- aggregate loss
- 20.1
| 20.4
- aggregate loss process
- see process
- algorithm
- Box-Muller
- 1.3
- CP1
- 14.2.4
- FFT option pricing
- 8.3
| 8.4
- Flury-Gautschi
- 5.1
| 5.6
- Fuzzy C-Means (FCM)
- 11.3.1
- Gauss-Legendre
- 7.3
- HPP1
- 14.2.1
- HPP2
- 14.2.1
- MPP1
- 14.2.3
- NHPP1 (Thinning)
- 14.2.2
- NHPP2 (Integration)
- 14.2.2
- NHPP3
- 14.2.2
- RP1
- 14.2.5
- arbitrage-free pricing
- 4.1.1
- arrival time
- 14.2
- Asian crisis
- 11.
| 11.2.2
| 11.4
- asset return
- 1.5
- asset returns
- 1.1
| 3.6
- bankruptcy
- 10.
| 10.
| 10.1
- Basel Capital Accord
- Basel I
- 10.2
- Basel II
- 10.1
| 10.2
| 10.2
- basis function
- 5.3
- Bates' model
- no title
- beta function
- 13.4.1
- Black Monday
- 1.5
- Black-Scholes formula
- 5.1
| 5.2
| 7.1
| 7.4
| 8.2
- bond
- callable
- Mortgages
- catastrophe
- see CAT bond
- defaultable
- 4.1.3
- non-callable
- Mortgages
- rating
- 10.1
- Brownian motion
- 16.1
| 16.2.3
- arithmetic
- 15.6.3
- fractional
- 17.1
| 17.2
- geometric
- 7.2
| 8.2
| 8.2.2
- burnout
- Mortgages
| 9.3.2.2
- Burr distribution
- see distribution
- Capital Asset Pricing Model (CAPM)
- 20.2.2
- capital market
- 4.1
- CAT bond
- 4.
| 4.1.1
| 4.1.2
| 4.4
- coupon
- 4.4
- coupon-bearing
- 4.4
- maturity
- 4.1
- premium
- 4.1
- pricing
- 4.1.3
- principal
- 4.1
- zero-coupon
- 4.1.3
| 4.4
- catastrophe
- bond
- see CAT bond
- data
- 14.3.1
| 16.3
- seasonality
- 4.3
- trend
- 4.3
- futures
- see derivative
- natural
- 4.1.1
| 13.5
- option
- see derivative
- Chambers-Mallows-Stuck method
- 1.3
- change of measure
- 17.3
- characteristic function
- 1.2.1
| 8.2.1
| 8.2.3
| 8.4
- Cholesky factorization
- 5.5.1
- claim
- correlated
- 17.1
- severity
- 14.1
- claim arrival process
- see process
- claim surplus process
- see process
- classification
- 10.
| 10.1
- clustering
- cluster center
- 11.3.1
- fuzzy
- 11.
| 11.3.1
| 11.3.1
- fuzzy set
- 11.3.2
- membership function
- 11.3.2
- Takagi-Sugeno approach
- 11.3.2
- cointegration
- 11.1
| 11.2.1
- collective risk model
- 14.1
| 18.
| 18.3
| 19.1
- collective risk theory
- 16.1
- composition method
- see method
- consumer price index
- 11.2.2
- contingent claim
- 7.3
- copula
- 2.
| 2.2.1
| 2.2.1
| 2.2.1
| 3.3.3
- 3.7
- Ali-Mikhail-Haq
- 2.2.1
| 3.3.1
- Archimedean
- 3.3.1
| 3.3.1
| 3.3.1
- Clayton
- 2.2.1
| 2.2.2
| 3.3.1
- Farlie-Gumbel-Morgenstern
- 2.2.1
| 2.2.2
- Frank
- 2.2.1
| 2.2.1
| 2.2.2
- Galambos
- 2.2.3
| 2.2.4
- Gaussian
- 2.2.1
- Gumbel
- 2.2.1
| 2.2.3
| 2.2.4
- Gumbel II
- 2.2.3
| 2.2.4
- Gumbel-Hougaard
- 3.3.1
- correlation
- 7.4
| 7.4.1
- Cox process
- see process
- credit risk
- 14.1
- critical value
- 13.4.2
- cumulant
- 20.1
- generating function
- 20.5.1
- data envelopment analysis (DEA)
- 12.2
| 12.2.1
| 12.3
- efficient level
- 12.2.1
- dataset
- Danish fire losses
- 13.5
| 14.3.2
| 19.3
- Property Claim Services (PCS)
- 13.5
| 14.3.1
| 15.1
| 18.2.3.0.1
- Datastream
- 11.2.2
- DAX index
- 5.1
| 5.2
- deductible
- 13.4.1
| 19.
