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Statistical inference in financial a...

Brouste, Alexandre,

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Statistical inference in financial and insurance mathematics with R /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Statistical inference in financial and insurance mathematics with R // Alexandre Brouste.
作者:	Brouste, Alexandre,
面頁冊數:	1 online resource
標題:	Finance - Mathematical models. -
電子資源:	https://www.sciencedirect.com/science/book/9781785480836
ISBN:	9780081012611

Statistical inference in financial and insurance mathematics with R /
Brouste, Alexandre,

Statistical inference in financial and insurance mathematics with R /Alexandre Brouste. - 1 online resource - Optimization in insurance and finance set. - Optimization in insurance and finance set..

Includes bibliographical references and index.

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.

ISBN: 9780081012611Subjects--Topical Terms:

578740
Finance
--Mathematical models.Index Terms--Genre/Form:

542853
Electronic books.

LC Class. No.: HG106

Dewey Class. No.: 332.0151852

Statistical inference in financial and insurance mathematics with R /
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