Mathematical and Statistical Methods for Actuarial Sciences and Finance

Perna, Cira; Sibillo, Marilena

Mathematical and Statistical Methods for Actuarial Sciences and Finance

Edited by Cira Perna and Marilena Sibillo ()

in Springer Books from Springer

Date: 2014
Edition: 2014
ISBN: 978-3-319-05014-0
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Chapters in this book:

Can Personal Dependency Paths Help to Estimate Life Expectancy Free of Dependency?: Irene Albarrán, Pablo Alonso, Ana Arribas-Gil and Aurea Grané
Evaluation of Volatility Forecasts in a VaR Framework: Alessandra Amendola and Vincenzo Candila
Optimal Cut-Off Points for Multiple Causes of Business Failure Models: Alessandra Amendola and Marialuisa Restaino
Maximum Empirical Likelihood Inference for Outliers in Autoregressive Time Series: Roberto Baragona, Francesco Battaglia and Domenico Cucina
The Role of Fund Size and Returns to Scale in the Performance of Mutual Funds: Antonella Basso and Stefania Funari
A Robustness Analysis of Least-Squares Monte Carlo for R&D Real Options Valuation: Marta Biancardi and Giovanni Villani
The Common Pool Problem of Intergovernmental Interactions and Fiscal Discipline: A Stackelberg Approach: Giovanna Bimonte and Pietro Spennati
Evaluating Correlations in European Government Bond Spreads: Simona Boffelli and Giovanni Urga
Probability of Default: A Modern Calibration Approach: Stefano Bonini and Giuliana Caivano
Development of a LGD Model Basel2 Compliant: A Case Study: Stefano Bonini and Giuliana Caivano
Modelling the Latent Components of Personal Happiness: Stefania Capecchi and Domenico Piccolo
Measuring the Impact of Behavioural Choices on the Market Prices: Massimiliano Caporin, Luca Corazzini and Michele Costola
A Note on Natural Risk Statistics, OWA Operators and Generalized Gini Functions: Marta Cardin
The Estimation of Standard Deviation of Premium Risk Under Solvency 2: Rocco Roberto Cerchiara and Vittorio Magatti
The Solvency Capital Requirement Management for an Insurance Company: Mariarosaria Coppola and Valeria D’Amato
Direct Multi-Step Estimation and Time Series Classification: Marcella Corduas
Alternative Assessments of the Longevity Trends: Valeria D’Amato, Steven Haberman, Gabriella Piscopo and Maria Russolillo
Combinatorial Nonlinear Goal Programming for ESG Portfolio Optimization and Dynamic Hedge Management: Gordon H. Dash and Nina Kajiji
On the Geometric Brownian Motion with Alternating Trend: Antonio Di Crescenzo, Barbara Martinucci and Shelemyahu Zacks
Empirical Evidences on Predictive Accuracy of Survival Models: Emilia Di Lorenzo, Michele La Rocca, Albina Orlando, Cira Perna and Marilena Sibillo
RedES™, a Risk Measure in a Pareto-Lévy Stable Framework with Clustering: Riccardo Donati and Marco Corazza
Run-Off Error in the Outstanding Claims Reserves Evaluation: Nicolino Ettore D’Ortona and Giuseppe Melisi
Trajectory Based Market Models. Arbitrage and Pricing Intervals: Sebastian Ferrando, Alfredo Gonzalez, Ivan Degano and Massoome Rahsepar
A Statistical Test for the Heston Model: Gianna Figà-Talamanca
Threshold Random Walk Structures in Finance: Francesco Giordano, Marcella Niglio and Cosimo Damiano Vitale
Stochastic Mortality Models. Application to CR Mortality Data: Ján Gogola
Risk Adjusted Dynamic Hedging Strategies: Martin Harcek
Pricing and Hedging Variable Annuities: Abdou Kélani and François Quittard-Pinon
Monetary Risk Functionals on Orlicz Spaces Produced by Set-Valued Risk Maps and Random Measures: Dimitrios G. Konstantinides and Christos E. Kountzakis
A Probability Inequality Related to Mardia’s Kurtosis: Nicola Loperfido
Integrating Industrial and Financial Analysis into a Rating Methodology for Corporate Risk Detection: The Case of the Vicenza Manufacturing Firms: Guido Max Mantovani, Giancarlo Coro, Paolo Gurisatti and Mattia Mestroni
Risk Measurement Using the Mixed Tempered Stable Distribution: Lorenzo Mercuri and Edit Rroji
Corporate Finance… What Else? The Case of the Productive Chain Networks in North-East Italy and the Scaffolding Finance Adopted by Their Leader: Mattia Mestroni, Elisabetta Basilico and Guido Max Mantovani
BEKK Element-by-Element Estimation of a Volatility Matrix. A Portfolio Simulation: Alessia Naccarato and Andrea Pierini
The Effects of Curvature and Elevation of the Probability Weighting Function on Options Prices: Martina Nardon and Paolo Pianca
A Multivariate Approach to Project the Long Run Relationship Between Mortality Indices for Canadian Provinces: Achille Ntamjokouen, Steven Haberman and Giorgio Consigli
Measuring and Managing the Longevity Risk: An Empirical Evidence From the Italian Pension Market: Albina Orlando, Govanna di Lorenzo and Massimiliano Politano
Pricing and Hedging Basket Options Under Shifted Asymmetric Jump-Diffusion Processes: Tommaso Paletta, Arturo Leccadito and Radu Tunaru
On a Data Mining Framework for the Identification of Frequent Pattern Trends: Marina Resta
Risk Processes with Normal Inverse Gaussian Claims and Premiums: Dean Teneng and Kalev Pärna
A Portfolio Model for the Risk Management in Public Pension: Tadashi Uratani
Black Scholes Option Sensitivity Using High Order Greeks: Yves Rakotondratsimba

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DOI: 10.1007/978-3-319-05014-0

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