Applying Stochastic Models in Practice: Empirics and Numerics
A special issue of Risks (ISSN 2227-9091).
Deadline for manuscript submissions: closed (30 June 2016) | Viewed by 37391
Interests: financial econometrics; mathematical finance; economics of risk and insurance
Special Issues, Collections and Topics in MDPI journals
The ongoing development of novel stochastic models is essential to better understand and quantify newly emerging risks in finance and insurance. To ensure the practical use of these models, it is of particular importance that potential users be equipped with tools necessary for estimation and/or calibration of a specific model, and with efficient numerical algorithms that employ a certain model for an ensuing application. Prominent examples for recent advances in stochastic modeling include models for extreme dependence in finance and insurance (credit contagion or clustering of natural disasters), the effect of lapse risk or longevity risk on insurance companies, and capital/credit/debt/funding value adjustments in finance. The aim of this Special Issue is to highlight empirical results and methods, as well as numerical algorithms related to novel stochastic models in finance and insurance with a focus on the application of such models in practice.
Prof. Dr. Alexander Szimayer
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- Empirical Finance
- Empirical Studies in Insurance
- Numerical Methods in Finance
- Numerical Methods in Insurance