Mathematical and Statistical Methods for Actuarial Sciences and Finance

Edited by Marco Corazza and Claudio Pizzi

in Springer Books from Springer

Date: 2014
ISBN: 978-3-319-02499-8
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Chapters in this book:

Weak Form Efficiency of Selected European Stock Markets: Alternative Testing Approaches

Giuseppina Albano, Michele La Rocca and Cira Perna

An Empirical Comparison of Variable Selection Methods in Competing Risks Model

Alessandra Amendola, Marialuisa Restaino and Luca Sensini

A Comparison Between Different Numerical Schemes for the Valuation of Unit-Linked Contracts Embedding a Surrender Option

Anna Rita Bacinello, Pietro Millossovich and Alvaro Montealegre

Dynamic Tracking Error with Shortfall Control Using Stochastic Programming

Diana Barro and Elio Canestrelli

Firm’s Volatility Risk Under Microstructure Noise

Flavia Barsotti and Simona Sanfelici

Socially Responsible Mutual Funds: An Efficiency Comparison Among the European Countries

Antonella Basso and Stefania Funari

Fitting Financial Returns Distributions: A Mixture Normality Approach

Riccardo Bramante and Diego Zappa

Single-Name Concentration Risk Measurements in Credit Portfolios

Raffaella Calabrese and Francesco Porro

Bifactorial Pricing Models: Light and Shadows in Correlation Role

Rosa Cocozza and Antonio De Simone

Dynamic Strategies for Defined Benefit Pension Plans Risk Management

Ilaria Colivicchi, Gabriella Piscopo and Emanuele Vannucci

Particle Swarm Optimization for Preference Disaggregation in Multicriteria Credit Scoring Problems

Marco Corazza, Stefania Funari and Riccardo Gusso

Time Series Clustering on Lower Tail Dependence for Portfolio Selection

Giovanni De Luca and Paola Zuccolotto

Solvency Analysis of Defined Benefit Pension Schemes

Pierre Devolder and Gabriella Piscopo

Stochastic Actuarial Valuations in Double-Indexed Pension Annuity Assessment

Emilia Di Lorenzo, Albina Orlando and Marilena Sibillo

Testing for Normality When the Sampled Distribution Is Extended Skew-Normal

Cinzia Franceschini and Nicola Loperfido

On the RODEO Method for Variable Selection

Francesco Giordano and Maria Lucia Parrella

Portfolio Allocation Using Omega Function: An Empirical Analysis

Asmerilda Hitaj, Francesco Martinelli and Giovanni Zambruno

Investment Rankings via an Objective Measure of Riskiness: A Case Study

Maria Erminia Marina and Marina Resta

A Squared Rank Assessment of the Difference Between US and European Firm Valuation Ratios

Marco Marozzi

A Behavioural Approach to the Pricing of European Options

Martina Nardon and Paolo Pianca

Threshold Structures in Economic and Financial Time Series

Marcella Niglio and Cosimo Damiano Vitale

Intelligent Algorithms for Trading the Euro-Dollar in the Foreign Exchange Market

Danilo Pelusi, Massimo Tivegna and Pierluigi Ippoliti

Risk Management and Capital Allocation for Non-Life Insurance Companies

Marco Pirra, Salvatore Forte and Matteo Ialenti

Modelling Asymmetric Behaviour in Time Series: Identification Through PSO

Claudio Pizzi and Francesca Parpinel

Valuation of Collateralized Funds of Hedge Fund Obligations: A Basket Option Pricing Approach

Gian Luca Tassinari and Corrado Corradi

Valuation of R&D Investment Opportunities Using the Least-Squares Monte Carlo Method

Giovanni Villani

The Determinants of Interbank Contagion: Do Patterns Matter?

Stefano Zedda, Giuseppina Cannas and Clara Galliani

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DOI: 10.1007/978-3-319-02499-8

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