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Introductory stochastic analysis for finance and insurance [[electronic resource] /] / X. Sheldon Lin
| Introductory stochastic analysis for finance and insurance [[electronic resource] /] / X. Sheldon Lin |
| Autore | Lin X. Sheldon |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley, c2006 |
| Descrizione fisica | 1 online resource (250 p.) |
| Disciplina |
332.01/51923
368.010151922 |
| Collana | Wiley series in probability and statistics |
| Soggetto topico |
Finance - Mathematical models
Insurance - Mathematical models Stochastic analysis |
| ISBN |
1-280-41150-3
9786610411504 0-470-36217-0 0-471-79321-3 0-471-79320-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Introductory Stochastic Analysis for Finance and InsuranceIntroductory Stochastic Analysis for Finance and Insurance; CONTENTS; List of Figures; List of Tables; Preface; 1 Introduction; 2 Overview of Probability Theory; 2.1 Probability Spaces and Information Structures; 2.2 Random Variables, Moments and Transforms; LIST OF FIGURES; 2.1. The price of a stock over a two-day period.; 2.3 Multivariate Distributions; 2.4 Conditional Probability and Conditional Distributions; 2.2. The probability tree of the stock price over a two-day period.; 2.5 Conditional Expectation
2.3. The expectation tree of the stock price over a two-day period.2.6 The Central Limit Theorem; 3 Discrete-Time Stochastic Processes; 3.1 Stochastic Processes and Information Structures; 3.2 Random Walks; 3.1. The tree of a standard random walk.; 3.2. The binomial model of the stock price.; 3.3 Discrete-Time Markov Chains; 3.3. The binomial tree of the stock price.; 3.4 Martingales and Change of Probability Measure; 3.5 Stopping Times; 3.6 Option Pricing with Binomial Models; 3.4. The returns of a stock and a bond.; 3.5. The payoff function of a call.; 3.6. The payoff function of a put. 3.7. The payoff function of a strangle.3.7 Binomial Interest Rate Models; LIST OF TABLES; 3.1. A sample of quotes on U.S. Treasuries.; 3.8. Treasury yield curve, Treasury zero curve, and Treasury forward rate curve based on the quotes in Table 3.1.; 3.2. The market term structure.; 3.9. Constructing a short rate tree: step one.; 3.10. Constructing a short rate tree: step two.; 3.11. The complete short rate tree.; 4 Continuous-Time Stochastic Processes; 4.1 General Description of Continuous-Time Stochastic Processes; 4.2 Brownian Motion 4.1. A sample path of standard Brownian motion (μ = 0 and σ = 1).4.3 The Reflection Principle and Barrier Hitting Probabilities; 4.2. A sample path of Brownian motion with μ = 1 and σ = 1.; 4.3. A sample path of Brownian motion with μ = -1 and σ = 1.; 4.4. A sample path of Brownian motion with μ = 0 and σ = 2.; 4.5. A sample path of Brownian motion with μ = 0 and σ = 0.5.; 4.6. A path of standard Brownian motion reflected after hitting.; 4.7. A path of standard Brownian motion reflected before hitting.; 4.4 The Poisson Process and Compound Poisson Process 4.8. A sample path of a compound Poisson process.4.9. A sample path of the shifted Poisson process {Xτ(t)}.; 4.5 Martingales; 4.6 Stopping Times and the Optional Sampling Theorem; 5 Stochastic Calculus: Basic Topics; 5.1 Stochastic (Ito) Integration; 5.2 Stochastic Differential Equations; 5.3 One-Dimensional Ito's Lemma; 5.1. The product rules in stochastic calculus.; 5.4 Continuous-Time Interest Rate Models; 5.5 The Black-Scholes Model and Option Pricing Formula; 5.6 The Stochastic Version of Integration by Parts; 5.7 Exponential Martingales; 5.8 The Martingale Representation Theorem 6 Stochastic Calculus: Advanced Topics |
| Record Nr. | UNINA-9910145033603321 |
Lin X. Sheldon
|
||
| Hoboken, N.J., : John Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Introductory stochastic analysis for finance and insurance [[electronic resource] /] / X. Sheldon Lin
| Introductory stochastic analysis for finance and insurance [[electronic resource] /] / X. Sheldon Lin |
| Autore | Lin X. Sheldon |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley, c2006 |
