WorldCat Identities

Weron, Rafał

Overview
Works: 30 works in 94 publications in 2 languages and 1,925 library holdings
Genres: Case studies 
Roles: Author, Editor, Other, 958, Opponent
Publication Timeline
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Most widely held works by Rafał Weron
Statistical tools for finance and insurance by Pavel Cizek( )

37 editions published between 2004 and 2011 in English and held by 1,570 WorldCat member libraries worldwide

Statistical Tools for Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field this book offers a unique combination of topics from which every market analyst and risk manager will benefit
Modeling and forecasting electricity loads and prices : a statistical approach by Rafał Weron( )

16 editions published between 2006 and 2007 in English and held by 303 WorldCat member libraries worldwide

This comprehensive text provides original statistical tools that will enable readers to model electricity loads and prices. The statistical approach allows for direct input of relevant statistical properties into the models and physical interpretation can be attached to the components of the models
Statistical tools for finance and insurance by Pavel Čížek( )

4 editions published between 2005 and 2011 in English and Undetermined and held by 12 WorldCat member libraries worldwide

Statistical Tools for Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field, this book offers a unique combination of topics from which every market analyst and risk manager will benefit. Features of the significantly enlarged and revised second edition: Offers insight into new methods and the applicability of the stochastic technology Provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations Covers topics such as - expected shortfall for heavy tailed and mixture distributions* - pricing of variance swaps* - volatility smile calibration in FX markets - pricing of catastrophe bonds and temperature derivatives* - building loss models and ruin probability approximation - insurance pricing with GLM* - equity linked retirement plans*(new topics in the second edition marked with*) Presents extensive examples
Inżynieria finansowa : wycena instrumentów pochodnych, symulacje komputerowe, statystyka rynku by Aleksander Weron( Book )

6 editions published between 1998 and 2018 in Polish and held by 10 WorldCat member libraries worldwide

Statistical tools in finance and insurance( Book )

4 editions published between 2004 and 2005 in English and held by 7 WorldCat member libraries worldwide

Building loss models by Krzysztof Burnecki( )

2 editions published in 2010 in English and held by 3 WorldCat member libraries worldwide

This paper is intended as a guide to building insurance risk (loss) models. A typical model for insurance risk, the so-called collective risk model, treats the aggregate loss as having a compound distribution with two main components: one characterizing the arrival of claims and another describing the severity (or size) of loss resulting from the occurrence of a claim. In this paper we first present efficient simulation algorithms for several classes of claim arrival processes. Then we review a collection of loss distributions and present methods that can be used to assess the goodness-of-fit of the claim size distribution. The collective risk model is often used in health insurance and in general insurance, whenever the main risk components are the number of insurance claims and the amount of the claims. It can also be used for modeling other non-insurance product risks, such as credit and operational risk. -- Insurance risk model ; Loss distribution ; Claim arrival process ; Poisson process ; Renewal process ; Random variable generation ; Goodness-of-fit testing
Stable distributions( )

1 edition published in 2005 in English and held by 2 WorldCat member libraries worldwide

FX smile in the Heston model( )

1 edition published in 2010 in English and held by 2 WorldCat member libraries worldwide

The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets. Secondly, there exists a fast and easily implemented semi-analytical solution for European options. In this article we adapt the original work of Heston (1993) to a foreign exchange (FX) setting. We discuss the computational aspects of using the semi-analytical formulas, performing Monte Carlo simulations, checking the Feller condition, and option pricing with FFT. In an empirical study we show that the smile of vanilla options can be reproduced by suitably calibrating three out of five model parameters. -- Heston model ; vanilla option ; stochastic volatility ; Monte Carlo simulation ; Feller condition ; option pricing with FFT
New dynamics in the electricity sector : consumption-growth nexus, market structure and renewable power by Yuanjing Li( Book )

2 editions published in 2015 in English and held by 2 WorldCat member libraries worldwide

