This book is the outcome of the CIMPA School on Statistical Methods and Applications in Insurance and Finance, held in Marrakech and Kelaat M'gouna (Morocco) in April 2013. It presents two lectures and seven refereed papers from the school, offering the reader important insights into key topics. The first of the lectures, by Frederic Viens, addresses risk management via hedging in discrete and continuous time, while the second, by Boualem Djehiche, reviews statistical estimation methods applied to life and disability insurance. The refereed papers offer diverse perspectives and extensive discussions on subjects including optimal control, financial modeling using stochastic differential equations, pricing and hedging of financial derivatives, and sensitivity analysis. Each chapter of the volume includes a comprehensive bibliography to promote further research.

The interaction between mathematicians and statisticians reveals to be an effective approach to the analysis of insurance and financial problems, in particular in an operative perspective. The Maf2006 conference, held at the University of Salerno in 2006, had precisely this purpose and the collection published here gathers some of the papers presented at the conference and successively worked out to this aim. They cover a wide variety of subjects in insurance and financial fields.

Suitable for statisticians, mathematicians, actuaries, and students interested in the problems of insurance and analysis of lifetimes, Statistical Methods with Applications to Demography and Life Insurance presents contemporary statistical techniques for analyzing life distributions and life insurance problems. It not only contains traditional material but also incorporates new problems and techniques not discussed in existing actuarial literature. The book mainly focuses on the analysis of an individual life and describes statistical methods based on empirical and related processes. Coverage ranges from analyzing the tails of distributions of lifetimes to modeling population dynamics with migrations. To help readers understand the technical points, the text covers topics such as the Stieltjes, Wiener, and Itô integrals. It also introduces other themes of interest in demography, including mixtures of distributions, analysis of longevity and extreme value theory, and the age structure of a population. In addition, the author discusses net premiums for various insurance policies. Mathematical statements are carefully and clearly formulated and proved while avoiding excessive technicalities as much as possible. The book illustrates how these statements help solve numerous statistical problems. It also includes more than 70 exercises.

Written in an accessible and engaging style, this self-instructional book makes a good use of extensive examples and full explanations. The electronic edition, allowing the reader to run, modify, and enhance all quantlets on the spot, can be downloaded at no cost via the attached license registration card.

This is a self-contained introduction to parametric modeling, exploratory analysis and statistical interference for extreme values, as used in disciplines from hydrology to finance to environmental science. Updated and expanded by 100 pages.

Inspired by the Encyclopedia of Statistical Sciences, Second Edition, this volume presents the tools and techniques that are essential for carrying out best practices in the modern business world The collection and analysis of quantitative data drives some of the most important conclusions that are drawn in today's business world, such as the preferences of a customer base, the quality of manufactured products, the marketing of products, and the availability of financial resources. As a result, it is essential for individuals working in this environment to have the knowledge and skills to interpret and use statistical techniques in various scenarios. Addressing this need, Methods and Applications of Statistics in Business, Finance, and Management Science serves as a single, one-of-a-kind resource that guides readers through the use of common statistical practices by presenting real-world applications from the fields of business, economics, finance, operations research, and management science. Uniting established literature with the latest research, this volume features classic articles from the acclaimed Encyclopedia of Statistical Sciences, Second Edition along with brand-new contributions written by today's leading academics and practitioners. The result is a compilation that explores classic methodology and new topics, including: Analytical methods for risk management Statistical modeling for online auctions Ranking and selection in mutual funds Uses of Black-Scholes formula in finance Data mining in prediction markets From auditing and marketing to stock market price indices and banking, the presented literature sheds light on the use of quantitative methods in research relating to common financial applications. In addition, the book supplies insight on common uses of statistical techniques such as Bayesian methods, optimization, simulation, forecasting, mathematical modeling, financial time series, and data mining in modern research. Providing a blend of traditional methodology and the latest research, Methods and Applications of Statistics in Business, Finance, and Management Science is an excellent reference for researchers, managers, consultants, and students in the fields of business, management science, operations research, supply chain management, mathematical finance, and economics who must understand statistical literature and carry out quantitative practices to make smart business decisions in their everyday work.

The idea of writing this bookarosein 2000when the ?rst author wasassigned to teach the required course STATS 240 (Statistical Methods in Finance) in the new M. S. program in ?nancial mathematics at Stanford, which is an interdisciplinary program that aims to provide a master’s-level education in applied mathematics, statistics, computing, ?nance, and economics. Students in the programhad di?erent backgroundsin statistics. Some had only taken a basic course in statistical inference, while others had taken a broad spectrum of M. S. - and Ph. D. -level statistics courses. On the other hand, all of them had already taken required core courses in investment theory and derivative pricing, and STATS 240 was supposed to link the theory and pricing formulas to real-world data and pricing or investment strategies. Besides students in theprogram,thecoursealso attractedmanystudentsfromother departments in the university, further increasing the heterogeneity of students, as many of them had a strong background in mathematical and statistical modeling from the mathematical, physical, and engineering sciences but no previous experience in ?nance. To address the diversity in background but common strong interest in the subject and in a potential career as a “quant” in the ?nancialindustry,thecoursematerialwascarefullychosennotonlytopresent basic statistical methods of importance to quantitative ?nance but also to summarize domain knowledge in ?nance and show how it can be combined with statistical modeling in ?nancial analysis and decision making. The course material evolved over the years, especially after the second author helped as the head TA during the years 2004 and 2005.

Understand Up-to-Date Statistical Techniques for Financial and Actuarial Applications Since the first edition was published, statistical techniques, such as reliability measurement, simulation, regression, and Markov chain modeling, have become more prominent in the financial and actuarial industries. Consequently, practitioners and students must acquire strong mathematical and statistical backgrounds in order to have successful careers. Financial and Actuarial Statistics: An Introduction, Second Edition enables readers to obtain the necessary mathematical and statistical background. It also advances the application and theory of statistics in modern financial and actuarial modeling. Like its predecessor, this second edition considers financial and actuarial modeling from a statistical point of view while adding a substantial amount of new material. New to the Second Edition Nomenclature and notations standard to the actuarial field Excel exercises with solutions, which demonstrate how to use Excel functions for statistical and actuarial computations Problems dealing with standard probability and statistics theory, along with detailed equation links A chapter on Markov chains and actuarial applications Expanded discussions of simulation techniques and applications, such as investment pricing Sections on the maximum likelihood approach to parameter estimation as well as asymptotic applications Discussions of diagnostic procedures for nonnegative random variables and Pareto, lognormal, Weibull, and left truncated distributions Expanded material on surplus models and ruin computations Discussions of nonparametric prediction intervals, option pricing diagnostics, variance of the loss function associated with standard actuarial models, and Gompertz and Makeham distributions Sections on the concept of actuarial statistics for a collection of stochastic status models The book presents a unified approach to both financial and actuarial modeling through the use of general status structures. The authors define future time-dependent financial actions in terms of a status structure that may be either deterministic or stochastic. They show how deterministic status structures lead to classical interest and annuity models, investment pricing models, and aggregate claim models. They also employ stochastic status structures to develop financial and actuarial models, such as surplus models, life insurance, and life annuity models.

Because of its potential to ...predict the unpredictable,... extreme value theory (EVT) and methodology is currently receiving a great deal of attention from statistical and mathematical researchers. This book brings together world-recognized authorities in their respective fields to provide expository chapters on the applications, use, and theory

This book teaches multiple regression and time series and how to use these to analyze real data in risk management and finance.