Centro de Documentacion de Fundación MAPFRE - Statistical tools for finance and insurance

MAP20080014643

Statistical tools for finance and insurance / Pavel Cízek, Wolfgang Härdle, Rafal Weron. — Berlin : Springer, 2005

517 p. ; 24 cm.

Sumario: Stable distributions -- Extreme values analysis and copulas -- Tail dependence -- Pricing of catastrophe bonds -- Common functional IV analysis -- Implied trinomial trees -- Heston¿s model and the smile -- FFT-based option pricing -- Valuation of mortgage backed securities -- Predicting bankruptcy with support vector machines -- Modelling Indonesian money demand -- Nonparametric productivity analysis -- Loss distributions -- Modeling of the risk process -- Ruin probabilities in finite and infinite time -- Stable diffusion approximation of the risk process -- Risk model of good and bad periods -- Premiums in the individual and collective risk models -- Pure risk premiums under deductibles -- Premiums, investments, and reinsurance -- Working with the XQC

ISBN 3-540-22189-1

1. Gerencia de riesgos . 2. Modelos actuariales . 3. Modelos de simulación . 4. Valoración de riesgos . 5. Seguros . I. Härdle, Wolfgang . II. Weron, Rafal . III. Título.

FUNDACIÓN MAPFRE. Centro de Documentación

FUNDACIÓN MAPFRE. Centro de Documentación — Signatura: 7 CIZ STA — Nº de registro: 046110

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