Statistical methods and applications in insurance and finance [electronic resource] : CIMPA School, Marrakech and El Kelaa M'gouna, Morocco, April 2013 / M'hamed Eddahbi, El Hassan Essaky, Josep Vives, editors.
Eddahbi, M'hamed, editor.; Essaky, El Hassan, editor.; Vives, Josep, editor.; CIMPA-UNESCO-MESR-MINECO-MOROCCO Research School "Statistical Methods and Applications in FInance and Actuarial Science" (2013 : Marrakech, Kelaat M'gouna, Morocco)
2016
HG8781
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Title Statistical methods and applications in insurance and finance [electronic resource] : CIMPA School, Marrakech and El Kelaa M'gouna, Morocco, April 2013 / M'hamed Eddahbi, El Hassan Essaky, Josep Vives, editors.
ISBN 9783319304175 (electronic book)
3319304178 (electronic book)
9783319304168
331930416X
DOI https://doi.org/10.1007/978-3-319-30417-5
Published Switzerland : Springer, 2016.
Language English
Description 1 online resource (viii, 225 pages) : illustrations.
Other Standard Identifiers 10.1007/978-3-319-30417-5 doi
Call Number HG8781
Dewey Decimal Classification 368.0072/7
Summary 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.
Access Note Access limited to authorized users.
Source of Description Online resource; title from PDF title page (SpringerLink, viewed April 13, 2016).
Added Author Eddahbi, M'hamed, editor.
Essaky, El Hassan, editor.
Vives, Josep, editor.
Added Meeting Name CIMPA-UNESCO-MESR-MINECO-MOROCCO Research School "Statistical Methods and Applications in FInance and Actuarial Science" (2013 : Marrakech, Kelaat M'gouna, Morocco)
Series Springer proceedings in mathematics & statistics ; v. 158.
Available in Other Form Print version: 9783319304168
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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 Ĺevy 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.

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