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E-grāmata: Statistical Methods and Applications in Insurance and Finance: CIMPA School, Marrakech and Kelaat M'gouna, Morocco, April 2013

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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.

Recenzijas

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)

Part I Finance
A Didactic Introduction to Risk Management via Hedging in Discrete and Continuous Time
3(36)
Frederi Viens
Sensitivity Analysis for Time-Inhomogeneous Levy Process: A Malliavin Calculus Approach and Numerics
39(42)
M'hamed Eddahbi
Sidi Mohamed Lalaoui Ben Cherif
Variance-GGC Asset Price Models and Their Sensitivity Analysis
81(22)
Nicolas Privault
Dichuan Yang
Decomposition of the Pricing Formula for Stochastic Volatility Models Based on Malliavin-Skorohod Type Calculus
103(24)
Josep Vives
Part II Insurance
Statistical Estimation Techniques in Life and Disability Insurance---A Short Overview
127(22)
Boualem Djehiche
Necessary and Sufficient Conditions of Optimalcontrol for Infinite Dimensional SDEs
149(24)
AbdulRahman Al-Hussein
Sufficient Conditions of Optimality for Forward-Backward Doubly SDEs with Jumps
173(20)
AbdulRahman Al-Hussein
Boulakhras Gherbal
On the Path wise Uniqueness of Solutions of One-Dimensional Stochastic Differential Equations with Jumps
193(18)
Mohsine Benabdallah
Siham Bouhadou
Youssef Ouknine
BSDE Approach for Dynkin Game and American Game Option
211
El Hassan Essaky
M. Hassani
Erratum to: Statistical Methods and Applications in Insurance and Finance
1
M'hamed Eddahbi
El Hassan Essaky
Josep Vives
Biežāk uzdotie jautājumi par e-grāmatām Biežāk uzdotie jautājumi par e-grāmatām
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