| Descrizione fisica | 1 online resource (250 p.) |
| Disciplina |
332.01/51923
368.010151922 |
| Collana | Wiley series in probability and statistics |
| Soggetto topico |
Finance - Mathematical models
Insurance - Mathematical models Stochastic analysis |
| ISBN |
1-280-41150-3
9786610411504 0-470-36217-0 0-471-79321-3 0-471-79320-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Introductory Stochastic Analysis for Finance and InsuranceIntroductory Stochastic Analysis for Finance and Insurance; CONTENTS; List of Figures; List of Tables; Preface; 1 Introduction; 2 Overview of Probability Theory; 2.1 Probability Spaces and Information Structures; 2.2 Random Variables, Moments and Transforms; LIST OF FIGURES; 2.1. The price of a stock over a two-day period.; 2.3 Multivariate Distributions; 2.4 Conditional Probability and Conditional Distributions; 2.2. The probability tree of the stock price over a two-day period.; 2.5 Conditional Expectation
2.3. The expectation tree of the stock price over a two-day period.2.6 The Central Limit Theorem; 3 Discrete-Time Stochastic Processes; 3.1 Stochastic Processes and Information Structures; 3.2 Random Walks; 3.1. The tree of a standard random walk.; 3.2. The binomial model of the stock price.; 3.3 Discrete-Time Markov Chains; 3.3. The binomial tree of the stock price.; 3.4 Martingales and Change of Probability Measure; 3.5 Stopping Times; 3.6 Option Pricing with Binomial Models; 3.4. The returns of a stock and a bond.; 3.5. The payoff function of a call.; 3.6. The payoff function of a put. 3.7. The payoff function of a strangle.3.7 Binomial Interest Rate Models; LIST OF TABLES; 3.1. A sample of quotes on U.S. Treasuries.; 3.8. Treasury yield curve, Treasury zero curve, and Treasury forward rate curve based on the quotes in Table 3.1.; 3.2. The market term structure.; 3.9. Constructing a short rate tree: step one.; 3.10. Constructing a short rate tree: step two.; 3.11. The complete short rate tree.; 4 Continuous-Time Stochastic Processes; 4.1 General Description of Continuous-Time Stochastic Processes; 4.2 Brownian Motion 4.1. A sample path of standard Brownian motion (μ = 0 and σ = 1).4.3 The Reflection Principle and Barrier Hitting Probabilities; 4.2. A sample path of Brownian motion with μ = 1 and σ = 1.; 4.3. A sample path of Brownian motion with μ = -1 and σ = 1.; 4.4. A sample path of Brownian motion with μ = 0 and σ = 2.; 4.5. A sample path of Brownian motion with μ = 0 and σ = 0.5.; 4.6. A path of standard Brownian motion reflected after hitting.; 4.7. A path of standard Brownian motion reflected before hitting.; 4.4 The Poisson Process and Compound Poisson Process 4.8. A sample path of a compound Poisson process.4.9. A sample path of the shifted Poisson process {Xτ(t)}.; 4.5 Martingales; 4.6 Stopping Times and the Optional Sampling Theorem; 5 Stochastic Calculus: Basic Topics; 5.1 Stochastic (Ito) Integration; 5.2 Stochastic Differential Equations; 5.3 One-Dimensional Ito's Lemma; 5.1. The product rules in stochastic calculus.; 5.4 Continuous-Time Interest Rate Models; 5.5 The Black-Scholes Model and Option Pricing Formula; 5.6 The Stochastic Version of Integration by Parts; 5.7 Exponential Martingales; 5.8 The Martingale Representation Theorem 6 Stochastic Calculus: Advanced Topics |
| Record Nr. | UNINA-9910831197103321 |
|
Lin X. Sheldon
|
||
| Hoboken, N.J., : John Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Introductory stochastic analysis for finance and insurance / / X. Sheldon Lin
| Introductory stochastic analysis for finance and insurance / / X. Sheldon Lin |
| Autore | Lin X. Sheldon |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley, c2006 |
| Descrizione fisica | 1 online resource (250 p.) |
| Disciplina | 332.01/51923 |
| Collana | Wiley series in probability and statistics |
| Soggetto topico |
Finance - Mathematical models
Insurance - Mathematical models Stochastic analysis |
| ISBN |
9786610411504
