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Actuarial Sciences and Quantitative Finance [electronic resource] : ICASQF2016, Cartagena, Colombia, June 2016 / edited by Jaime A. Londoño, José Garrido, Monique Jeanblanc.

Contributor(s): Londoño, Jaime A [editor.] | Garrido, José [editor.] | Jeanblanc, Monique [editor.] | SpringerLink (Online service).
Material type: TextTextSeries: Springer Proceedings in Mathematics & Statistics: 214Publisher: Cham : Springer International Publishing : Imprint: Springer, 2017Description: IX, 174 p. 50 illus., 42 illus. in color. online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9783319665368.Subject(s): Finance | Statistics | Actuarial Sciences | Quantitative Finance | Statistics for Business/Economics/Mathematical Finance/InsuranceAdditional physical formats: Printed edition:: No title; Printed edition:: No title; Printed edition:: No titleDDC classification: 368.01 Online resources: Click here to access online
Contents:
Part I: Actuarial Sciences -- Robust paradigm applied to parameter reduction in actuarial triangle models -- Unlocking reserve assumptions using retrospective analysis -- Spatial Statistical tools to assess mortality differences in Europe -- Stochastic control for insurance: Models, Strategies and Numerics -- Stochastic control for insurance: new problems and methods -- Part II: Quantitative Finance -- Bermudan option valuation under state-department models -- Option-Implied Objective Measures of Market Risk with Leverage -- The Sustainable Black-Scholes Equations -- Author Index.
In: Springer eBooksSummary: Developed from the Second International Congress on Actuarial Science and Quantitative Finance, this volume showcases the latest progress in all theoretical and empirical aspects of actuarial science and quantitative finance. Held at the Universidad de Cartagena in Cartegena, Colombia in June 2016, the conference emphasized relations between industry and academia and provided a platform for practitioners to discuss problems arising from the financial and insurance industries in the Andean and Caribbean regions. Based on invited lectures as well as carefully selected papers, these proceedings address topics such as statistical techniques in finance and actuarial science, portfolio management, risk theory, derivative valuation and economics of insurance.
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Part I: Actuarial Sciences -- Robust paradigm applied to parameter reduction in actuarial triangle models -- Unlocking reserve assumptions using retrospective analysis -- Spatial Statistical tools to assess mortality differences in Europe -- Stochastic control for insurance: Models, Strategies and Numerics -- Stochastic control for insurance: new problems and methods -- Part II: Quantitative Finance -- Bermudan option valuation under state-department models -- Option-Implied Objective Measures of Market Risk with Leverage -- The Sustainable Black-Scholes Equations -- Author Index.

Developed from the Second International Congress on Actuarial Science and Quantitative Finance, this volume showcases the latest progress in all theoretical and empirical aspects of actuarial science and quantitative finance. Held at the Universidad de Cartagena in Cartegena, Colombia in June 2016, the conference emphasized relations between industry and academia and provided a platform for practitioners to discuss problems arising from the financial and insurance industries in the Andean and Caribbean regions. Based on invited lectures as well as carefully selected papers, these proceedings address topics such as statistical techniques in finance and actuarial science, portfolio management, risk theory, derivative valuation and economics of insurance.

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