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Statistical Methods and Applications in Insurance and Finance [electronic resource] : CIMPA School, Marrakech and Kelaat M’gouna, Morocco, April 2013 / edited by M'hamed Eddahbi, El Hassan Essaky, Josep Vives.

Contributor(s): Eddahbi, M'hamed [editor.] | Essaky, El Hassan [editor.] | Vives, Josep [editor.] | SpringerLink (Online service).
Material type: TextTextSeries: Springer Proceedings in Mathematics & Statistics: 158Publisher: Cham : Springer International Publishing : Imprint: Springer, 2016Description: X, 225 p. 19 illus., 3 illus. in color. online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9783319304175.Subject(s): Finance | Statistics | Risk management | Insurance | Quantitative Finance | Statistics for Business/Economics/Mathematical Finance/Insurance | Risk Management | InsuranceAdditional physical formats: Printed edition:: No title; Printed edition:: No title; Printed edition:: No titleDDC classification: 519 Online resources: Click here to access online
Contents:
1 Frederi Viens: A didactic introduction to risk management via hedging in discrete and continuous time -- 2 M’hamed Eddahbi and Sidi Mohamed Lalaoui Ben Cherif: Sensitivity analysis for time–inhomogeneous L´evy process: A Malliavin calculus approach and numeric -- 3 Nicolas Privault and Dichuan Yang: Variance-GGC asset price models and their sensitivity analysis -- 4 Josep Vives: Decomposition of the pricing formula for stochastic volatility models based on Malliavin-Skorohod type calculus -- 5 Boualem Djehiche: Statistical estimation techniques in life and disability insurance -A short overview -- 6 AbdulRahman Al-Hussein: Necessary and sufficient conditions of optimal control for infinite dimensional SDEs -- 7 AbdulRahman Al-Hussein and Boulakhras Gherbal: Sufficient conditions of optimality for forward-backward doubly SDEs with jumps -- 8 Mohsine Benabdallah, Siham Bouhadou, Youssef Ouknine: On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations with jumps -- 9 E. H. Essaky and M. Hassani: BSDE Approach for Dynkin Game and American Game Option.
In: Springer eBooksSummary: 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.
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1 Frederi Viens: A didactic introduction to risk management via hedging in discrete and continuous time -- 2 M’hamed Eddahbi and Sidi Mohamed Lalaoui Ben Cherif: Sensitivity analysis for time–inhomogeneous L´evy process: A Malliavin calculus approach and numeric -- 3 Nicolas Privault and Dichuan Yang: Variance-GGC asset price models and their sensitivity analysis -- 4 Josep Vives: Decomposition of the pricing formula for stochastic volatility models based on Malliavin-Skorohod type calculus -- 5 Boualem Djehiche: Statistical estimation techniques in life and disability insurance -A short overview -- 6 AbdulRahman Al-Hussein: Necessary and sufficient conditions of optimal control for infinite dimensional SDEs -- 7 AbdulRahman Al-Hussein and Boulakhras Gherbal: Sufficient conditions of optimality for forward-backward doubly SDEs with jumps -- 8 Mohsine Benabdallah, Siham Bouhadou, Youssef Ouknine: On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations with jumps -- 9 E. H. Essaky and M. Hassani: BSDE Approach for Dynkin Game and American Game Option.

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.

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