Statistical Tools in Finance and Insurance

- Finance: Stable Distributions in Finance
- Tail Dependence
- Fuzzy Identification Model
- Implied Trinomial Tress
- Nonparametric Productivity Analysis
- The Exact LR Test of the Scale in the Gamma Family
- Pricing of Catastrophe (CAT) Bonds
- Extreme Value Theory - Modeling and Financial Applications
- Long Memory for VOLA Surfaces
- Correlated Asset Risks and Option Pricing. Insurance: Loss Distributions
- Visualization of the Risk Process
- Approximation of Ruin Probability
- Deductibles
- Net Premiums
- Premium Calculation in the Collective Risk Model Framework under Different Models of Dependent Claims
- Stable Levy Motion Approximation in Collective Risk Theory
- Diffusion Approximation in Risk Theory.

Wolfgang Härdle is a professor of statistics at the Humboldt-Universität zu Berlin and director of C.A.S.E. the Centre for Applied Statistics and Economics. He teaches quantitative finance and semiparametric statistical methods. His research focuses on dynamic factor models, multivariate statistics in finance and computational statistics. He is an elected ISI member and advisor to the Guanghua School of Management, Peking University and to National Central University, Taiwan.

From the reviews of the first edition:"This book is designed for students, researchers and practitioners who want to be introduced to modern statistical tools applied in finance and insurance. ... The text is comprehensible for a graduate student in financial engineering as well as for an inexperienced newcomer to quantitative finance and insurance who wants to get a grip on advanced statistical tools applied in these fields. An experienced reader ... will hopefully enjoy the various computational tools." (Edward M. Psyadlo, Zentralblatt MATH, Vol. 1078, 2006)"The book under review provides a comprehensive collection of articles on modern quantitative analysis in finance and insurance. In particular ... use of formulas and its illustrative examples are attractive to the intended audience." (Dr. Mathias Fischer, Statistical Papers, Vol. 48, 2006)"The present book, written by Wolfgang Härdle and some of his collaborators, is a welcome addition to the literature in this area. ... The book covers a wide range of topical and useful ground. It has plenty of data analysis, plenty of graphics and plenty of references, most of them recent standard texts or recent research contributions or reprints. It will certainly be useful for its intended audience and is worth having for the range of topics and the references alone." (N. H. Bingham, Significance, Vol. 3 (3), 2006)"This book offers a unique combination of topics from which every market analyst and risk manager will benefit. ... the book does not only offers practitioners insight into new methods for their applications, but it also gives theoreticians insight into the applicability of the stochastic technology. ... Written in an accessible and engaging style, this self-instructional book makes a good use of extensive examples and full explanations. The design of the text links theory and computational tools in an innovative way." (Zeitschrift für die gesamte Versicherungswissenschaft, Issue 1, 2006)