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: 2012
ISBN: 978-88-470-2342-0
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Chapters in this book:

On the estimation in continuous limit of GARCH processes: Giuseppina Albano, Francesco Giordano and Cira Perna
Variable selection in forecasting models for default risk: Alessandra Amendola, Marialuisa Restaino and Luca Sensini
Capital structure with firm’s net cash payouts: Flavia Barsotti, Maria Elvira Mancino and Monique Pontier
Convex ordering of Esscher and minimal entropy martingale measures for discrete time models: Fabio Bellini and Carlo Sgarra
On hyperbolic iterated distortions for the adjustment of survival functions: Alexis Bienvenüe and Didier Rullière
Beyond Basel2: Modeling loss given default through survival analysis: Stefano Bonini and Giuliana Caivano
Initial premium, aggregate claims and distortion risk measures in XL reinsurance with reinstatements: Antonella Campana and Paola Ferretti
Population dynamics in a spatial Solow model with a convex-concave production function: Vincenzo Capasso, Ralf Engbers and Davide La Torre
Population dynamics in a patch growth model with S-shaped production functions and migration effects: Vincenzo Capasso, Herb E. Kunze and Davide La Torre
An ordinal approach to risk measurement: Marta Cardin and Miguel Couceiro
Piecewise linear dynamic systems for own risk solvency assessment: Rocco Roberto Cerchiara and Fabio Lamantia
Valuation of the conditional indexation option in asset and liability management of defined benefit pension funds: Rosa Cocozza, Angela Gallo and Giuseppe Xella
Conditional performance attribution for equity portfolio: Claudio Conversano and Alessio Lizzeri
Capital requirements for aggregate risks in long term living products: A stochastic approach: Mariarosaria Coppola, Albina Orlando and Massimiliano Politano
Portfolio selection with an alternative measure of risk: Computational performances of particle swarm optimization and genetic algorithms: Marco Corazza, Giovanni Fasano and Riccardo Gusso
Interdependence and contagion in international stock markets: A latent Markov model approach: Michele Costa, Luca De Angelis and Leonard J. Paas
Valuation of portfolio loss derivatives in an infectious model: Areski Cousin, Diana Dorobantu and Didier Rullière
Internal risk control by solvency measures: Valeria D’Amato, Emilia Di Lorenzo, Maria Russolillo and Marilena Sibillo
Measuring mortality heterogeneity in pension annuities: Valeria D’Amato, Gabriella Piscopo and Maria Russolillo
Is technical analysis able to beat market inefficiency?: Elisa Daniotti
On the damped geometric telegrapher’s process: Antonio Di Crescenzo, Barbara Martinucci and Shelemyahu Zacks
Risk measures and Pareto style tails: Anna Maria Fiori, Emanuela Rosazza Gianin and Anna Spasova
Credit risk and incomplete information: A filtering framework for pricing and risk management: Claudio Fontana
Claims reserving uncertainty in the development of internal risk models: Salvatore Forte, Matteo Ialenti and Marco Pirra
Some inequalities between measures of multivariate kurtosis, with application to financial returns: Cinzia Franceschini and Nicola Loperfido
The generalized trapezoidal model in financial data analysis: Manuel Franco, Johan René van Dorp and Juana-María Vivo
Nonparametric estimation of volatility functions: Some experimental evidences: Francesco Giordano, Michele La Rocca and Cira Perna
Investigating and modelling the perception of economic security in the Survey of Household Income and Wealth: Maria Iannario and Domenico Piccolo
On ruin probabilities in risk models with interest rate: Nino Kordzakhia, Alexander Novikov and Gurami Tsitsiashvili
On longevity risk securitization and solvency capital requirements in life annuities: Susanna Levantesi, Massimiliano Menzietti and Tiziana Torri
Modelling the share prices as a hidden random walk on the lamplighter group: Xiaojuan Ma and Sergey Utev
Multivariate jump arrivals: The variance gamma case: Roberto Marfè
Modelling the skewed exponential power distribution in finance: J. Miguel Marín and Genaro Sucarrat
Composite indicators: A sectorial perspective: Marco Marozzi
Dynamic model of pension savings management with stochastic interest rates and stock returns: Igor Melicherčík and Daniel Ševčovič
Financial and demographic risks impact on a pay-as-you-go pension fund: Roberta Melis and Alessandro Trudda
Extracting implied dividends from options prices: Some applications to the Italian derivatives market: Martina Nardon and Paolo Pianca
Generalization of some linear time series property to nonlinear domain: Marcella Niglio and Cosimo Damiano Vitale
Evaluating the behavior of a function in kernel based regression: Maria Lucia Parrella
Optimal trading rules at hourly frequency in the foreign exchange markets: Danilo Pelusi and Massimo Tivegna
The influence of correlation and loading on M–V efficient retentions in variable quota share proportional reinsurance: Flavio Pressacco and Laura Ziani
Good and bad banks: Luca Regis
Tail diversification strategy. An application to MSCI World Sector Indices: Giorgia Rivieccio
Marginalization and aggregation of exponential smoothing models in forecasting portfolio volatility: Giacomo Sbrana and Andrea Silvestrini
Generalization of stratified variance reduction methods for Monte Carlo exchange options pricing: Giovanni Villani
Price discovery in a dynamic structural model: Lei Wu and Hans van der Weide

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DOI: 10.1007/978-88-470-2342-0

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