Overview

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. 

Full Product Details

Author:   M'hamed Eddahbi ,  El Hassan Essaky ,  Josep Vives
Publisher:   Springer International Publishing AG
Imprint:   Springer International Publishing AG
Edition:   Softcover reprint of the original 1st ed. 2016
Volume:   158
Dimensions:   Width: 15.50cm , Height: 1.30cm , Length: 23.50cm
Weight:   3.693kg
ISBN:  

9783319808048

ISBN 10:   3319808044
Pages:   225
Publication Date:   22 April 2018
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand  
We will order this item for you from a manufactured on demand supplier.

Table of 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 withjumps.- 9 E. H. Essaky and M. Hassani: BSDE Approach for Dynkin Game and American Game Option.

Reviews

“The book will be equally attractive to graduate students, practitioners and researchers in the vast fields insurance and finance. … the book has a good collection of research work on important and interesting topics in insurance and finance. Researchers and professionals looking to learn more in insurance, finance and related areas would benefit from papers collected in this book. The content in most of these chapters has proved to be an enjoyable read … .” (S. Ejaz Ahmed, Technometrics, Vol. 58, November, 2016)

The book will be equally attractive to graduate students, practitioners and researchers in the vast fields insurance and finance. ... the book has a good collection of research work on important and interesting topics in insurance and finance. Researchers and professionals looking to learn more in insurance, finance and related areas would benefit from papers collected in this book. The content in most of these chapters has proved to be an enjoyable read ... . (S. Ejaz Ahmed, Technometrics, Vol. 58, November, 2016)

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