- disappearing
- 19.2.5
- premium
- 19.3.1
| 19.3.2
| 19.3.3
| 19.3.4
| 19.3.5
| 19.3.6
- fixed amount
- 13.4.3
| 19.2.2
- premium
- 19.3.1
| 19.3.2
| 19.3.3
| 19.3.4
| 19.3.5
| 19.3.6
- franchise
- 19.2.1
- premium
- 19.3.1
| 19.3.2
| 19.3.3
| 19.3.4
| 19.3.5
| 19.3.6
- limited proportional
- 19.2.4
- premium
- 19.3.1
| 19.3.2
| 19.3.3
| 19.3.4
| 19.3.5
| 19.3.6
- payment function
- 19.2
- proportional
- 19.2.3
- premium
- 19.3.1
| 19.3.2
| 19.3.3
| 19.3.4
| 19.3.5
| 19.3.6
- default
- 10.1
- probability
- 10.2
- probability of
- 10.1
- derivative
- 4.1
| 7.3
- call option
- 5.2
- catastrophe futures
- 4.1.2
- catastrophe option
- 4.1.1
| 4.1.2
- delta
- 7.4
| 9.2.2.3
- dual delta
- 7.3.1
- European option
- 5.2
| 5.2
- Gamma
- 7.3.1
- Greeks
- 7.3.1
- rho
- 7.3.1
- spot delta
- 7.3.1
- insurance
- 4.1.1
- maturity
- see maturity
- prepayment option
- Mortgages
- American
- 9.2.1
- put option
- 5.2
- risk reversal
- 7.4.2
- strike price
- 5.1
| 5.2
- vanilla option
- 9.3.3
- European
- 7.3
- vega
- 7.3.1
| 9.3.3
- vol of vol
- 7.2
| 7.4.1
- volga
- 7.3.1
- dimension reduction
- 5.1
- disappearing deductible
- see deductible
- discriminant analysis
- 10.1
| 10.1
- distribution
-stable
- 3.3.2
-stable
- 16.1
- Bernoulli
- 17.2
- Burr
- 4.2
| 4.3
| 13.3.4
| 13.4.1
| 13.4.3
| 15.3.12
| 16.3
| 19.3.3
- chi-squared (
)
- 13.3.6
- claim amount
- 4.3
- Cobb-Douglas
- 13.3.1
- compound geometric
- 15.2
- compound mixed Poisson
- 18.3.4
- compound negative binomial
- 18.3.4
- compound Poisson
- 18.3.3
| 20.4.1
| 20.4.2
- conditional excess
- 2.1.2
| 2.1.3
| 2.1.3
- elliptically-contoured
- 3.3.2
- Erlang
- 13.3.6
- exponential
- 4.3
| 13.3.2
| 13.3.3
| 13.3.5
| 13.3.6
| 13.4.1
| 13.4.1
| 13.4.3
| 14.2.2
| 15.3.12
| 16.2.1
- memoryless property
- 13.3.2
| 13.4.1
- extreme value
- multivariate
- 2.2.3
- finite-dimensional
- 17.2
- Fréchet
- 2.1.1
- gamma
- 4.3
| 13.3.3
| 13.3.6
| 13.4.1
| 13.4.3
| 15.3.4
| 18.2.3.0.2
| 18.3.4
| 19.3.5
| 20.5.4
- generalized extreme value
- 2.1.1
- generalized Pareto
- 2.1.2
- geometric
- 15.2
| 20.5.8
- Gumbel
- 2.1.1
- heavy-tailed
- 7.2
| 13.3.3
| 13.3.4
| 15.1.1
| 16.1
| 16.3
- hyperbolic
- 3.3.2
| 7.2
- infinitely divisible
- 13.3.1
- inverse Gaussian
- 15.6.3
- Lévy stable
- 1.2
- light-tailed
- 15.1.1
- adjustment coefficient
- 15.1.1
- Lundberg exponent
- 15.1.1
- log-normal
- 4.3
| 13.3.1
| 13.4.1
| 13.4.3
| 18.2.3.0.1
| 19.3.1
- logistic
- 3.3.2
- loss
- see loss distribution
- mixture
- 13.3.3
- mixture of exponentials
- 4.3
| 13.3.7
| 13.4.3
| 15.3.12
| 19.3.6
- negative binomial
- 13.3.6
| 18.3.4
- normal
- 3.2
| 3.3.2
| 5.2
| 10.1
| 16.1
| 20.1
- of extremum
- 2.1.1
- Pareto
- 2.1.1
| 2.1.2
| 4.2
| 4.3
| 13.3.3
| 13.3.4
| 13.4.1
| 13.4.3
| 15.3.12
| 19.3.2
- Pareto type II
- 2.1.2
- Pearson's Type III
- 13.3.6
- Poisson
- 14.2.1
| 18.3.3
- power-law
- 4.1.3
