Numerous exercises with R-code illustrate the text.
Author: Erik Bølviken
Publisher: Cambridge University Press
ISBN: 9780521830485
Category: Business & Economics
Page: 709
View: 634
This practical introduction outlines methods for analysing actuarial and financial risk at a fairly elementary mathematical level suitable for graduate students, actuaries and other analysts in the industry who could use simulation as a problem solver. Numerous exercises with R-code illustrate the text.Gong C, Wang X, Xu W, Tajer A (2013) Distributed real-time energy scheduling in
smart grid: stochastic model and fast ... In: First Brazilian conference on statistical
modelling in insurance and finance, pp 10–28 Wu D, Song H, Li M, Cai C, Li J ...
Author: Álvaro Herrero
Publisher: Springer
ISBN: 9783319197197
Category: Computers
Page: 486
View: 307
This volume of Advances in Intelligent and Soft Computing contains accepted papers presented at the 10th International Conference on Soft Computing Models in Industrial and Environmental Applications (SOCO 2015), held in the beautiful and historic city of Burgos (Spain), in June 2015. Soft computing represents a collection or set of computational techniques in machine learning, computer science and some engineering disciplines, which investigate, simulate and analyze very complex issues and phenomena. This Conference is mainly focused on its industrial and environmental applications. After a through peer-review process, the SOCO 2015 International Program Committee selected 41 papers, written by authors from 15 different countries. These papers are published in present conference proceedings, achieving an acceptance rate of 40%. The selection of papers was extremely rigorous in order to maintain the high quality of the conference and we would like to thank the members of the International Program Committees for their hard work during the review process. This is a crucial issue for creation of a high standard conference and the SOCO conference would not exist without their help.198–203. IEEE (2016) Gai, K.: A review of leveraging private cloud computing in
financial service institutions: value propositions and current ... 232, 437–448 (
2013) Elnagdy, S., Qiu, M., Gai, K.: Understanding taxonomy of cyber risks for
cybersecurity insurance of financial industry in cloud computing. ... 197–202 (
2016) Glancy, F., Yadav, S.: A computational model for financial reporting fraud
detection.
Author: Meikang Qiu
Publisher: Springer
ISBN: 9783319520155
Category: Computers
Page: 589
View: 932
This book constitutes the proceedings of the First International Conference on Smart Computing and Communication, SmartCom 2016, held in Shenzhen, China, in December 2016. The 59 papers presented in this volume were carefully reviewed and selected from 210 submissions. The conference focuses on both smart computing and communications fields and aims to collect recent academic work to improve the research and practical applications.Computational Modelling. 33. H.P. Langtangen, A. Tveito (eds.), Advanced
Topics in Computational Partial Differential Equations. Numerical Methods and
Diffpack Programming. V. John, Large Eddy Simulation of Turbulent
Incompressible ...
Author: Markus Holtz
Publisher: Springer Science & Business Media
ISBN: 3642160042
Category: Mathematics
Page: 192
View: 745
This book deals with the numerical analysis and efficient numerical treatment of high-dimensional integrals using sparse grids and other dimension-wise integration techniques with applications to finance and insurance. The book focuses on providing insights into the interplay between coordinate transformations, effective dimensions and the convergence behaviour of sparse grid methods. The techniques, derivations and algorithms are illustrated by many examples, figures and code segments. Numerical experiments with applications from finance and insurance show that the approaches presented in this book can be faster and more accurate than (quasi-) Monte Carlo methods, even for integrands with hundreds of dimensions.In particular , at the end of this Chapter , we will discuss the risks involved in
portfolio insurance , using these hedging instruments . Portfolio insurance is not
based on an exact model , but is based on a Taylor series approximation , as ...
Author: Cornelis A. Los
Publisher: World Scientific
ISBN: 9810244975
Category: Computers
Page: 336
View: 347
Computational finance deals with the mathematics of computer programs that realize financial models or systems. This book outlines the epistemic risks associated with the current valuations of different financial instruments and discusses the corresponding risk management strategies. It covers most of the research and practical areas in computational finance. Starting from traditional fundamental analysis and using algebraic and geometric tools, it is guided by the logic of science to explore information from financial data without prejudice. In fact, this book has the unique feature that it is structured around the simple requirement of objective science: the geometric structure of the data = the information contained in the data.One of the key problems in insurance theory is to determine the insurance
premium. When determining the premium, the insurer adopts proper premium
computational models. If the premium is on the high side, which makes the
insurer gain ...