9781280411502 1280411503 9780470362174 0470362170 9780471793212 0471793213 9780471793205 0471793205 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Introductory Stochastic Analysis for Finance and InsuranceIntroductory Stochastic Analysis for Finance and Insurance; CONTENTS; List of Figures; List of Tables; Preface; 1 Introduction; 2 Overview of Probability Theory; 2.1 Probability Spaces and Information Structures; 2.2 Random Variables, Moments and Transforms; LIST OF FIGURES; 2.1. The price of a stock over a two-day period.; 2.3 Multivariate Distributions; 2.4 Conditional Probability and Conditional Distributions; 2.2. The probability tree of the stock price over a two-day period.; 2.5 Conditional Expectation
2.3. The expectation tree of the stock price over a two-day period.2.6 The Central Limit Theorem; 3 Discrete-Time Stochastic Processes; 3.1 Stochastic Processes and Information Structures; 3.2 Random Walks; 3.1. The tree of a standard random walk.; 3.2. The binomial model of the stock price.; 3.3 Discrete-Time Markov Chains; 3.3. The binomial tree of the stock price.; 3.4 Martingales and Change of Probability Measure; 3.5 Stopping Times; 3.6 Option Pricing with Binomial Models; 3.4. The returns of a stock and a bond.; 3.5. The payoff function of a call.; 3.6. The payoff function of a put. 3.7. The payoff function of a strangle.3.7 Binomial Interest Rate Models; LIST OF TABLES; 3.1. A sample of quotes on U.S. Treasuries.; 3.8. Treasury yield curve, Treasury zero curve, and Treasury forward rate curve based on the quotes in Table 3.1.; 3.2. The market term structure.; 3.9. Constructing a short rate tree: step one.; 3.10. Constructing a short rate tree: step two.; 3.11. The complete short rate tree.; 4 Continuous-Time Stochastic Processes; 4.1 General Description of Continuous-Time Stochastic Processes; 4.2 Brownian Motion 4.1. A sample path of standard Brownian motion (μ = 0 and σ = 1).4.3 The Reflection Principle and Barrier Hitting Probabilities; 4.2. A sample path of Brownian motion with μ = 1 and σ = 1.; 4.3. A sample path of Brownian motion with μ = -1 and σ = 1.; 4.4. A sample path of Brownian motion with μ = 0 and σ = 2.; 4.5. A sample path of Brownian motion with μ = 0 and σ = 0.5.; 4.6. A path of standard Brownian motion reflected after hitting.; 4.7. A path of standard Brownian motion reflected before hitting.; 4.4 The Poisson Process and Compound Poisson Process 4.8. A sample path of a compound Poisson process.4.9. A sample path of the shifted Poisson process {Xτ(t)}.; 4.5 Martingales; 4.6 Stopping Times and the Optional Sampling Theorem; 5 Stochastic Calculus: Basic Topics; 5.1 Stochastic (Ito) Integration; 5.2 Stochastic Differential Equations; 5.3 One-Dimensional Ito's Lemma; 5.1. The product rules in stochastic calculus.; 5.4 Continuous-Time Interest Rate Models; 5.5 The Black-Scholes Model and Option Pricing Formula; 5.6 The Stochastic Version of Integration by Parts; 5.7 Exponential Martingales; 5.8 The Martingale Representation Theorem 6 Stochastic Calculus: Advanced Topics |
| Record Nr. | UNINA-9911020322303321 |
|
Lin X. Sheldon
|
||
| Hoboken, N.J., : John Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Loss distributions [[electronic resource] /] / Robert V. Hogg, Stuart A. Klugman, with the assistance of Charles C. Hewitt and Gary Patrik
| Loss distributions [[electronic resource] /] / Robert V. Hogg, Stuart A. Klugman, with the assistance of Charles C. Hewitt and Gary Patrik |
| Autore | Hogg Robert V |
| Pubbl/distr/stampa | New York, : Wiley, c1984 |
| Descrizione fisica | 1 online resource (254 p.) |
| Disciplina |
368
368.0101519532 368.015 |
| Altri autori (Persone) | KlugmanStuart A. <1949-> |
| Collana | Wiley series in probability and mathematical statistics |
| Soggetto topico |
Insurance - Mathematical models
Insurance - Statistical methods |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-30796-7
9786612307966 0-470-31663-2 0-470-31730-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