- shifted gamma
- 18.3.2
- stable
- see stable distribution
| 2.1.1
- stable Paretian
- 1.2
- Student
- 3.2
| 3.3.2
- subexponential
- 15.3.11
| 20.5.7
- convolution square
- 15.3.11
- transformed beta
- 15.3.12
- translated gamma
- 18.3.2
- truncated-Pareto
- 20.4.2
| 20.4.2
| 20.7.1
- uniform
- 13.3.2
| 13.4.2
- Weibull
- 2.1.1
| 4.3
| 9.3.2.2
| 12.2.2
| 13.3.5
| 13.4.1
| 13.4.3
| 15.3.12
| 19.3.4
- with regularly varying tail
- 15.3.11
- distribution function
- empirical
- 13.2
| 13.4.2
- dividend
- 20.1
- fixed
- 20.6.1
| 20.7.1
- flexible
- 20.6.2
| 20.7.3
- domain of attraction
- 16.1
| 16.2.3
| 16.3
| 16.3.3
- doubly stochastic Poisson process
- see process
- Dow Jones Industrial Average (DJIA)
- 1.5
| 1.5
- eigenfunction
- 5.4
- eigenvalue
- 5.4
- elliptically-contoured distributions
- 3.3.2
- empirical distribution function
- see distribution function
- empirical risk
- 10.1
- error correction model
- 11.1
| 11.2.1
- vector
- 11.2.1
- estimation
statistic minimization
- 13.5
statistic minimization
- 19.4
- maximum likelihood
- 13.5
- EUREX
- 5.2
- European Central Bank
- 11.1
- expected risk
- 10.1
| 10.1
- expected shortfall
- 2.1.3
| 13.4.1
- expected tail loss
- 2.1.3
- exponential distribution
- see distribution
- extreme event
- 1.1
- extreme value
- 2.
- filtration
- 4.2
- finite difference approach
- 9.2.2.3
- Fisher-Tippet theorem
- 2.1.1
- fixed amount deductible
- see deductible
- foreign exchange
- 7.3
| 7.4
- Fourier basis
- 5.3
| 5.3
| 5.4.1
- Fourier transform
- 1.2.1
| 8.3
| 8.3
- fast (FFT)
- 8.1
| 8.3
| 8.3
| 8.3
| 8.3
- option pricing
- 8.3
| 8.4
- fractional Brownian motion
- see Brownian motion
- franchise deductible
- see deductible
- Fredholm eigenequation
- 5.4
- free boundary problem
- 9.2.2.3
- free disposal hull (FDH)
- 12.2
| 12.2.2
| 12.4
- efficiency score
- 12.2.2
- efficient level
- 12.2.2
- function
- basis
- see basis function
- beta
- see beta function
- characteristic
- see characteristic function
- classifier
- see Support Vector Machine (SVM)
- distribution
- see distribution function
- frontier
- see production
- Heaviside
- see Heaviside function
- kernel
- see Support Vector Machine (SVM)
- limited expected value
- see limited expected value function
- mean excess
- see mean excess function
- mean residual life
- see mean residual life function
- membership
- see clustering
- moment generating
- see moment generating function
- production
- see production
- slowly varying at infinity
- 16.3.1
- functional data analysis
- 5.
| 5.3
- gamma distribution
- see distribution
- gamma function
- incomplete
- 13.3.6
| 13.4.1
- standard
- 13.3.3
- generalized eigenequation
- 5.5
| 5.5.1
- goodness-of-fit
- 1.5
| 13.1
| 14.3.1
- half-sample approach
- 13.4.2
- Heath-Jarrow-Morton approach
- 9.2.2.1
- Heaviside function
- 9.3
- hedging
- 4.1.1
- Heston's model
- 7.