Author: Desheng Dash Wu
Publisher: Springer Science & Business Media
ISBN: 3642193390
Category: Business & Economics
Page: 338
View: 513
The bulk of this volume deals with the four main aspects of risk management: market risk, credit risk, risk management - in macro-economy as well as within companies. It presents a number of approaches and case studies directed at applying risk management to diverse business environments. Included are traditional market and credit risk management models such as the Black-Scholes Option Pricing Model, the Vasicek Model, Factor models, CAPM models, GARCH models, KMV models and credit scoring models.We think that computational models will play an expanding role for
understanding financial stability and systemic risk. REFERENCES Abad, J. ...
Federal Reserve Involvement in Insurance Industry Capital Standards. Technical
report.
Author: Cars Hommes
Publisher: Elsevier
ISBN: 9780444641328
Category: Business & Economics
Page: 834
View: 192
Handbook of Computational Economics: Heterogeneous Agent Modeling, Volume Four, focuses on heterogeneous agent models, emphasizing recent advances in macroeconomics (including DSGE), finance, empirical validation and experiments, networks and related applications. Capturing the advances made since the publication of Volume Two (Tesfatsion & Judd, 2006), it provides high-level literature with sections devoted to Macroeconomics, Finance, Empirical Validation and Experiments, Networks, and other applications, including Innovation Diffusion in Heterogeneous Populations, Market Design and Electricity Markets, and a final section on Perspectives on Heterogeneity. Helps readers fully understand the dynamic properties of realistically rendered economic systems Emphasizes detailed specifications of structural conditions, institutional arrangements and behavioral dispositions Provides broad assessments that can lead researchers to recognize new synergies and opportunitiesStyle analysis models aim to decompose the performance of a financial portfolio
with respect to a set known indexes. ... All computation and graphics were done
in the R language (www.r-project.org) [R07] using the basic packages and the ...
Author: Cira Perna
Publisher: Springer Science & Business Media
ISBN: 8847007046
Category: Business & Economics
Page: 208
View: 778
The interaction between mathematicians and statisticians reveals to be an effective approach to the analysis of insurance and financial problems, in particular in an operative perspective. The Maf2006 conference, held at the University of Salerno in 2006, had precisely this purpose and the collection published here gathers some of the papers presented at the conference and successively worked out to this aim. They cover a wide variety of subjects in insurance and financial fields.The Granularity Principle The recent financial crisis has heightened the need for
appropriate methodologies to control and regulate ... Efficient simulation-based
techniques for computing risk measures, estimating model parameters, ix Preface
.
Author: Patrick Gagliardini
Publisher: Cambridge University Press
ISBN: 9781107070837
Category: Business & Economics
Page: 186
View: 300
This book provides the first comprehensive overview of the granularity theory and its usefulness for risk analysis, statistical estimation, and derivative pricing.Financial. Computational. Models. Financial or actuarial models are used to
quantify and analyze future financial actions. ... Examples of stochastic financial
actions include the payment of a benefit associated with an insurance policy at
the ...
Author: Dale S. Borowiak
Publisher: CRC Press
ISBN: 9780203911242
Category: Business & Economics
Page: 392
View: 681
Understand Up-to-Date Statistical Techniques for Financial and Actuarial ApplicationsSince the first edition was published, statistical techniques, such as reliability measurement, simulation, regression, and Markov chain modeling, have become more prominent in the financial and actuarial industries. Consequently, practitioners and students must acCOMPUTING. MODELS. OF. SOCIAL. SECURITY. Ayse imrohoroglu, Selahattin
imrohoroglu, and Douglas H. Joines1 10.1 Introduction In the ... questions
concerning social security, which provides partial insurance against this risk in
the absence of private annuity markets. ... overlapping generations models.2 'The
authors' correspondence address is Department of Finance and Business
Economics, ...
