TY  - BOOK
AU  - Brouste, Alexandre
AU  - Limnios, Nikolasos,
AU  - Mishura, Yuliya,
TI  - Statistical inference in financial and insurance with R
T2  - Optimization in insurance and finance set
SN  - 9781785480836
U1  - 519.2 BR ST 
PY  - 2018///
CY  - UK
PB  - Elsevier
KW  - Finance
KW  - Mathematical models
KW  - Insurance
KW  - BUSINESS & ECONOMICS / Finance
N2  - This book examines a range of statistical inference methods in the context of finance and insurance applications, including asymptotical efficiency to give the proper notion of estimation risk, computations with the provided software R, and non-classical statistical experiments. As finance and insurance companies face a wide range of mathematical problems, and statistical experiments with independent and identically distributed samples are relatively common, this book covers topics of value to a wide group. Two examples are treated, including generalized linear models (GLM) extending to non-Gaussian samples (the standard regression method) and homogeneous Markov chains.



Examines a range of statistical inference methods in the context of finance and insurance applications
Presents the LAN (local asymptotic normality) property of likelihoods
Combines the proofs of LAN property for different statistical experiments that appears in financial and insurance mathematics
Provides the proper description of such statistical experiments and invites readers to seek optimal estimators (performed in R) for such statistical experiments
UR  - https://uowd.box.com/s/tsxocw67f638sosi2wjho6dr0tt84g3j
ER  -