cramér-Lundberg model
- Diffusion `supermodel': from Brown to Lévy
- Recovery process model
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