Statistical tools for finance and insurance: [extra materials extras.springer.com]
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| Format: | Buch |
| Sprache: | English |
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Berlin [u.a.]
Springer
2011
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| Ausgabe: | 2. ed. |
| Schlagworte: | |
| Online-Zugang: | Inhaltstext Inhaltsverzeichnis |
| Beschreibung: | Literaturangaben |
| Beschreibung: | 420 S. graph. Darst. |
| ISBN: | 9783642180613 9783642180620 3642180612 |
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Datensatz im Suchindex
| _version_ | 1805145157357535232 |
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| adam_text |
IMAGE 1
CONTENTS
CONTRIBUTORS 9
PREFACE TO THE SECOND EDITION 11
PREFACE 13
FREQUENTLY USED NOTATION 17
I FINANCE 19
1 MODELS FOR HEAVY-TAILED ASSET RETURNS 21
SZYMON BORAK, ADAM MISIOREK, AND RAFAI WERON 1.1 INTRODUCTION 21
1.2 STABLE DISTRIBUTIONS 22
1.2.1 DEFINITIONS AND BASIC PROPERTIES 22
1.2.2 COMPUTATION OF STABLE DENSITY AND DISTRIBUTION FUNCTIONS 25 1.2.3
SIMULATION OF STABLE VARIABLES 28
1.2.4 ESTIMATION OF PARAMETERS 29
1.3 TRUNCATED AND TEMPERED STABLE DISTRIBUTIONS 34
1.4 GENERALIZED HYPERBOLIC DISTRIBUTIONS 36
1.4.1 DEFINITIONS AND BASIC PROPERTIES 36
1.4.2 SIMULATION OF GENERALIZED HYPERBOLIC VARIABLES 40 1.4.3 ESTIMATION
OF PARAMETERS 42
1.5 EMPIRICAL EVIDENCE 44
2 EXPECTED SHORTFALL 57
SIMON A. BRODA AND MARC S. PAOLELLA 2.1 INTRODUCTION 57
2.2 EXPECTED SHORTFALL FOR SEVERAL ASYMMETRIC, FAT-TAILED DISTRIBUTIONS
58 2.2.1 EXPECTED SHORTFALL: DEFINITIONS AND BASIC RESULTS 58 2.2.2
STUDENT'S T AND EXTENSIONS 60
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/1008556173
DIGITALISIERT DURCH
IMAGE 2
2 CONTENTS
2.2.3 ES FOR THE STABLE PARETIAN DISTRIBUTION 65
2.2.4 GENERALIZED HYPERBOLIC AND ITS SPECIAL CASES 67
2.3 MIXTURE DISTRIBUTIONS 70
2.3.1 INTRODUCTION 70
2.3.2 EXPECTED SHORTFALL FOR NORMAL MIXTURE DISTRIBUTIONS . . 71 2.3.3
SYMMETRIC STABLE MIXTURE 72
2.3.4 STUDENT'S T MIXTURES 73
2.4 COMPARISON STUDY 73
2.5 LOWER PARTIAL MOMENTS 76
2.6 EXPECTED SHORTFALL FOR SUMS 82
2.6.1 SADDLEPOINT APPROXIMATION FOR DENSITY AND DISTRIBUTION 83 2.6.2
SADDLEPOINT APPROXIMATION FOR EXPECTED SHORTFALL . . . 84 2.6.3
APPLICATION TO SUMS OF SKEW NORMAL 85
2.6.4 APPLICATION TO SUMS OF PROPER GENERALIZED HYPERBOLIC . . 87 2.6.5
APPLICATION TO SUMS OF NORMAL INVERSE GAUSSIAN 90
2.6.6 APPLICATION TO PORTFOLIO RETURNS 92
3 MODELLING CONDITIONAL HETEROSCEDASTICITY IN NONSTATIONARY SERIES 101
PAVEL CIZEK 3.1 INTRODUCTION 101
3.2 PARAMETRIC CONDITIONAL HETEROSCEDASTICITY MODELS 103