LOSS DISTRIBUTIONS; Contents; 1. Introduction; 1.1. Basic Terminology; 1.2. Coverage Limitations; 1.3. Evaluation of Coverage Limitations; 1.4. Data Collection and Modeling; 2. Models for Random Variables; 2.1. Models; 2.2. The Poisson Process and Related Models; 2.3. Models for Joint Random Variables; 2.4. Normal Models; 2.5. Linear Functions of Random Variables; 2.6. Functions of Random Variables; 2.7. The Mixture of Models; 3. Statistical Inference; 3.1. Model-Free Estimation of Distributions; 3.2. Estimating Distributions by Simulation; 3.3. Point Estimation; 3.4. Interval Estimation
3.5. Tests of Statistical Hypotheses3.6. Testing the Fit of Models; 3.7. Applications and Associated Algorithms; 4. Modeling Loss Distributions; 4.1. Introduction; 4.2. Ungrouped Data, Truncation from Below; 4.3. Grouped Data, Mixture of Models; 4.4. Truncated and Shifted Data, Mixture of Models; 4.5. Clustering, Truncation from Above, Combining Samples; 4.6. A Bivariate Model; 4.7. A Review of the Modeling Process; 5. Applications of Distributional Models; 5.1. Introduction; 5.2. Inflation, Percentile Estimation; 5.3. Deductibles, Leveraging 5.4. Other Deductibles, Comparisons of Distributions5.5. Limits, Comparisons of Distributions; 5.6. Limits, Layers, Allocated Loss Adjustment Expenses; References; Appendix Characteristics of Selected Distributions; Index |
| Record Nr. | UNINA-9910144696103321 |
|
Hogg Robert V
|
||
| New York, : Wiley, c1984 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Loss distributions [[electronic resource] /] / Robert V. Hogg, Stuart A. Klugman, with the assistance of Charles C. Hewitt and Gary Patrik
| Loss distributions [[electronic resource] /] / Robert V. Hogg, Stuart A. Klugman, with the assistance of Charles C. Hewitt and Gary Patrik |
| Autore | Hogg Robert V |
| Pubbl/distr/stampa | New York, : Wiley, c1984 |
| Descrizione fisica | 1 online resource (254 p.) |
| Disciplina |
368
368.0101519532 368.015 |
| Altri autori (Persone) | KlugmanStuart A. <1949-> |
| Collana | Wiley series in probability and mathematical statistics |
| Soggetto topico |
Insurance - Mathematical models
Insurance - Statistical methods |
| ISBN |
1-282-30796-7
9786612307966 0-470-31663-2 0-470-31730-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
LOSS DISTRIBUTIONS; Contents; 1. Introduction; 1.1. Basic Terminology; 1.2. Coverage Limitations; 1.3. Evaluation of Coverage Limitations; 1.4. Data Collection and Modeling; 2. Models for Random Variables; 2.1. Models; 2.2. The Poisson Process and Related Models; 2.3. Models for Joint Random Variables; 2.4. Normal Models; 2.5. Linear Functions of Random Variables; 2.6. Functions of Random Variables; 2.7. The Mixture of Models; 3. Statistical Inference; 3.1. Model-Free Estimation of Distributions; 3.2. Estimating Distributions by Simulation; 3.3. Point Estimation; 3.4. Interval Estimation
3.5. Tests of Statistical Hypotheses3.6. Testing the Fit of Models; 3.7. Applications and Associated Algorithms; 4. Modeling Loss Distributions; 4.1. Introduction; 4.2. Ungrouped Data, Truncation from Below; 4.3. Grouped Data, Mixture of Models; 4.4. Truncated and Shifted Data, Mixture of Models; 4.5. Clustering, Truncation from Above, Combining Samples; 4.6. A Bivariate Model; 4.7. A Review of the Modeling Process; 5. Applications of Distributional Models; 5.1. Introduction; 5.2. Inflation, Percentile Estimation; 5.3. Deductibles, Leveraging 5.4. Other Deductibles, Comparisons of Distributions5.5. Limits, Comparisons of Distributions; 5.6. Limits, Layers, Allocated Loss Adjustment Expenses; References; Appendix Characteristics of Selected Distributions; Index |
| Record Nr. | UNINA-9910644053703321 |
|
Hogg Robert V
|
||
| New York, : Wiley, c1984 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Loss distributions [[electronic resource] /] / Robert V. Hogg, Stuart A. Klugman, with the assistance of Charles C. Hewitt and Gary Patrik
| Loss distributions [[electronic resource] /] / Robert V. Hogg, Stuart A. Klugman, with the assistance of Charles C. Hewitt and Gary Patrik |
| Autore | Hogg Robert V |
| Pubbl/distr/stampa | New York, : Wiley, c1984 |
| Descrizione fisica | 1 online resource (254 p.) |
| Disciplina |
368
368.0101519532 368.015 |
| Altri autori (Persone) | KlugmanStuart A. <1949-> |
| Collana | Wiley series in probability and mathematical statistics |
