Description
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 shastic 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
