Statistical Inference in Financial and Insurance with R

Written By Alexandre Brouste
Statistical Inference in Financial and Insurance with R
  • Publsiher : Iste Press - Elsevier
  • Release : 15 July 2017
  • ISBN : 9781785480836
  • Pages : 150 pages
  • Rating : 4/5 from 21 reviews
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Read or download book entitled Statistical Inference in Financial and Insurance with R written by Alexandre Brouste which was release on 15 July 2017, this book published by Iste Press - Elsevier. Available in PDF, EPUB and Kindle Format. Book excerpt: Finance and insurance companies are facing a wide range of parametric statistical problems. Statistical experiments generated by a sample of independent and identically distributed random variables are frequent and well understood, especially those consisting of probability measures of an exponential type. However, the aforementioned applications also offer non-classical experiments implying observation samples of independent but not identically distributed random variables or even dependent random variables. Three examples of such experiments are treated in this book. First, the Generalized Linear Models are studied. They extend the standard regression model to non-Gaussian distributions. Statistical experiments with Markov chains are considered next. Finally, various statistical experiments generated by fractional Gaussian noise are also described. In this book, asymptotic properties of several sequences of estimators are detailed. The notion of asymptotical efficiency is discussed for the different statistical experiments considered in order to give the proper sense of estimation risk. Eighty examples and computations with R software are given throughout the text. Examines a range of statistical inference methods in the context of finance and insurance applications Presents the LAN (local asymptotic normality) property of likelihoods Combines the proofs of LAN property for different statistical experiments that appears in financial and insurance mathematics Provides the proper description of such statistical experiments and invites readers to seek optimal estimators (performed in R) for such statistical experiments

Statistical Inference in Financial and Insurance with R

Statistical Inference in Financial and Insurance with R
  • Author : Alexandre Brouste
  • Publisher : Iste Press - Elsevier
  • Release Date : 2017-07-15
  • Total pages : 150
  • ISBN : 9781785480836
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Summary : Finance and insurance companies are facing a wide range of parametric statistical problems. Statistical experiments generated by a sample of independent and identically distributed random variables are frequent and well understood, especially those consisting of probability measures of an exponential type. However, the aforementioned applications also offer non-classical experiments implying ...

Statistical Inference in Financial and Insurance Mathematics with R

Statistical Inference in Financial and Insurance Mathematics with R
  • Author : Alexandre Brouste
  • Publisher : Elsevier
  • Release Date : 2017-11-22
  • Total pages : 202
  • ISBN : 9781785480836
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Summary : Finance and insurance companies are facing a wide range of parametric statistical problems. Statistical experiments generated by a sample of independent and identically distributed random variables are frequent and well understood, especially those consisting of probability measures of an exponential type. However, the aforementioned applications also offer non-classical experiments implying ...

Computation and Modelling in Insurance and Finance

Computation and Modelling in Insurance and Finance
  • Author : Erik Bølviken
  • Publisher : Cambridge University Press
  • Release Date : 2014-04-10
  • Total pages : 212
  • ISBN : 9781785480836
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Summary : Focusing on what actuaries need in practice, this introductory account provides readers with essential tools for handling complex problems and explains how simulation models can be created, used and re-used (with modifications) in related situations. The book begins by outlining the basic tools of modelling and simulation, including a discussion ...

Risk And Stochastics Ragnar Norberg

Risk And Stochastics  Ragnar Norberg
  • Author : Barrieu Pauline
  • Publisher : World Scientific
  • Release Date : 2019-04-18
  • Total pages : 320
  • ISBN : 9781785480836
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Summary : with an autobiography from Ragnar NorbergThe Risk and Stochastics Conference, held at the Royal Statistical Society in April 2015, brought together academics from the worlds of actuarial science, stochastic calculus, finance and statistics to celebrate the achievements of Professor Ragnar Norberg as he turned 70. After the conference, Ragnar Norberg suddenly fell ...

Statistical Inference for Copula and Tail Copula Models with Applications to Finance and Insurance

Statistical Inference for Copula and Tail Copula Models with Applications to Finance and Insurance
  • Author : Liang Peng,Zhengjun Zhang
  • Publisher : Chapman & Hall/CRC
  • Release Date : 2018-12-15
  • Total pages : 200
  • ISBN : 9781785480836
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Summary : This book will cover statistical inference for copula and tail copula models with applications in finance, insurance and risk management. After giving a quick introduction to copula and tail copula models, it will focus on various up-to-date statistical inference procedures, including point and interval estimation and goodness-of- t tests, for ...

GARCH Models

GARCH Models
  • Author : Christian Francq,Jean-Michel Zakoian
  • Publisher : John Wiley & Sons
  • Release Date : 2019-03-19
  • Total pages : 504
  • ISBN : 9781785480836
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Summary : Provides a comprehensive and updated study of GARCH models and their applications in finance, covering new developments in the discipline This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of ...

