Mathematical and Statistical Methods for Actuarial Sciences and Finance

Corazza, Marco; Pizzi, Claudio

Mathematical and Statistical Methods for Actuarial Sciences and Finance

Edited by Marco Corazza and Claudio Pizzi

in Springer Books from Springer

Date: 2010
ISBN: 978-88-470-1481-7
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Chapters in this book:

Impact of interest rate risk on the Spanish banking sector: Laura Ballester, Román Ferrer and Cristóbal Gonález
Tracking error with minimum guarantee constraints: Diana Barro and Elio Canestrelli
Energy markets: crucial relationship between prices: Cristina Bencivenga, Giulia Sargenti and Rita L. D’Ecclesia
Tempered stable distributions and processes in finance: numerical analysis: Michele Leonardo Bianchi, Svetlozar T. Rachev, Young Shin Kim and Frank J. Fabozzi
Transformation kernel estimation of insurance claim cost distributions: Catalina Bolancé, Montserrat Guillén and Jens Perch Nielsen
What do distortion risk measures tell us on excess of loss reinsurance with reinstatements?: Antonella Campana and Paola Ferretti
Some classes of multivariate risk measures: Marta Cardin and Elisa Pagani
Assessing risk perception by means of ordinal models: Paola Cerchiello, Maria Iannario and Domenico Piccolo
A financial analysis of surplus dynamics for deferred life schemes: Rosa Cocozza, Emilia Di Lorenzo, Albina Orlando and Marilena Sibillo
Checking financial markets via Benford’s law: the S&P 500 case: Marco Corazza, Andrea Ellero and Alberto Zorzi
Empirical likelihood based nonparametric testing for CAPM: Pietro Coretto and Maria Lucia Parrella
Lee-Carter error matrix simulation: heteroschedasticity impact on actuarial valuations: Valeria D’Amato and Maria Russolillo
Estimating the volatility term structure: Antonio Díaz, Francisco Jareño and Eliseo Navarro
Exact and approximated option pricing in a stochastic volatility jump-diffusion model: Fernanda D’Ippoliti, Enrico Moretto, Sara Pasquali and Barbara Trivellato
A skewed GARCH-type model for multivariate financial time series: Cinzia Franceschini and Nicola Loperfido
Financial time series and neural networks in a minority game context: Luca Grilli, Massimo Alfonso Russo and Angelo Sfrecola
Robust estimation of style analysis coefficients: Michele La Rocca and Domenico Vistocco
Managing demographic risk in enhanced pensions: Susanna Levantesi and Massimiliano Menzietti
Clustering mutual funds by return and risk levels: Francesco Lisi and Edoardo Otranto
Multivariate Variance Gamma and Gaussian Dependence: a study with copulas: Elisa Luciano and Patrizia Semeraro
A simple dimension reduction procedure for corporate finance composite indicators: Marco Marozzi and Luigi Santamaria
The relation between implied and realised volatility in the DAX index options market: Silvia Muzzioli
Binomial algorithms for the evaluation of options on stocks with fixed per share dividends: Martina Nardon and Paolo Pianca
Nonparametric prediction in time series analysis: some empirical results: Marcella Niglio and Cira Perna
On efficient optimisation of the CVaR and related LP computable risk measures for portfolio selection: Włodzimierz Ogryczak and Tomasz Śliwiński
A pattern recognition algorithm for optimal profits in currency trading: Danilo Pelusi
Nonlinear cointegration in financial time series: Claudio Pizzi
Optimal dynamic asset allocation in a non—Gaussian world: Gianni Pola
Fair costs of guaranteed minimum death benefit contracts: François Quittard-Pinon and Rivo Randrianarivony
Solvency evaluation of the guaranty fund at a large financial cooperative: Jean Roy
A Monte Carlo approach to value exchange options using a single stochastic factor: Giovanni Villani

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DOI: 10.1007/978-88-470-1481-7

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