This book is theoutcome of the CIMPA School on Statistical Methods and Applications inInsurance and Finance, held in Marrakech and Kelaat M"gouna (Morocco) in April2013. It presents two lectures and seven refereed papers from the school,offering the reader important insights into key topics. The first of thelectures, by Frederic Viens, addresses risk management via hedging in discreteand continuous time, while the second, by Boualem Djehiche, reviews statisticalestimation methods applied to life and disability insurance. The refereed papersoffer diverse perspectives and extensive discussions on subjects includingoptimal control, financial modeling using stochastic differential equations,pricing and hedging of financial derivatives, and sensitivity analysis. Eachchapter of the volume includes a comprehensive bibliography to promote furtherresearch.
1 FrederiViens: A didactic introduction to risk management via hedging in discrete andcontinuous time.- 2 M"hamed Eddahbi and Sidi Mohamed Lalaoui Ben Cherif: Sensitivityanalysis for time-inhomogeneous L evy process: A Malliavin calculus approach andnumeric.- 3 Nicolas Privault and Dichuan Yang: Variance-GGCasset price models and their sensitivity analysis.- 4 JosepVives: Decompositionof the pricing formula for stochastic volatility models based on Malliavin-Skorohodtype calculus.- 5 Boualem Djehiche: Statistical estimation techniques in life and disabilityinsurance -A short overview.- 6 AbdulRahman Al-Hussein: Necessary and sufficient conditions of optimal controlfor infinite dimensional SDEs.- 7 AbdulRahman Al-Hussein andBoulakhras Gherbal: Sufficientconditions of optimality for forward-backward doubly SDEs with jumps.- 8 MohsineBenabdallah, Siham Bouhadou, Youssef Ouknine: On the pathwise uniqueness ofsolutions of one-dimensional stochastic differential equations
with jumps.- 9 E. H.Essaky and M. Hassani: BSDEApproach for Dynkin Game and American Game Option.