Financial Modeling Actuarial Valuation and Solvency in Insurance

Financial Modeling  Actuarial Valuation and Solvency in Insurance
  • Author : Mario V. Wüthrich,Michael Merz
  • Publisher : Springer Science & Business Media
  • Release Date : 2013-04-04
  • Total pages : 432
  • ISBN : 9781785480836
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Summary : Risk management for financial institutions is one of the key topics the financial industry has to deal with. The present volume is a mathematically rigorous text on solvency modeling. Currently, there are many new developments in this area in the financial and insurance industry (Basel III and Solvency II), but ...

Handbook of Financial Time Series

Handbook of Financial Time Series
  • Author : Torben Gustav Andersen,Richard A. Davis,Jens-Peter Kreiß,Thomas V. Mikosch
  • Publisher : Springer Science & Business Media
  • Release Date : 2009-04-21
  • Total pages : 1050
  • ISBN : 9781785480836
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Summary : The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle....

Actuarial Theory for Dependent Risks

Actuarial Theory for Dependent Risks
  • Author : Michel Denuit,Jan Dhaene,Marc Goovaerts,Rob Kaas
  • Publisher : John Wiley & Sons
  • Release Date : 2006-05-01
  • Total pages : 458
  • ISBN : 9781785480836
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Summary : The increasing complexity of insurance and reinsurance products has seen a growing interest amongst actuaries in the modelling of dependent risks. For efficient risk management, actuaries need to be able to answer fundamental questions such as: Is the correlation structure dangerous? And, if yes, to what extent? Therefore tools to ...

Analyzing Event Statistics in Corporate Finance

Analyzing Event Statistics in Corporate Finance
  • Author : Jau-Lian Jeng
  • Publisher : Springer
  • Release Date : 2015-02-04
  • Total pages : 197
  • ISBN : 9781785480836
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Summary : Analyzing Event Statistics in Corporate Finance provides new alternative methodologies to increase accuracy when performing statistical tests for event studies within corporate finance. In contrast to conventional surveys or literature reviews, Jeng focuses on various methodological defects or deficiencies that lead to inaccurate empirical results, which ultimately produce bad corporate ...

Advances in Pacific Basin Business Economics and Finance

Advances in Pacific Basin Business  Economics and Finance
  • Author : Cheng-Few Lee,Min-Teh Yu
  • Publisher : Emerald Group Publishing
  • Release Date : 2022-03-15
  • Total pages : 240
  • ISBN : 9781785480836
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Summary : Advances in Pacific Basin Business, Economics and Finance (APBBEF) is an annual series designed to focus on interdisciplinary research in finance, economics, and management among Pacific Rim countries. All articles published are reviewed and recommended by at least two members of the editorial board....

Fundamental Aspects of Operational Risk and Insurance Analytics

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  • Author : Marcelo G. Cruz,Gareth W. Peters,Pavel V. Shevchenko
  • Publisher : John Wiley & Sons
  • Release Date : 2015-01-29
  • Total pages : 928
  • ISBN : 9781785480836
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Summary : A one-stop guide for the theories, applications, and statistical methodologies essential to operational risk Providing a complete overview of operational risk modeling and relevant insurance analytics, Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk offers a systematic approach that covers the wide range of topics ...

Actuarial Mathematics for Life Contingent Risks

Actuarial Mathematics for Life Contingent Risks
  • Author : David C. M. Dickson,Mary Hardy,Mary R. Hardy,Howard R. Waters
  • Publisher : Cambridge University Press
  • Release Date : 2013-08-12
  • Total pages : 616
  • ISBN : 9781785480836
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Summary : This groundbreaking text has been augmented with new material and fully updated to prepare students for the new-style MLC exam....

Introduction to Bayesian Estimation and Copula Models of Dependence

Introduction to Bayesian Estimation and Copula Models of Dependence
  • Author : Arkady Shemyakin,Alexander Kniazev
  • Publisher : John Wiley & Sons
  • Release Date : 2017-03-20
  • Total pages : 352
  • ISBN : 9781785480836
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Summary : Presents an introduction to Bayesian statistics, presents an emphasis on Bayesian methods (prior and posterior), Bayes estimation, prediction, MCMC,Bayesian regression, and Bayesian analysis of statistical modelsof dependence, and features a focus on copulas for risk management Introduction to Bayesian Estimation and Copula Models of Dependence emphasizes the applications of ...

Dynamic Copula Methods in Finance

Dynamic Copula Methods in Finance
  • Author : Umberto Cherubini,Sabrina Mulinacci,Fabio Gobbi,Silvia Romagnoli
  • Publisher : John Wiley & Sons
  • Release Date : 2011-11-21
  • Total pages : 288
  • ISBN : 9781785480836
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Summary : The latest tools and techniques for pricing and risk management This book introduces readers to the use of copula functions to represent the dynamics of financial assets and risk factors, integrated temporal and cross-section applications. The first part of the book will briefly introduce the standard the theory of copula ...