Statistical Inference in Financial and Insurance Mathematics with R - 1st Edition - ISBN: 9781785480836, 9780081012611

Statistical Inference in Financial and Insurance Mathematics with R

1st Edition

Authors: Alexandre Brouste
eBook ISBN: 9780081012611
Hardcover ISBN: 9781785480836
Imprint: ISTE Press - Elsevier
Published Date: 22nd November 2017
Page Count: 202
Sales tax will be calculated at check-out Price includes VAT/GST
15% off
15% off
15% off
15% off
15% off
15% off
15% off
15% off
15% off
15% off
15% off
15% off
15% off
15% off
15% off
100.00
85.00
85.00
85.00
85.00
85.00
71.95
61.16
61.16
61.16
61.16
61.16
60.99
51.84
51.84
51.84
51.84
51.84
Unavailable
Price includes VAT/GST
× DRM-Free

Easy - Download and start reading immediately. There’s no activation process to access eBooks; all eBooks are fully searchable, and enabled for copying, pasting, and printing.

Flexible - Read on multiple operating systems and devices. Easily read eBooks on smart phones, computers, or any eBook readers, including Kindle.

Open - Buy once, receive and download all available eBook formats, including PDF, EPUB, and Mobi (for Kindle).

Institutional Access

Secure Checkout

Personal information is secured with SSL technology.

Free Shipping

Free global shipping
No minimum order.

Description

Finance and insurance companies are facing a wide range of parametric statistical problems. Statistical experiments generated by a sample of independent and identically distributed random variables are frequent and well understood, especially those consisting of probability measures of an exponential type. However, the aforementioned applications also offer non-classical experiments implying observation samples of independent but not identically distributed random variables or even dependent random variables.

Three examples of such experiments are treated in this book. First, the Generalized Linear Models are studied. They extend the standard regression model to non-Gaussian distributions. Statistical experiments with Markov chains are considered next. Finally, various statistical experiments generated by fractional Gaussian noise are also described.

In this book, asymptotic properties of several sequences of estimators are detailed. The notion of asymptotical efficiency is discussed for the different statistical experiments considered in order to give the proper sense of estimation risk. Eighty examples and computations with R software are given throughout the text.

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
eBook ISBN:
9780081012611
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

Ratings and Reviews