3.2.1 QUASI-MAXIMUM LIKELIHOOD ESTIMATION 104
3.2.2 ESTIMATION RESULTS 105
3.3 TIME-VARYING COEFFICIENT MODELS 108
3.3.1 TIME-VARYING ARCH MODELS 109
3.3.2 ESTIMATION RESULTS I LL
3.4 POINTWISE ADAPTIVE ESTIMATION 114
3.4.1 SEARCH FOR THE LONGEST INTERVAL OF HOMOGENEITY 116
3.4.2 CHOICE OF CRITICAL VALUES 118
3.4.3 ESTIMATION RESULTS 119
3.5 ADAPTIVE WEIGHTS SMOOTHING 123
3.5.1 THE AWS ALGORITHM 124
3.5.2 ESTIMATION RESULTS 127
3.6 CONCLUSION 127
4 FX SMILE IN THE HESTON MODEL 133
AGNIESZKA JANEK, TINO KLUGE, RAFAI WERON, AND UWE WYSTUP 4.1
INTRODUCTION 133
4.2 THE MODEL 134
IMAGE 3
CONTENTS 3
4.3 OPTION PRICING 136
4.3.1 EUROPEAN VANILLA FX OPTION PRICES AND GREEKS 138
4.3.2 COMPUTATIONAL ISSUES 140
4.3.3 BEHAVIOR OF THE VARIANCE PROCESS AND THE FELLER CONDITION 142
4.3.4 OPTION PRICING BY FOURIER INVERSION 144
4.4 CALIBRATION 149
4.4.1 QUALITATIVE EFFECTS OF CHANGING THE PARAMETERS 149 4.4.2 THE
CALIBRATION SCHEME 150
4.4.3 SAMPLE CALIBRATION RESULTS 152
4.5 BEYOND THE HESTON MODEL 155
4.5.1 TIME-DEPENDENT PARAMETERS 155
4.5.2 JUMP-DIFFUSION MODELS 158
5 PRICING OF ASIAN TEMPERATURE RISK 163
FRED ESPEN BENTH, WOLFGANG KARL HARDIE, AND BRENDA LOPEZ CABRERA 5.1 THE
TEMPERATURE DERIVATIVE MARKET 165
5.2 TEMPERATURE DYNAMICS 167
5.3 TEMPERATURE FUTURES PRICING 170
5.3.1 CAT FUTURES AND OPTIONS 171
5.3.2 CDD FUTURES AND OPTIONS 173
5.3.3 INFERING THE MARKET PRICE OF TEMPERATURE RISK 175
5.4 ASIAN TEMPERATURE DERIVATIVES 177
5.4.1 ASIAN TEMPERATURE DYNAMICS 177
5.4.2 PRICING ASIAN FUTURES 188
6 VARIANCE SWAPS 201
WOLFGANG KARL HARDIE AND ELENA SILYAKOVA 6.1 INTRODUCTION 201
6.2 VOLATILITY TRADING WITH VARIANCE SWAPS 202
6.3 REPLICATION AND HEDGING OF VARIANCE SWAPS 203
6.4 CONSTRUCTING A REPLICATION PORTFOLIO IN PRACTICE 209
6.5 3G VOLATILITY PRODUCTS 211
6.5.1 CORRIDOR AND CONDITIONAL VARIANCE SWAPS 213
6.5.2 GAMMA SWAPS 214
6.6 EQUITY CORRELATION (DISPERSION) TRADING WITH VARIANCE SWAPS . . 216
6.6.1 IDEA OF DISPERSION TRADING 216
6.7 IMPLEMENTATION OF THE DISPERSION STRATEGY ON DAX INDEX . . . 219
IMAGE 4
4 CONTENTS
7 LEARNING MACHINES SUPPORTING BANKRUPTCY PREDICTION 225 WOLFGANG KARL
HARDIE, LINDA HOFFMANN, AND ROUSLAN MORO 7.1 BANKRUPTCY ANALYSIS 226
7.2 IMPORTANCE OF RISK CLASSIFICATION AND BASEL II 237
7.3 DESCRIPTION OF DATA 238
7.4 CALCULATIONS 239
7.5 COMPUTATIONAL RESULTS 240
7.6 CONCLUSIONS 245
8 DISTANCE MATRIX METHOD FOR NETWORK STRUCTURE ANALYSIS 251 JANUSZ
MISKIEWICZ 8.1 INTRODUCTION 251
8.2 CORRELATION DISTANCE MEASURES 252
8.2.1 MANHATTAN DISTANCE 253
8.2.2 ULTRAMETRIC DISTANCE 253
8.2.3 NOISE INFLUENCE ON THE TIME SERIES DISTANCE 254