Author: Ramon Marimon
Publisher: OUP Oxford
ISBN: 9780191522390
Category: Business & Economics
Page: 292
View: 871
Macroeconomics increasingly uses stochastic dynamic general equilibrium models to understand theoretical and policy issues. Unless very strong assumptions are made, understanding the properties of particular models requires solving the model using a computer. This volume brings together leading contributors in the field who explain in detail how to implement the computational techniques needed to solve dynamic economics models. A broad spread of techniques are covered, and their application in a wide range of subjects discussed. The book provides the basics of a toolkit which researchers and graduate students can use to solve and analyse their own theoretical models.Financial Mathematics Series Aims and scope: The field of financial mathematics
forms an ever-expanding slice of the financial sector. ... Valuation and
Computation, Jerome Detemple Analysis, Geometry, and Modeling in Finance:
Advanced Methods in Option Pricing, ... Edition, Damien Lamberton and Bernard
Lapeyre Monte Carlo Methods and Models in Finance and Insurance, Ralf Korn,
Elke Korn, ...
Author: Nicolas Privault
Publisher: CRC Press
ISBN: 9781466594036
Category: Business & Economics
Page: 441
View: 273
Stochastic Finance: An Introduction with Market Examples presents an introduction to pricing and hedging in discrete and continuous time financial models without friction, emphasizing the complementarity of analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics ofHALLMARKS OF THE NEW AUTOMATION MODEL Client / Server Technology
This is the technology footing that powers the new ... Client / server is a system in
which most of the active computing , or processing , can be done on " clients ” —
inexpensive but powerful personal computer workstations . ... A client / server
system thus can support a sizable insurance company ' s processing
environment .
Author: Jessica Keyes
Publisher: CRC Press
ISBN: 0849399815
Category: Computers
Page: 752
View: 951
The calculus of IT support for the banking, securities and insurance industries has changed dramatically and rapidly over the past few years. Unheard of just a few years ago, corporate intranets are now used for everything from job postings to enhanced team communications. Whole new departments are being created to support e-commerce. And the Internet/Intranet/Extranet triple-whammy is the most critical component of most financial IT shops. At the same time, new intelligent agents stand ready to take on such diverse functions as customer profiling and data mining. Get a handle on all these new and newer ripples with Handbook of Technology in Financial Services. Here, in this exhaustive new guide and reference book, industry guru Jessica Keyes gives you the no-nonsense scoop on not just the tried and true IT tools of today, but also the up-and-coming "hot" technologies of tomorrow, and how to plan for them. Keyes gives you extensive, example-driven explanations of such topics as: digital check imaging and Internet-based billing e-commerce and Internet banking portfolio management systems for the 21st century GIS technology in financial services and much more. Focusing on problems from both a technology perspective and a business perspective, the Handbook also addresses challenges and solutions associated with: supporting the self-service revolution by servicing kiosks and ATMs efficiently and economically straight-through processing for the securities industry outsourcing business communications in the insurance industry distributed integration as a cost-effective alternative to data warehousing and putting inbound fax automation to work in financial organizations. Packed with real-world case-studies and practical solutions to problems confronting financial services IT managers every day of the week, Handbook of Technology in Financial Services covers everything from system security to IT support for the Web marketing of financial services. In short, it is a compendium of essential information no professional can afford to be without.The results are compared with that based on the lognormal and stable Paretian
models proposed by Klein ( 1993 ) . ... and to account for some form of their
randomness , in the process of long - term modeling of an insurance enterprise ,
one can hardly argue that such a consensus is formed concerning ... Many other
processes have been put forth in this very active area of modern mathematical
finance .