| 7.2
| no title
- Hill estimator
- 1.4.1
- homogeneous Poisson process (HPP)
- see process
- hurricane
- 4.1.1
- implied trinomial trees
- see ITT
- implied volatility
- 5.
| 5.1
| 7.1
| 7.4
| 8.2
| 8.4
| 8.4
| 8.4
| 9.3.3
- surface
- 5.1
| 5.1
| 5.2
| 8.4
| 21.3.4
- incomplete market
- 7.1
| 8.2.1
- index of dispersion
- 14.2.3
- individual risk model
- 18.
| 18.2
| 19.1
- inflation rate
- 11.1
- initial
- capital
- 14.1
| 16.1
- risk reserve
- 16.1
- variance
- 7.3.1
| 7.4
| 7.4.1
- insurance
- policy
- 16.1
- portfolio
- 14.1
| 15.1
| 18.2
| 18.3
| 20.2.1
- risk
- 14.1
| 15.1
- securitization
- 4.1.2
- insurance-linked security (ILS)
- 4.1
- indemnity trigger
- 4.1
- index trigger
- 4.1
- parametric trigger
- 4.1
- intensity
- see process
- intensity function
- see process
- inter-arrival time
- 14.2
| 14.2.2
| 17.2
- inter-occurrence time
- 13.3.2
- interest
- rate
- 11.2.2
| 11.3.4
- effect
- 11.3.4
- elasticity
- 11.4
- long-term
- 11.3.4
- inverse transform method
- see method
- investment
- 20.
- ITT
- 6.
- jump-diffusion model
- 7.1
| 7.4.2
- Karush-Kuhn-Tucker conditions
- 10.3
- Laplace transform
- 13.3.2
| 13.3.2
| 15.2
- inversion
- 15.2.4
- leverage effect
- 8.2.2
- limited expected value function
- 13.4.3
- limited proportional deductible
- see deductible
- linear interpolation
- 5.3
- local polynomial estimator
- 5.2
- log-normal distribution
- see distribution
- logit
- 10.1
| 10.1
- London Inter-Bank Offer Rate (LIBOR)
- 4.4
- long-run variance
- 7.2
| 7.4
| 7.4.1
- Lorenz curve
- 10.5
- loss distribution
- 4.3
| 13.
| 15.1
- analytical approach
- 13.1
- curve fitting
- 13.1
- empirical approach
- 13.1
| 13.2
- moment based approach
- 13.1
- lower tail-independence
- 3.3.1
- martingale
- 8.2.1
| 17.3
- maturity
- 5.1
| 5.1
| 9.1
| 9.2.1
| 10.2
- time to
- 5.1
| 5.2
- MD*Base
- 8.4
- Mean Absolute Error (MAE)
- 4.3
| 8.4
- mean excess function
- 13.4.1
| 13.4.3
| 14.3.1
- mean residual life function
- 13.4.1
- mean reversion
- 7.4
| 7.4.1
| 8.2.2
- Mean Squared Error (MSE)
- 4.3
| 8.4
- mean value function
- 4.3
| 14.3.1
- Merton's model
- no title
- method
- composition
- 13.3.7
- integration
- see algorithm
- inverse transform
- 13.3.2
| 13.3.3
| 13.3.4
| 13.3.5
- least squares
- 4.3
| 14.3.1
- Newton-Raphson
- 5.2
| 15.1.1
- of characteristic functions
- 7.3
- rejection
- see algorithm
- thinning
- see algorithm
- minimum-volume ellipsoid estimator
- 3.4
- mixed Poisson process
- see process
- mixture of exponential distributions
- see distribution
- modeling dependence
- 2.2.1
- moment generating function
- 13.3.1
| 15.1.1
| 18.1
| 18.3.1
- monetary policy
- 11.
| 11.1
- monetary union
- 11.
- money demand
- 11.
| 11.
| 11.2.2
- Indonesian
- 11.
| 11.3.4
- M2
- 11.