8.2.4 MANHATTAN DISTANCE NOISE INFLUENCE 255
8.2.5 ULTRAMETRIC DISTANCE NOISE INFLUENCE 257
8.2.6 ENTROPY DISTANCE 262
8.3 DISTANCE MATRICES ANALYSIS 263
8.4 EXAMPLES 265
8.4.1 STRUCTURE OF STOCK MARKETS 265
8.4.2 DYNAMICS OF THE NETWORK 268
8.5 SUMMARY 279
II INSURANCE 291
9 BUILDING LOSS MODELS 293
KRZYSZTOF BURNECKI, JOANNA JANCZURA, AND RAFAL WERON 9.1 INTRODUCTION
293
9.2 CLAIM ARRIVAL PROCESSES 294
9.2.1 HOMOGENEOUS POISSON PROCESS (HPP) 295
9.2.2 NON-HOMOGENEOUS POISSON PROCESS (NHPP) 297
9.2.3 MIXED POISSON PROCESS 300
9.2.4 RENEWAL PROCESS 301
9.3 LOSS DISTRIBUTIONS 302
9.3.1 EMPIRICAL DISTRIBUTION FUNCTION 303
9.3.2 EXPONENTIAL DISTRIBUTION 304
9.3.3 MIXTURE OF EXPONENTIAL DISTRIBUTIONS 305
IMAGE 5
CONTENTS 5
9.3.4 GAMMA DISTRIBUTION 307
9.3.5 LOG-NORMAL DISTRIBUTION 309
9.3.6 PARETO DISTRIBUTION 311
9.3.7 BURR DISTRIBUTION 313
9.3.8 WEIBULL DISTRIBUTION 314
9.4 STATISTICAL VALIDATION TECHNIQUES 315
9.4.1 MEAN EXCESS FUNCTION 315
9.4.2 TESTS BASED ON THE EMPIRICAL DISTRIBUTION FUNCTION . . . 318 9.5
APPLICATIONS 321
9.5.1 CALIBRATION OF LOSS DISTRIBUTIONS 321
9.5.2 SIMULATION OF RISK PROCESSES 324
10 RUIN PROBABILITY IN FINITE TIME 329
KRZYSZTOF BURNECKI AND MAREK TEUERLE 10.1 INTRODUCTION 329
10.1.1 L I G H T - A ND HEAVY-TAILED DISTRIBUTIONS 331
10.2 EXACT RUIN PROBABILITIES IN FINITE TIME 333
10.2.1 EXPONENTIAL CLAIM AMOUNTS 334
10.3 APPROXIMATIONS OF THE RUIN PROBABILITY IN FINITE TIME 334
10.3.1 MONTE CARLO METHOD 335
10.3.2 SEGERDAHL NORMAL APPROXIMATION 335
10.3.3 DIFFUSION APPROXIMATION BY BROWNIAN MOTION 337
10.3.4 CORRECTED DIFFUSION APPROXIMATION 338
10.3.5 DIFFUSION APPROXIMATION BY O S T A B LE LEVY MOTION . . . 338
10.3.6 FINITE TIME DE VYLDER APPROXIMATION 340
10.4 NUMERICAL COMPARISON OF THE FINITE TIME APPROXIMATIONS . . . 342
11 PROPERTY AND CASUALTY INSURANCE PRICING WITH GLMS 349 JAN IWANIK 11.1
INTRODUCTION 349
11.2 INSURANCE DATA USED IN STATISTICAL MODELING 350
11.3 THE STRUCTURE OF GENERALIZED LINEAR MODELS 351
11.3.1 EXPONENTIAL FAMILY OF DISTRIBUTIONS 352
11.3.2 THE VARIANCE AND LINK FUNCTIONS 353
11.3.3 THE ITERATIVE ALGORITHM 353
11.4 MODELING CLAIM FREQUENCY 354
11.4.1 PRE-MODELING STEPS 355
11.4.2 THE POISSON MODEL 355
11.4.3 A NUMERICAL EXAMPLE 356
IMAGE 6
6 CONTENTS
11.5 MODELING CLAIM SEVERITY 356
11.5.1 DATA PREPARATION 357
11.5.2 A NUMERICAL EXAMPLE 358
11.6 SOME PRACTICAL MODELING ISSUES 360
11.6.1 NON-NUMERIC VARIABLES AND BANDING 360
11.6.2 FUNCTIONAL FORM OF THE INDEPENDENT VARIABLES 360
11.7 DIAGNOSING FREQUENCY AND SEVERITY MODELS 361
11.7.1 EXPECTED VALUE AS A FUNCTION OF VARIANCE 361
11.7.2 DEVIANCE RESIDUALS 361