Author: L. C. Jain
Publisher: World Scientific
ISBN: 9812794247
Category: Business & Economics
Page: 688
View: 605
This book presents recent advances in the theory and implementation of intelligent and other computational techniques in the insurance industry. The paradigms covered encompass artificial neural networks and fuzzy systems, including clustering versions, optimization and resampling methods, algebraic and Bayesian models, decision trees and regression splines. Thus, the focus is not just on intelligent techniques, although these constitute a major component; the book also deals with other current computational paradigms that are likely to impact on the industry. The application areas include asset allocation, asset and liability management, cash-flow analysis, claim costs, classification, fraud detection, insolvency, investments, loss distributions, marketing, pricing and premiums, rate-making, retention, survival analysis, and underwriting. Contents: Insurance Applications of Neural Networks, Fuzzy Logic, and Genetic Algorithms; Practical Applications of Neural Networks in Property and Casualty Insurance; An Integrated Data Mining Approach to Premium Pricing for the Automobile Insurance Industry; Population Risk Management: Reducing Costs and Managing Risk in Health Insurance; Using Neural Networks to Predict in the Marketplace; Merging Soft Computing Technologies in Insurance-Related Applications; Robustness in Bayesian Models for BonusOCoMalus Systems; Using Data Mining for Modeling Insurance Risk and Comparison of Data Mining and Linear Modeling Approaches; System Intelligence and Active Stock Trading; The Algebra of Cash Flows: Theory and Application; and other papers. Readership: Graduate students, academics, researchers and practitioners involved with actuarial science, insurance, statistics and management science."DePril, N. (1986), “On the Exact Computation of the Aggregate Claims
Distribution in the Individual Life Model,” ASTIN ... Embrechts, P., Kluppelberg, C.,
and Mikosch, T. (1997), Modelling Extremal Events for Insurance and Finance,
Berlin: ...
Author: Stuart A. Klugman
Publisher: John Wiley & Sons
ISBN: 9781118573747
Category: Business & Economics
Page: 368
View: 696
An essential resource for constructing and analyzing advanced actuarial models Loss Models: Further Topics presents extended coverage of modeling through the use of tools related to risk theory, loss distributions, and survival models. The book uses these methods to construct and evaluate actuarial models in the fields of insurance and business. Providing an advanced study of actuarial methods, the book features extended discussions of risk modeling and risk measures, including Tail-Value-at-Risk. Loss Models: Further Topics contains additional material to accompany the Fourth Edition of Loss Models: From Data to Decisions, such as: Extreme value distributions Coxian and related distributions Mixed Erlang distributions Computational and analytical methods for aggregate claim models Counting processes Compound distributions with time-dependent claim amounts Copula models Continuous time ruin models Interpolation and smoothing The book is an essential reference for practicing actuaries and actuarial researchers who want to go beyond the material required for actuarial qualification. Loss Models: Further Topics is also an excellent resource for graduate students in the actuarial field.The series is devoted to the publication of high-level monographs and surveys which cover the whole spectrum of probability and statistics. The books of the series are addressed to both experts and advanced students.
Author: Vladimir E. Bening
Publisher: Walter de Gruyter
ISBN: 9783110936018
Category: Mathematics
Page: 453
View: 263
The series is devoted to the publication of high-level monographs and surveys which cover the whole spectrum of probability and statistics. The books of the series are addressed to both experts and advanced students.ROLSKI, SCHMIDLI, SCHMIDT, and TEUGELS - Stochastic Processes for
Insurance and Finance ROSENBERGER and ... Computation, and Application
SCHOTT - Matrix Analysis for Statistics SCHOUTENS - Levy Processes in
Finance: ...
Author: D. N. Prabhakar Murthy
Publisher: John Wiley & Sons
ISBN: 0471473278
Category: Mathematics
Page: 408
View: 287
A comprehensive perspective on Weibull models The literature on Weibull models is vast, disjointed, andscattered across many different journals. Weibull Models is acomprehensive guide that integrates all the different facets ofWeibull models in a single volume. This book will be of great help to practitioners in reliabilityand other disciplines in the context of modeling data sets usingWeibull models. For researchers interested in these modelingtechniques, exercises at the end of each chapter define potentialtopics for future research. Organized into seven distinct parts, Weibull Models: Covers model analysis, parameter estimation, model validation,and application Serves as both a handbook and a research monograph. As ahandbook, it classifies the different models and presents theirproperties. As a research monograph, it unifies the literature andpresents the results in an integrated manner Intertwines theory and application Focuses on model identification prior to model parameterestimation Discusses the usefulness of the Weibull Probability plot (WPP)in the model selection to model a given data set Highlights the use of Weibull models in reliability theory Filled with in-depth analysis, Weibull Models pulls together themost relevant information on this topic to give everyone fromreliability engineers to applied statisticians involved withreliability and survival analysis a clear look at what Weibullmodels can offer.Bayesian Statistical Models for Financial Audits Karl Heiner State University of
New York at New Paltz , USA ... 2 Introduction Large medical insurers ( e.g.
private insurance companies , state and federal governments ) depend on
statistical ...
