Mathematical and Statistical Methods for Actuarial Sciences and Finance

✍ Scribed by Cira Perna, Marilena Sibillo (eds.)

• Publisher: Springer International Publishing
• Year: 2014
• Tongue: English
• Leaves: 190
• Edition: 1
• Category: Library

✦ Synopsis

This volume aims to collect new ideas presented in the form of 4 page papers dedicated to mathematical and statistical methods in actuarial sciences and finance. The cooperation between mathematicians and statisticians working in insurance and finance is a very fruitful field and provides interesting scientific products in theoretical models and practical applications, as well as in scientific discussion of problems of national and international interest. This work reflects the results discussed at the biennial conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF), born at the University of Salerno in 2004.

✦ Table of Contents

Front Matter....Pages I-X
Can Personal Dependency Paths Help to Estimate Life Expectancy Free of Dependency?....Pages 1-5
Evaluation of Volatility Forecasts in a VaR Framework....Pages 7-10
Optimal Cut-Off Points for Multiple Causes of Business Failure Models....Pages 11-15
Maximum Empirical Likelihood Inference for Outliers in Autoregressive Time Series....Pages 17-20
The Role of Fund Size and Returns to Scale in the Performance of Mutual Funds....Pages 21-25
A Robustness Analysis of Least-Squares Monte Carlo for R&D Real Options Valuation....Pages 27-30
The Common Pool Problem of Intergovernmental Interactions and Fiscal Discipline: A Stackelberg Approach....Pages 31-34
Evaluating Correlations in European Government Bond Spreads....Pages 35-39
Probability of Default: A Modern Calibration Approach....Pages 41-44
Development of a LGD Model Basel2 Compliant: A Case Study....Pages 45-48
Modelling the Latent Components of Personal Happiness....Pages 49-52
Measuring the Impact of Behavioural Choices on the Market Prices....Pages 53-56
A Note on Natural Risk Statistics, OWA Operators and Generalized Gini Functions....Pages 57-60
The Estimation of Standard Deviation of Premium Risk Under Solvency 2....Pages 61-64
The Solvency Capital Requirement Management for an Insurance Company....Pages 65-68
Direct Multi-Step Estimation and Time Series Classification....Pages 69-72
Alternative Assessments of the Longevity Trends....Pages 73-76
Combinatorial Nonlinear Goal Programming for ESG Portfolio Optimization and Dynamic Hedge Management....Pages 77-80
On the Geometric Brownian Motion with Alternating Trend....Pages 81-85
Empirical Evidences on Predictive Accuracy of Survival Models....Pages 87-90
RedES™, a Risk Measure in a Pareto-Lévy Stable Framework with Clustering....Pages 91-94
Run-Off Error in the Outstanding Claims Reserves Evaluation....Pages 95-98
Trajectory Based Market Models. Arbitrage and Pricing Intervals....Pages 99-103
A Statistical Test for the Heston Model....Pages 105-108
Threshold Random Walk Structures in Finance....Pages 109-112
Stochastic Mortality Models. Application to CR Mortality Data....Pages 113-116
Risk Adjusted Dynamic Hedging Strategies....Pages 117-120
Pricing and Hedging Variable Annuities....Pages 121-124
Monetary Risk Functionals on Orlicz Spaces Produced by Set-Valued Risk Maps and Random Measures....Pages 125-128
A Probability Inequality Related to Mardia’s Kurtosis....Pages 129-132
Integrating Industrial and Financial Analysis into a Rating Methodology for Corporate Risk Detection: The Case of the Vicenza Manufacturing Firms....Pages 133-136
Risk Measurement Using the Mixed Tempered Stable Distribution....Pages 137-140
Corporate Finance… What Else? The Case of the Productive Chain Networks in North-East Italy and the Scaffolding Finance Adopted by Their Leader....Pages 141-144
BEKK Element-by-Element Estimation of a Volatility Matrix. A Portfolio Simulation....Pages 145-148
The Effects of Curvature and Elevation of the Probability Weighting Function on Options Prices....Pages 149-152
A Multivariate Approach to Project the Long Run Relationship Between Mortality Indices for Canadian Provinces....Pages 153-161
Measuring and Managing the Longevity Risk: An Empirical Evidence From the Italian Pension Market....Pages 163-166
Pricing and Hedging Basket Options Under Shifted Asymmetric Jump-Diffusion Processes....Pages 167-171
On a Data Mining Framework for the Identification of Frequent Pattern Trends....Pages 173-176
Risk Processes with Normal Inverse Gaussian Claims and Premiums....Pages 177-181
A Portfolio Model for the Risk Management in Public Pension....Pages 183-186
Black Scholes Option Sensitivity Using High Order Greeks....Pages 187-190

✦ Subjects

Actuarial Sciences; Quantitative Finance; Statistical Theory and Methods; Finance/Investment/Banking