| Soggetto topico |
Insurance - Mathematical models
Insurance - Statistical methods |
| ISBN |
1-282-30796-7
9786612307966 0-470-31663-2 0-470-31730-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
LOSS DISTRIBUTIONS; Contents; 1. Introduction; 1.1. Basic Terminology; 1.2. Coverage Limitations; 1.3. Evaluation of Coverage Limitations; 1.4. Data Collection and Modeling; 2. Models for Random Variables; 2.1. Models; 2.2. The Poisson Process and Related Models; 2.3. Models for Joint Random Variables; 2.4. Normal Models; 2.5. Linear Functions of Random Variables; 2.6. Functions of Random Variables; 2.7. The Mixture of Models; 3. Statistical Inference; 3.1. Model-Free Estimation of Distributions; 3.2. Estimating Distributions by Simulation; 3.3. Point Estimation; 3.4. Interval Estimation
3.5. Tests of Statistical Hypotheses3.6. Testing the Fit of Models; 3.7. Applications and Associated Algorithms; 4. Modeling Loss Distributions; 4.1. Introduction; 4.2. Ungrouped Data, Truncation from Below; 4.3. Grouped Data, Mixture of Models; 4.4. Truncated and Shifted Data, Mixture of Models; 4.5. Clustering, Truncation from Above, Combining Samples; 4.6. A Bivariate Model; 4.7. A Review of the Modeling Process; 5. Applications of Distributional Models; 5.1. Introduction; 5.2. Inflation, Percentile Estimation; 5.3. Deductibles, Leveraging 5.4. Other Deductibles, Comparisons of Distributions5.5. Limits, Comparisons of Distributions; 5.6. Limits, Layers, Allocated Loss Adjustment Expenses; References; Appendix Characteristics of Selected Distributions; Index |
| Record Nr. | UNINA-9910830084103321 |
|
Hogg Robert V
|
||
| New York, : Wiley, c1984 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Loss distributions / / Robert V. Hogg, Stuart A. Klugman, with the assistance of Charles C. Hewitt and Gary Patrik
| Loss distributions / / Robert V. Hogg, Stuart A. Klugman, with the assistance of Charles C. Hewitt and Gary Patrik |
| Autore | Hogg Robert V |
| Pubbl/distr/stampa | New York, : Wiley, c1984 |
| Descrizione fisica | 1 online resource (254 p.) |
| Disciplina |
368
368.0101519532 368.015 |
| Altri autori (Persone) | KlugmanStuart A. <1949-> |
| Collana | Wiley series in probability and mathematical statistics |
| Soggetto topico |
Insurance - Mathematical models
Insurance - Statistical methods |
| ISBN |
9786612307966
9781282307964 1282307967 9780470316634 0470316632 9780470317303 0470317302 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
LOSS DISTRIBUTIONS; Contents; 1. Introduction; 1.1. Basic Terminology; 1.2. Coverage Limitations; 1.3. Evaluation of Coverage Limitations; 1.4. Data Collection and Modeling; 2. Models for Random Variables; 2.1. Models; 2.2. The Poisson Process and Related Models; 2.3. Models for Joint Random Variables; 2.4. Normal Models; 2.5. Linear Functions of Random Variables; 2.6. Functions of Random Variables; 2.7. The Mixture of Models; 3. Statistical Inference; 3.1. Model-Free Estimation of Distributions; 3.2. Estimating Distributions by Simulation; 3.3. Point Estimation; 3.4. Interval Estimation
3.5. Tests of Statistical Hypotheses3.6. Testing the Fit of Models; 3.7. Applications and Associated Algorithms; 4. Modeling Loss Distributions; 4.1. Introduction; 4.2. Ungrouped Data, Truncation from Below; 4.3. Grouped Data, Mixture of Models; 4.4. Truncated and Shifted Data, Mixture of Models; 4.5. Clustering, Truncation from Above, Combining Samples; 4.6. A Bivariate Model; 4.7. A Review of the Modeling Process; 5. Applications of Distributional Models; 5.1. Introduction; 5.2. Inflation, Percentile Estimation; 5.3. Deductibles, Leveraging 5.4. Other Deductibles, Comparisons of Distributions5.5. Limits, Comparisons of Distributions; 5.6. Limits, Layers, Allocated Loss Adjustment Expenses; References; Appendix Characteristics of Selected Distributions; Index |
| Record Nr. | UNINA-9911019155003321 |
|
Hogg Robert V
|
||
| New York, : Wiley, c1984 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Loss models [[electronic resource] ] : further topics / / Stuart A. Klugman, Harry H. Panjer, Gordon E. Willmot