Author: Janet Carne
Publisher: Imperial College Press
ISBN: 184816131X
Category: Computers
Page: 436
View: 885
This volume consists of papers delivered at the International Mathematica Symposium 2003 OCo an interdisciplinary meeting bringing together users of Mathematica in research and education. It gathers research papers, reports on classroom practice, reports on the use of Mathematica in industry and commerce, and descriptions of fresh applications. List of contributors: J Nash, S Wolfram, R Maeder, B Buchberger and C McTague. Contents: Algebraic Computation; Applied Mathematics; Education; Physics; Pure Mathematics; Statistics and Probability; Visualisation; Miscellaneous. Readership: Users of Mathematica for research, education and industry; developers of Mathematica applications; users of symbolic computation methods."The first volume presented two papers reflecting important advances in actuarial solvency theory. The current volume goes beyond the actuarial approach to encom pass papers applying the insights and techniques of financial economics.
Author: J. David Cummins
Publisher: Springer Science & Business Media
ISBN: 0792390180
Category: Business & Economics
Page: 363
View: 550
The First International Conference on Insurance Solvency was held at the Wharton School, University of Pennsylvania from June 18th through June 20th, 1986. The conference was the inaugural event for Wharton's Center for Research on Risk and Insurance. In atten dance were thirty-nine representatives from Australia, Canada, France, Germany, Israel, the United Kingdom, and the United States. The papers presented at the Conference are published in two volumes, this book and a companion volume, Classical Insurance Solvency Theory, J. D. Cummins and R. A. Derrig, eds. (Norwell, MA: Kluwer Academic Publishers, 1988). The first volume presented two papers reflecting important advances in actuarial solvency theory. The current volume goes beyond the actuarial approach to encom pass papers applying the insights and techniques of financial economics. The papers fall into two groups. The first group con sists of papers that adopt an essentially actuarial or statistical ap proach to solvency modelling. These papers represent methodology advances over prior efforts at operational modelling of insurance companies. The emphasis is on cash flow analysis and many of the models incorporate investment income, inflation, taxation, and other economic variables. The papers in second group bring financial economics to bear on various aspects of solvency analysis. These papers discuss insurance applications of asset pricing models, capital structure theory, and the economic theory of agency.... and business applications such as climate modelling, astrophysics,
international finance and insurance [1, 2, 3, 12, 19]. A grid workflow normally
contains many computation or data intensive activities and the dependencies
between them [3, ...
Author: Hai Zhuge
Publisher: Springer Science & Business Media
ISBN: 3540305106
Category: Computers
Page: 1203
View: 741
This volume presents the accepted papers for the 4th International Conference onGridandCooperativeComputing(GCC2005),heldinBeijing,China,during November 30 – December 3, 2005.The conferenceseries of GCC aims to provide an international forum for the presentation and discussion of research trends on the theory, method, and design of Grid and cooperative computing as well as their scienti?c, engineering and commercial applications. It has become a major annual event in this area. The First International Conference on Grid and Cooperative Computing (GCC2002)received168submissions.GCC2003received550submissions,from which 176 regular papers and 173 short papers were accepted. The acceptance rate of regular papers was 32%, and the total acceptance rate was 64%. GCC 2004 received 427 main-conference submissions and 154 workshop submissions. The main conference accepted 96 regular papers and 62 short papers. The - ceptance rate of the regular papers was 23%. The total acceptance rate of the main conference was 37%. For this conference, we received 576 submissions. Each was reviewed by two independent members of the International Program Committee. After carefully evaluating their originality and quality, we accepted 57 regular papers and 84 short papers. The acceptance rate of regular papers was 10%. The total acc- tance rate was 25%.