11.7.3 STATISTICAL SIGNIFICANCE OF THE COEFFICIENTS 363
11.7.4 UNIFORMITY OVER TIME 364
11.7.5 SELECTING THE FINAL MODELS 365
11.8 FINALIZING THE PRICING MODELS 366
12 PRICING OF CATASTROPHE BONDS 371
KRZYSZTOF BURNECKI, GRZEGORZ KUKLA, AND DAVID TAYLOR 12.1 INTRODUCTION
371
12.1.1 THE EMERGENCE OF CAT BONDS 372
12.1.2 INSURANCE SECURITIZATION 374
12.1.3 CAT BOND PRICING METHODOLOGY 375
12.2 COMPOUND DOUBLY STOCHASTIC POISSON PRICING MODEL 377 12.3
CALIBRATION OF THE PRICING MODEL 379
12.4 DYNAMICS OF THE CAT BOND PRICE 381
13 RETURN DISTRIBUTIONS OF EQUITY-LINKED RETIREMENT PLANS 393 MIS
DETERING, ANDREAS WEBER, AND UWE WYSTUP 13.1 INTRODUCTION 393
13.2 THE DISPLACED DOUBLE-EXPONENTIAL JUMP DIFFUSION MODEL . . . 395
13.2.1 MODEL EQUATION 395
13.2.2 DRIFT ADJUSTMENT 398
13.2.3 MOMENTS, VARIANCE AND VOLATILITY 398
13.3 PARAMETER ESTIMATION 399
13.3.1 ESTIMATING PARAMETERS FROM FINANCIAL DATA 399
13.4 INTEREST RATE CURVE 401
13.5 PRODUCTS 401
13.5.1 CLASSICAL INSURANCE STRATEGY 401
13.5.2 CONSTANT PROPORTION PORTFOLIO INSURANCE 402
13.5.3 STOP LOSS STRATEGY 404
13.6 PAYMENTS TO THE CONTRACT AND SIMULATION HORIZON 405
13.7 COST STRUCTURES 406
IMAGE 7
CONTENTS 7
13.8 RESULTS WITHOUT COSTS 407
13.9 IMPACT OF COSTS 409
13.10IMPACT OF JUMPS 411
13.11SUMMARY 412
INDEX 415 |
| any_adam_object | 1 |
| author2 | Čížek, Pavel |
| author2_role | edt |
| author2_variant | p č pč |
| author_GND | (DE-588)129834866 |
| author_facet | Čížek, Pavel |
| building | Verbundindex |
| bvnumber | BV039574231 |
| classification_rvk | QH 230 SK 980 |
| ctrlnum | (OCoLC)748688278 (DE-599)DNB1008556173 |
| dewey-full | 332.0151 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.0151 |
| dewey-search | 332.0151 |
| dewey-sort | 3332.0151 |
| dewey-tens | 330 - Economics |
| discipline | Soziologie Mathematik Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
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| genre | 1\p (DE-588)4143413-4 Aufsatzsammlung gnd-content |
| genre_facet | Aufsatzsammlung |
| id | DE-604.BV039574231 |
| illustrated | Illustrated |
| indexdate | 2024-07-21T00:09:33Z |
| institution | BVB |
| isbn | 9783642180613 9783642180620 3642180612 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-024425689 |
| oclc_num | 748688278 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-824 DE-861 DE-11 DE-384 DE-521 |
| owner_facet | DE-355 DE-BY-UBR DE-824 DE-861 DE-11 DE-384 DE-521 |
| physical | 420 S. graph. Darst. |
| publishDate | 2011 |
| publishDateSearch | 2011 |
| publishDateSort | 2011 |
| publisher | Springer |
| record_format | marc |