| Loss models [[electronic resource] ] : further topics / / Stuart A. Klugman, Harry H. Panjer, Gordon E. Willmot |
| Autore | Klugman Stuart A. <1949-> |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, Inc., 2013 |
| Descrizione fisica | xii, 348 p. : ill |
| Disciplina | 368/.01 |
| Altri autori (Persone) |
PanjerHarry H
WillmotGordon E. <1957-> |
| Collana | Wiley series in probability and statistics |
| Soggetto topico |
Insurance - Mathematical models
Insurance - Statistical methods |
| ISBN |
1-118-57374-9
1-118-78710-2 1-118-57368-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910796097603321 |
|
Klugman Stuart A. <1949->
|
||
| Hoboken, N.J., : John Wiley & Sons, Inc., 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Loss models : further topics / / Stuart A. Klugman, Harry H. Panjer, Gordon E. Willmot
| Loss models : further topics / / Stuart A. Klugman, Harry H. Panjer, Gordon E. Willmot |
| Autore | Klugman Stuart A. <1949-> |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, Inc., 2013 |
| Descrizione fisica | xii, 348 p. : ill |
| Disciplina | 368/.01 |
| Altri autori (Persone) |
PanjerHarry H
WillmotGordon E. <1957-> |
| Collana | Wiley series in probability and statistics |
| Soggetto topico |
Insurance - Mathematical models
Insurance - Statistical methods |
| ISBN |
9781118573747
1118573749 9781118787106 1118787102 9781118573686 1118573684 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910960761803321 |
|
Klugman Stuart A. <1949->
|
||
| Hoboken, N.J., : John Wiley & Sons, Inc., 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematical and statistical methods for actuarial sciences and finance / / edited by Marco Corazza [and three others]
| Mathematical and statistical methods for actuarial sciences and finance / / edited by Marco Corazza [and three others] |
| Pubbl/distr/stampa | Cham, Switzerland : , : Springer, , [2022] |
| Descrizione fisica | 1 online resource (456 pages) |
| Disciplina | 368.01 |
| Soggetto topico |
Finance - Statistical methods
Finance - Mathematical models Insurance - Mathematical models Matemàtica actuarial Finances Models matemàtics Estadística matemàtica |
| Soggetto genere / forma |
Congressos
Llibres electrònics |
| ISBN | 3-030-99638-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- Preface -- Contents -- Absolute and Relative Gender Gap in Pensions: The Impact of the Transition from DB to NDC in Italy -- 1 Introduction -- 2 Data and Methodology -- 2.1 Data -- 2.2 Methodology -- 3 Preliminary Results -- 4 Remarks -- References -- TPPI: Textual Political Polarity Indices. The Case of Italian GDP -- 1 Introduction -- 2 Data -- 2.1 The Italian Senate Verbatim Reports -- 2.2 The Italian Yearly GDP Time Series -- 3 Determining Words Sentiment Polarities -- 4 Polarity Indices Time Series -- 4.1 Total Textual Political Polarity Index (TPPI-T) -- 4.2 Group Specific Textual Political Polarity Indices (TPPI-GS) -- 4.3 Polarity Divergence Indices (TPPI-D) -- 5 Evaluating Indices Configurations -- 6 Conclusion -- References -- Quantile Regression Forest for Value-at-Risk Forecasting Via Mixed-Frequency Data -- 1 Introduction -- 2 Methodology -- 3 Empirical Application -- 4 Conclusions -- References -- Gender Attitudes Toward Longevity and Retirement Planning: Theory and Evidence -- 1 Introduction -- 2 Drivers of Retirement Behaviour: the State-of-the-Art -- 3 Subjective Longevity, Gender and Economic Choices -- 4 Our Research Framework and Directions -- References -- Semiclassical Pricing of Variance Swaps in the CEV Model -- 1 Introduction -- 2 The Model -- 2.1 Variance Swap Pricing -- 3 Realized Variance Replication -- 3.1 The Semiclassical Approximation for the Log Contract -- 4 Numerical Results -- References -- Indexing Pensions to Life Expectancy: Keeping the System Fair Across Generations -- 1 Introduction -- 2 Intergenerational Fairness and Neutrality Condition -- 3 Policy Options -- 3.1 Adjusting the Contribution Rate -- 3.2 Adjusting the Retirement Age While Keeping the Replacement Rate Constant -- 3.3 Adjusting the Retirement Age While Improving Pension Adequacy.
