Computational Issues in Insurance and Finance.

The proposed mathematical methodology is based on the theory of first-passage time probabilities, studying the market model by means of a jump-telegraph process. The paper entitled I Nonparametric Estimation of Range Value at Risk i by Suparna Biswas and Rituparna Sen [[6]] focuses on the range value at risk, a quantile-based risk measure that includes, as special cases, the value at risk and the expected shortfall. The results were tested by assessing the ability of the obtained estimates for asset volatility and market leverage to predict the one-period ahead CDS spreads and show a strong improvement in reducing pricing errors. [Extracted from the article]