| spelling | Statistical tools for finance and insurance [extra materials extras.springer.com] Pavel Čížek ... (eds.) 2. ed. Berlin [u.a.] Springer 2011 420 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Literaturangaben Versicherung (DE-588)4063173-4 gnd rswk-swf Statistische Analyse (DE-588)4116599-8 gnd rswk-swf Versicherungsmathematik (DE-588)4063194-1 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf 1\p (DE-588)4143413-4 Aufsatzsammlung gnd-content Finanzmathematik (DE-588)4017195-4 s Versicherungsmathematik (DE-588)4063194-1 s DE-604 Statistische Analyse (DE-588)4116599-8 s Finanzierung (DE-588)4017182-6 s Versicherung (DE-588)4063173-4 s 2\p DE-604 Čížek, Pavel (DE-588)129834866 edt Erscheint auch als Online-Ausgabe 10.1007/978-3-642-18062-0 X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3616432&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024425689&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Statistical tools for finance and insurance [extra materials extras.springer.com] Versicherung (DE-588)4063173-4 gnd Statistische Analyse (DE-588)4116599-8 gnd Versicherungsmathematik (DE-588)4063194-1 gnd Finanzierung (DE-588)4017182-6 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4063173-4 (DE-588)4116599-8 (DE-588)4063194-1 (DE-588)4017182-6 (DE-588)4017195-4 (DE-588)4143413-4 |
| title | Statistical tools for finance and insurance [extra materials extras.springer.com] |
| title_auth | Statistical tools for finance and insurance [extra materials extras.springer.com] |
| title_exact_search | Statistical tools for finance and insurance [extra materials extras.springer.com] |
| title_full | Statistical tools for finance and insurance [extra materials extras.springer.com] Pavel Čížek ... (eds.) |
| title_fullStr | Statistical tools for finance and insurance [extra materials extras.springer.com] Pavel Čížek ... (eds.) |
| title_full_unstemmed | Statistical tools for finance and insurance [extra materials extras.springer.com] Pavel Čížek ... (eds.) |
| title_short | Statistical tools for finance and insurance |
| title_sort | statistical tools for finance and insurance extra materials extras springer com |
| title_sub | [extra materials extras.springer.com] |
| topic | Versicherung (DE-588)4063173-4 gnd Statistische Analyse (DE-588)4116599-8 gnd Versicherungsmathematik (DE-588)4063194-1 gnd Finanzierung (DE-588)4017182-6 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Versicherung Statistische Analyse Versicherungsmathematik Finanzierung Finanzmathematik Aufsatzsammlung |
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