3.4 Amending Entry Pensions Through a Sustainability Factor -- 4 Conclusion -- References -- Dynamic Withdrawals and Stochastic Mortality in GLWB Variable Annuities -- 1 Introduction -- 2 The Contract Structure -- 3 The Valuation Framework -- 4 Dynamic Programming -- 4.1 Bang-Bang Analysis -- 4.2 Contract Decomposition -- 5 Conclusion -- References -- A Regression Based Approach for Valuing Longevity Measures -- 1 Introduction -- 2 Life Expectancy and Computational Framework -- 2.1 Valuation Procedure -- 3 Numerical Results -- 4 Conclusion -- References -- On the Assessment of the Payment Limitation for an Health Plan -- 1 Introduction -- 2 Actuarial Framework -- 3 The Optimal Reimbursement Problem -- 4 Numerical Investigation -- 5 Conclusions -- References -- Reference Dependence in Behavioral Portfolio Selection -- 1 Introduction -- 2 Behavioral Portfolio Selection -- 3 The Reference Point -- 4 An Application -- References -- Pricing Rainfall Derivatives by Genetic Programming: A Case Study -- 1 Introduction -- 2 Genetic Programming -- 3 Rainfall Derivatives Pricing -- 4 Data and Application -- 5 Conclusion -- References -- Estimation of the Gift Probability in Fund Raising Management -- 1 Introduction -- 2 The Donor -- 3 Modeling the Gift as an Individual Risk -- 4 Poisson Regression in FR -- References -- The Estimation Risk in Credit Regulatory Capital -- 1 Introduction -- 2 The Capital Requirement in the IRB Approach -- 3 The Dataset and Parameters' Gaussian Copula -- 4 Estimation Risk in RC and Policy Implication -- References -- Actuarial Fairness in Pension Systems: An Empirical Evaluation for Italy Using an OLG Model -- 1 Introduction -- 2 Methods -- 3 Main Results -- 4 Discussion and Conclusions -- References -- Forecasting VIX with Hurst Exponent -- 1 Introduction -- 2 Model and Estimator -- 3 Empirical Analysis and Results. 4 Conclusions and Further Directions -- References -- Modelling H-Volatility with Fractional Brownian Bridge -- 1 Introduction -- 2 Fractional Brownian Bridge -- 3 Methodology and Application -- 4 Conclusion -- References -- Shapley Value in Partition Function Form Games: New Research Perspectives for Features Selection -- 1 Introduction -- 2 Games in Partition Function Form -- 2.1 The Shapley Value -- 3 Shapley Values for Features Contributions -- 4 Conclusions and Further Research -- References -- Nonparametric Estimation of Range Value at Risk -- 1 Introduction -- 1.1 Definitions -- 2 Nonparametric Methods for Estimating RVaR -- 2.1 Empirical Estimator -- 2.2 Brazauskas et al.'s Estimator -- 2.3 Kernel Estimator -- 2.4 Yamai and Yoshiba's Estimator -- 2.5 Filtered Historical Method -- 3 Simulation -- 4 Findings -- References -- A Fixed Career Length Versus a Fixed Retirement Age: An Analysis per Socio-Economic Groups -- 1 Introduction -- 2 Objective -- 3 Actuarial Fairness -- 4 Data -- 5 Policy Implications -- References -- Nonparametric Test for Financial Time Series Comparisons -- 1 Introduction -- 2 Statistical Problem -- 3 Methodological Solution -- 4 Case Study -- 5 Concluding Remarks -- References -- Innovative Parametric Weather Insurance on Satellite Data in Agribusiness -- 1 Introduction -- 2 Methodology and Satellite Data -- 3 Personalised Parametric Weather Insurance -- 4 Numerical Application -- 5 Concluding Remarks -- References -- An Application of the Tensor-Based Approach to Mortality Modeling -- 1 Introduction -- 2 Methodology and Application -- 3 Conclusions -- References -- Cyber Risk: Estimates for Malicious and Negligent Breaches Distributions -- 1 Introduction -- 2 Cyber Incidents and Data Breaches -- 3 Case Study -- 4 Concluding Remarks -- References. Modeling and Forecasting Natural Gas Futures Prices Dynamics: An Integrated Approach -- 1 Introduction -- 2 Data and Methods -- 3 Empirical Results -- 4 Conclusion -- A