The objective of this thesis is to study the new dynamics and their impacts in the electricity sector. It discusses the critical issues from the perspectives of macroeconomics, structural configuration, and a transition to renewable energy sources. More precisely, three topics emerge: the nexus between electricity consumption and economic growth, the impacts of vertical integration between power generators and retailers, and the market impacts and integration issues of intermittent renewable generation. By studying these three topics, it provides answers to the key challenges of supply security, competitiveness and sustainable development in the energy sector. By giving new research directions of energy economics, it serves to inspire related policy debates
Computer simulation of Lévy [alpha]-stable variables and processes by Aleksander Weron( Book )

1 edition published in 1995 in English and held by 2 WorldCat member libraries worldwide

Computational methods in data analysis : Information technologies: research and their interdisciplinary applications, Warsaw, 22-24 October 2015 - ITRIA 2015 by ITRIA 2015( Book )

1 edition published in 2015 in English and held by 2 WorldCat member libraries worldwide

Models for heavy-tailed asset returns by Szymon Borak( )

1 edition published in 2010 in English and held by 2 WorldCat member libraries worldwide

Many of the concepts in theoretical and empirical finance developed over the past decades - including the classical portfolio theory, the Black-Scholes-Merton option pricing model or the RiskMetrics variance-covariance approach to VaR - rest upon the assumption that asset returns follow a normal distribution. But this assumption is not justified by empirical data! Rather, the empirical observations exhibit excess kurtosis, more colloquially known as fat tails or heavy tails. This chapter is intended as a guide to heavy-tailed models. We first describe the historically oldest heavy-tailed model - the stable laws. Next, we briefly characterize their recent lighter-tailed generalizations, the socalled truncated and tempered stable distributions. Then we study the class of generalized hyperbolic laws, which - like tempered stable distributions - can be classified somewhere between infinite variance stable laws and the Gaussian distribution. Finally, we provide numerical examples. -- Heavy-tailed distribution ; Stable distribution ; Tempered stable distribution ; Generalized hyperbolic distribution ; Asset return ; Random number generation ; Parameter estimation
Convenience yields for CO2 emission allowance futures contracts( )

1 edition published in 2006 in English and held by 2 WorldCat member libraries worldwide

Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo by Rafal Weron( )

1 edition published in 2008 in Undetermined and held by 1 WorldCat member library worldwide

"Power security" is a term inevitably related to "risk" and "risk management". Sound risk management practices will not only lead to more financially stable performance of the power sector, but also to a more secure power system. In this article we comment on integrated risk management and its implementation in power market companies
Modelling the risk process in the XploRe computing environment( )

1 edition published in 2004 in English and held by 1 WorldCat member library worldwide

A user friendly approach to modeling the risk process is presented. It utilizes the insurance library of the XploRe computing environment which is accompanied by on-line, hyperlinked and freely downloadable from the web manuals and e-books. The empirical analysis for Danish fire losses for the years 1980-90 is conducted and the best fitting of the risk process to the data is illustrated
Research reports. Computer simulation of Lévy [alpha]-stable variables and processes( Book )

1 edition published in 1995 in English and held by 1 WorldCat member library worldwide

Simulation of risk processes( )

1 edition published in 2004 in English and held by 1 WorldCat member library worldwide

The simulation of risk processes is a standard procedure for insurance companies. The generation of simulated (aggregated) claims is vital for the calculation of the amount of loss that may occur. Simulation of risk processes also appears naturally in rating triggered step-up bonds, where the interest rate is bound to random changes of the companies' ratings
Giełda energii : strategie zarządzania ryzykiem by Aleksander Weron( Book )

1 edition published in 2000 in Polish and held by 1 WorldCat member library worldwide

Hugo Steinhaus: matematyk, humanista i... popularyzator sprawiedliwego podziału tortu by Rafał Weron( )

1 edition published in 2006 in Polish and held by 1 WorldCat member library worldwide

Modeling and forecasting loads and prices in deregulated electricity markets by Rafał Weron( Book )

1 edition published in 2006 in English and held by 1 WorldCat member library worldwide

 
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Audience level: 0.41 (from 0.36 for Statistica ... to 1.00 for Bezpieczen ...)

Statistical tools for finance and insurance Statistical tools in finance and insurance
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Modeling and forecasting electricity loads and prices : a statistical approachStatistical tools in finance and insurance
Languages
English (74)

Polish (8)