Statistical Inference in Financial and Insurance Mathematics with R - 1st Edition - ISBN: 9781785480836

Statistical Inference in Financial and Insurance Mathematics with R

1st Edition

Authors: Alexandre Brouste
Hardcover ISBN: 9781785480836
Imprint: ISTE Press - Elsevier
Published Date: 22nd November 2017
Page Count: 202
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Description

This book examines a range of statistical inference methods in the context of finance and insurance applications, including asymptotical efficiency to give the proper notion of estimation risk, computations with the provided software R, and non-classical statistical experiments. As finance and insurance companies face a wide range of mathematical problems, and statistical experiments with independent and identically distributed samples are relatively common, this book covers topics of value to a wide group. Two examples are treated, including generalized linear models (GLM) extending to non-Gaussian samples (the standard regression method) and homogeneous Markov chains.

Key Features

  • Examines a range of statistical inference methods in the context of finance and insurance applications
  • Presents the LAN (local asymptotic normality) property of likelihoods
  • Combines the proofs of LAN property for different statistical experiments that appears in financial and insurance mathematics
  • Provides the proper description of such statistical experiments and invites readers to seek optimal estimators (performed in R) for such statistical experiments

Readership

Masters students, PHD students in the field of mathematics, finance and economics/insurance; Finance and Insurance company practitioners

Table of Contents

Part 1. Inference in Parametric Statistical Experiments
1. Statistical Experiments
2. Statistical Inference
3. Asymptotic Efficiency

Part 2. Statistical Inference for Insurance
4. Statistical Experiments in Insurance

Part 3. Statistical Inference for Finance
5. Homogeneous Diffusion Processes
6. Statistical Experiments in Finance

Details

No. of pages:
202
Language:
English
Copyright:
© ISTE Press - Elsevier 2018
Published:
Imprint:
ISTE Press - Elsevier
Hardcover ISBN:
9781785480836

About the Author

Alexandre Brouste

Alexandre Brouste is a Professor in Statistics with the Institute of Risk and Insurance at Le Mans University, France

Affiliations and Expertise

Le Mans University, France