Appendix: Figures -- References -- Modelling Life Expectancy Gender Gap in a Multi-population Framework -- 1 Introduction -- 2 Materials and Methods -- 3 Results -- 4 Conclusions -- References -- Decision Making in Portfolio Optimization by Using a Tri-Objective Model and Decision Parameters -- 1 Introduction and Motivation of the Study -- 2 Study Framework and Experimental Results -- 3 Conclusions -- References -- Bitcoin Price Prediction: Mixed Integer Quadratic Programming Versus Machine Learning Approaches -- 1 Introduction -- 2 Our Problem -- 2.1 Our MIP Viewpoint vs. SVMs -- References -- Verifying the Rényi Dependence Axioms for a Non-linear Bivariate Comovement Index -- 1 Introduction -- 2 The Comovement Index and the Rényi Dependence Axioms -- 3 Is 1 , 2 a Measure of Dependence à la Rényi? -- References -- Inflation Perceptions and Expectations During the Pandemic: A Model Based Approach -- 1 Introduction -- 2 The Model -- 3 Results -- 4 Conclusions -- References -- A Proposal to Calculate the Regulatory Capital Requirements for Reverse Mortgages -- 1 Introduction -- 2 Modeling House Price Risk, Interest Rate Risk and Mortality Rate Dynamics -- 3 Calculation of Regulatory Capital Requirements -- References -- LTC of a Defined Benefit Employee Pension Scheme -- 1 Introduction -- 2 The Model -- 3 A Sample for Spain -- 3.1 Mortality Tables by State -- 3.2 Results -- 4 Conclusions -- References -- Socio-Economic Challenges at the Time of COVID-19: The Proactive Role of the Insurance Industry -- 1 Introduction -- 2 Sustainability and Impact: A Possible Conjugation -- 2.1 The Guidelines of the Scheme -- 2.2 Which Category Within Socially Responsible Investments? -- References. Feynman-Kac Formula for BSDEs with Jumps and Time Delayed Generators Associated to Path-Dependent Nonlinear Kolmogorov Equations -- 1 The Non-linear Path Dependent Kolmogorov Equation -- 2 The FBSDE System -- 3 Feynman-Kac Formula -- 4 Financial Applications -- 4.1 The Large Investor Problem -- 4.2 Dynamic Risk Measure for an Insurance Payment Process -- References -- The Role of Stablecoins: Cryptocurrencies Sought Stability and Found Gold and Dollars -- 1 Introduction -- 2 Methodology -- 2.1 The Portfolio Allocation Method -- 2.2 Downside Risk Measures and Backtesting -- 3 Main Results and Findings -- References -- Interbank Networks and Liquidity Risk -- 1 Introduction -- 2 A Model of Liquidity Dynamics on an Interbank Network -- 3 Numerical Simulations with Diagnostic of Network Efficiency -- 4 Conclusions and Research Perspectives -- References -- Kendall Conditional Value-at-Risk -- 1 Introduction -- 2 The Kendall CoVaR -- 3 Illustration: Analysis of the Italian banking systems -- References -- Daily Trading of the FTSE Index Using LSTM with Principal Component Analysis -- 1 Introduction -- 2 Related Work -- 2.1 Ensemble Methods -- 2.2 Hybrid Methods -- 2.3 Deep Learning Paradigms -- 3 Model Architecture -- 3.1 Overview -- 3.2 Sub-Learners -- 3.3 Meta-learners -- 4 Methods -- 4.1 Creating the Dataset -- 5 Experimental Setup and Evaluation -- 6 Results -- 7 Conclusion -- References -- A Hybrid Model Based on Stochastic Volatility and Machine Learning to Forecast Log Returns of a Risky Asset -- 1 Introduction -- 2 The Hybrid Model -- 3 Numerical Experiments -- References -- Financial Time Series Classification by Nonparametric Trend Estimation -- 1 Introduction -- 2 The Proposed Method -- 3 Real Data Application -- 4 Conclusions -- References -- Differential Pursuit-Evasion Games and Space Economy: New Research Perspectives -- 1 Introduction. 2 Space Economy and the Detritus Management: The Role of Differential Games. |
| Record Nr. | UNISA-996472038703316 |
| Cham, Switzerland : , : Springer, , [2022] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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