- nominal
- 11.1
- partial adjustment model
- 11.1
- moneyness
- 5.3
- Monte Carlo
- method
- 1.5
| 9.3.1
| 15.3.12
| 15.6.1
- simulation
- 4.1.3
| 8.4
| 8.4
| 13.4.2
| 15.1
| 15.6.1
| 18.3.5.0.1
- mortgage
- 9.1
| Mortgages
| 9.2.1
- callability
- Mortgages
| 9.2.2.1
| 9.3.3
- optimally prepaid
- 9.1
| 9.2.2.2
| 9.2.2.3
- mortgage backed security (MBS)
- 9.
| 9.1
- valuation
- 9.3
- multivariate GARCH
- 2.2.5
- multivariate trimming
- 3.4
- natural catastrophe
- see catastrophe
- neural network
- 10.
| 10.1
- non-homogeneous Poisson process (NHPP)
- see process
- nonparametric regression
- 5.3
- normal distribution
- multivariate
- 3.7
- normal power formula
- 20.3.1
- operational risk
- 14.1
| 15.1
| 18.
- operational time scale
- 15.1
- optimal stopping problem
- 9.2.2.2
- Panjer recursion formula
- 20.5.8
- Pareto distribution
- see distribution
- periodogram
- 14.3.1
- Pickands constant
- 17.3
- point process
- see process
- Poisson process
- see process
- policy
- flexible dividend
- 20.1
- Pollaczek-Khinchin formula
- 15.2
| 15.3.12
| 20.5.7
- power-law tail
- 1.2
- premium
- 13.4.3
| 14.1
| 14.2.1
| 14.2.2
| 14.2.5
| 16.1
| 18.
| 19.2
| 20.
| 20.1
| 20.2.1
| 20.3.1
| 20.5.1
| 20.5.1
| 20.5.5
| 20.5.6
| 20.6.1
| 20.7.2
-loading principle
- 18.1
-loading principle
- 18.1
- balancing problem
- 20.3.3
- exponential
- 18.1
| 18.2.2
| 18.2.3.0.2
| 18.3.1
| 18.3.2
| 18.3.3
| 18.3.4
| 18.3.5.0.2
- marginal
- 20.3.2
- normal approximation
- 18.2.2
| 18.3.2
- pure risk
- 18.1
| 18.2.1
| 18.3.1
| 19.
| 19.2
- with safety loading
- 18.1
- quantile
- 18.1
| 18.2.2
| 18.2.3.0.1
| 18.3.1
| 18.3.3
| 18.3.4
| 18.3.5.0.1
| 20.2.1
- standard deviation principle
- 18.1
- translated gamma approximation
- 18.3.2
- variance principle
- 18.1
- whole-portfolio
- 20.1
- with safety loading
- 18.2.1
| 18.3.1
- with standard deviation loading
- 18.2.1
| 18.3.1
- with variance loading
- 18.2.1
| 18.3.1
- zero utility principle
- 18.1
- premium function
- see premium
- prepayment
- optimal frontier
- 9.2.2.3
- parametric specification
- 9.3.2
- refinancing
- 9.3.2.2
- structural
- 9.3.2.1
- prepayment policy
- 9.1
| 9.3
- early prepayment
- 9.2.1
- interest rate
- 9.1
| Mortgages
- optimality
- 9.1
| 9.2
| 9.3
- principal
- 9.1
| Mortgages
| 9.2.1
- principal components analysis (PCA)
- 5.1
| 5.4
- common
- 5.6
- functional
- 5.1
| 5.4
| 5.4
- smoothed
- 5.5
| 5.5.1
- roughness penalty
- 5.5
| 5.5
- probability space
- 4.2
- probit
- 10.1
| 10.1
- process
- aggregate loss
- 4.2
| 14.1
| 15.5
| 20.1
- claim arrival
- 4.3
| 14.1
| 14.2
- claim surplus
- 15.1
| 15.3.6
| 20.5.7
- compound Poisson
- 15.5
- counting
- 16.2
- Cox
- 14.2.4
- intensity process
- 15.1
- doubly stochastic Poisson
- 14.2.4
- homogeneous Poisson
- 14.2.1
| 14.2.2
| 14.2.2
| 14.2.3
- mixed Poisson
- 14.2.3
- non-homogeneous Poisson
- 14.2.2
| 14.2.4
- Ornstein-Uhlenbeck
- 8.2.2
| 9.2.2.1
- point
- 4.1.3
| 14.1
| 14.1
| 15.1
| 16.1
- Poisson
- 13.3.2
| 15.1
| 15.1
| 16.2.1
- compound
- 8.2.1
| 8.2.3
| 8.2.3
- cumulative intensity function
- 4.3
| 14.3.1
- doubly stochastic
- 4.1.3
| 4.2
- homogeneous
- 8.2.1
- intensity
- 14.2.1
| 15.1
| 16.2.1
- intensity function
- 4.2
| 14.2.2
- linear intensity function
- 14.3.2
- non-homogeneous
- 4.1.3
| 4.2
- periodic intensity
- 14.2.2
- rate
- 14.2.1
- rate function
- 14.2.2
- sinusoidal intensity function
- 14.3.1
- stochastic intensity
- 4.1.3
- predictable bounded
- 4.2
- progressive
- 4.2
- renewal
- 4.3
| 14.2.5
| 16.2
| 16.2.3
| 16.3
| 17.2
- risk
- see risk process
| 20.1
- self-similar
- 17.2
- stationary
- 14.3.1
- variance
- 8.2.2
- Wiener
- 8.2.1
- production
- frontier function
- 12.1
- function
- 12.1
- input efficiency score
- 12.1
| 12.1
- output efficiency score
- 12.1
| 12.1
- set
- 12.1
| 12.1
- unit
- 12.1
- productivity analysis
- 12.
