Mathematical and Statistical Methods for Actuarial Sciences and Finance

ISBN-13: 9788847023413 / Angielski / Twarda / 2011 / 412 str.

Marilena Sibillo; Cira Perna

Opis

Reflecting the cooperation of mathematicians and statisticians working in relevant fields, this volume provides state-of-the-art material on the development and real-world implementation of statistical and mathematical models in actuarial and finance sciences.

Spis treści

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 Bienven¨ue and Didier Rulli`ere

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
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 Rulli`ere

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 techincal 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 Ren´e van Dorp, and Juana-Mar´ıa 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

Blurb

The book develops the capabilities arising from the cooperation between mathematicians and statisticians working in insurance and finance fields. It gathers some of the papers presented at the conference MAF2010, held in Ravello (Amalfi coast), and successively, after a reviewing process, worked out to this aim.