- data envelopment analysis
- see data envelopment analysis (DEA)
- free disposal hull
- see free disposal hull (FDH)
- input requirement set
- 12.1
- nonparametric
- 12.
- hull method
- 12.2
- output corresponding set
- 12.1
- Property Claim Services (PCS)
- 4.1
| 4.3
| 13.5
- proportional deductible
- see deductible
- Public Securities Association
- 9.3.2.1
- pure risk premium
- see premium
- quantile
- 9.3.2.2
- sample
- 14.3.1
- quantile line
- sample
- 14.3.1
- queuing theory
- 15.3.8
| 15.3.9
- rate of mean reversion
- 7.2
- rate of return
- 20.2
| 20.6
| 20.7
- rating
- 10.1
| 10.1
| 10.2
| 10.2
| 10.2
- raw moment
- 13.3.1
| 13.3.2
- reinsurance
- 4.1
| 14.1
| 20.
| 20.4
| 20.7
| 20.7.2
- excess of loss
- 20.4.1
- renewal process
- see process
- retention
- 19.1
| 20.1
- limit
- 20.4.1
- returns to scale
- constant
- 12.1
- non-increasing
- 12.1
- risk aversion
- 18.2.3.0.2
- Risk Based Capital (RBC)
- 20.2.1
- risk classification
- 10.2
- risk model
- collective
- see collective risk model
- individual
- see individual risk model
- of good and bad periods
- 17.
- risk process
- 14.
| 14.1
| 15.1
| 16.1
- modeling
- 14.
- simulation
- 14.3
- stable diffusion approximation
- 16.
- weak convergence
- to
-stable Lévy motion
- 16.3.1
- to Brownian motion
- 16.2.1
- risk-neutral measure
- 8.2.1
- RiskCalc
- 10.1
| 10.1
| 10.5
- ruin probability
- 14.1
| 15.
| 16.2.2
| 17.1
| 20.7
- 4-moment gamma De Vylder approximation
- 15.3.7
| 15.4
- adjustment coefficient
- 20.1
- Beekman-Bowers approximation
- 15.3.4
| 15.3.5
| 20.5.4
| 20.7.1
- corrected diffusion approximation
- 15.6.4
- Cramér-Lundberg approximation
- 15.3.1
| 15.4
| 15.6.2
| 20.5.3
- criterion
- 20.5
| 20.6
- De Vylder approximation
- 15.3.6
| 15.4
| 20.5.6
| 20.7.1
- diffusion approximation
- 15.6.3
| 20.5.5
- exact
- exponential claim amount
- 15.2.2
| 15.5.1
- gamma claim amount
- 15.2.3
- mixture of exponentials claim amount
- 15.2.4
- exponential approximation
- 15.3.2
| 15.4
- finite time De Vylder approximation
- 15.6.5
- finite time horizon
- 15.5
| 15.6
| 16.2.2
| 16.3.2
- heavy traffic approximation
- 15.3.8
| 15.4
- heavy-light traffic approximation
- 15.3.10
- infinite time horizon
- 15.1
| 16.2.2
| 16.3.2
- ladder heights
- 15.2
| 20.5.7
| 20.5.8
- light traffic approximation
- 15.3.9
| 15.4
- Lundberg approximation
- 15.3.3
| 15.4
- Lundberg inequality
- 20.5.1
| 20.5.2
- Panjer approximation
- 20.5.8
- Renyi approximation
- 15.3.5
| 15.4
- Segerdahl normal approximation
- 15.6.2
- subexponential approximation
- 15.3.11
| 15.4
| 20.5.7
- ultimate
- 16.1
| 17.1
- ruin probability¡`Zero'' approximation
- 20.5.2
- ruin theory
- 15.1
- ruin time
- 16.1
| 16.2.2
| 17.1
- safety loading
- 16.1
| 20.1
| 20.6.1
- relative
- 14.2.1
| 15.1
| 15.7
- Securities and Exchange Commission
- 10.4
- single-period criterion
- 20.2
- Sklar theorem
- 2.2.1
| 2.2.3
- Skorokhod topology
- 16.3.1
| 17.2
- solvency
- 20.6
- special purpose vehicle (SPV)
- 4.1
- stable distribution
- 1.
- characteristic exponent
- 1.2
- density function
- 1.2.2
- direct integration
- 1.2.2
| 1.4.4
- distribution function
- 1.2.2
- FFT-based approach
- 1.2.2
| 1.4.4
- index of stability
- 1.2
- maximum likelihood method
- 1.4.4
- method of moments
- 1.4.3
- quantile estimation
- 1.4.2
- regression-type method
- 1.4.3
| 1.4.3
- simulation
- 1.3
- skewness parameter
- 1.2
- tail exponent
- 1.2
- estimation
- 1.4.1
- tail index
- 1.2
- stochastic process
- mean reverting
- 7.2
- stochastic volatility
- 7.1
| 8.2.2
- calibration
- 7.4
- strings
- 5.2
| 5.3
- structure variable
- 14.2.3
- Sum of Squared Errors (SSE)
- 7.4
- Support Vector Machine (SVM)
- 10.
| 10.
| 10.2
- calibration
- 10.5
- cross validation
- 10.5
| 10.5
- classifier function
- 10.1
- kernel function
- 10.3
- Lagrangian formulation
- 10.3
- outlier
- 10.3
- separating hyperplane
- 10.3
- training set
- 10.1
| 10.3
- tail dependence
- 3.
| 3.2
- asset and FX returns
- 3.6
- estimation
- 3.4
| 3.5
- tail exponent
- 1.2
| 1.4.1
- estimation
- 1.4.1
- log-log regression
- 1.4.1
- tail index
- 3.3.2
| 3.3.2
- Takagi-Sugeno approach
- 11.
| 11.3.2
- test statistic
- Anderson-Darling
- 1.5
| 4.3
| 13.4.2
- Cramér-von Mises
- 4.3
| 13.4.2
- CUSUM
- 11.2.2
- Dickey-Fuller
- 2.1.3
- augmented
- 2.1.3
| 11.2.2
- half-sample approach
- 13.4.2
- Jarque-Bera
- 11.2.2
- Kolmogorov
- 1.5
| 13.4.2
- Kolmogorov-Smirnov
- 4.3
| 13.4.2
- Kuiper
- 4.3
| 13.4.2
- threshold time
- 4.1.3
- time to ruin
- 15.1
- top-down approach
- 20.3
- uniform convergence
- on compact sets
- 16.2.1
- upper tail-dependence
- 3.2
- coefficient
- 3.2
- upper tail-independence
- 3.2
- utility
- expected
- 18.1
- Value at Risk
- 2.1.3
| 3.7
- conditional
- 2.1.3
- historical estimates
- 3.7
- portfolio
- 3.7
- Vapnik-Chervonenkis (VC)
- bound
- 10.1
| 10.1
- dimension
- 10.1
| 10.1
- Vasicek model
- 9.2.2.1
- vector autoregressive model (VAR)
- 11.2.1
- volatility
- 5.2
| 5.5.1
| 8.2.2
- of variance
- 7.2
| 7.4
| 7.4.1
- forward
- 7.4.2
- risk
- market price
- 7.3
| 7.4
- premium
- 7.4
- smile
- 5.1
| 7.
- surface
- 7.4.2
- waiting time
- 14.2
| 14.2.5
- Weibull distribution
- see distribution
- XploRe
- Quantlet
- 21.3
| 21.3.1
- Quantlet Client (XQC)
- 21.
| 21.1
| 21.2
- data editor
- 21.3.2
- method tree
- 21.2.1
| 21.3.3
- Quantlet Editor
- 21.3.1
- Quantlet server (XQS)
- 21.2.2