Mathematical and Statistical Methods for Actuarial Sciences and Finance

✍ Scribed by Laura Ballester, Román Ferrer (auth.), Marco Corazza, Claudio Pizzi (eds.)

• Publisher: Springer-Verlag Mailand
• Year: 2010
• Tongue: English
• Leaves: 331
• Edition: 1
• Category: Library

✦ Synopsis

The interaction between mathematicians and statisticians reveals to be an effective approach for dealing with actuarial, insurance and financial problems, both in an academic and in an operative perspective. The international conference MAF 2008, held at the University Ca’ Foscari of Venezia (Italy) in 2008, had precisely this purpose, and the collection here published gathers a selection of about the one hundred papers presented at the conference and successively referred and reviewed to this aim. They cover a wide variety of subjects in actuarial, insurance and financial fields, all treated in light of the successful cooperation between the two quantitative approaches.

✦ Table of Contents

Front Matter....Pages I-XV
Impact of interest rate risk on the Spanish banking sector....Pages 1-11
Tracking error with minimum guarantee constraints....Pages 13-21
Energy markets: crucial relationship between prices....Pages 23-32
Tempered stable distributions and processes in finance: numerical analysis....Pages 33-42
Transformation kernel estimation of insurance claim cost distributions....Pages 43-51
What do distortion risk measures tell us on excess of loss reinsurance with reinstatements?....Pages 53-61
Some classes of multivariate risk measures....Pages 63-73
Assessing risk perception by means of ordinal models....Pages 75-83
A financial analysis of surplus dynamics for deferred life schemes....Pages 85-92
Checking financial markets via Benford’s law: the S&P 500 case....Pages 93-102
Empirical likelihood based nonparametric testing for CAPM....Pages 103-112
Lee-Carter error matrix simulation: heteroschedasticity impact on actuarial valuations....Pages 113-122
Estimating the volatility term structure....Pages 123-131
Exact and approximated option pricing in a stochastic volatility jump-diffusion model....Pages 133-142
A skewed GARCH-type model for multivariate financial time series....Pages 143-152
Financial time series and neural networks in a minority game context....Pages 153-162
Robust estimation of style analysis coefficients....Pages 163-172
Managing demographic risk in enhanced pensions....Pages 173-182
Clustering mutual funds by return and risk levels....Pages 183-191
Multivariate Variance Gamma and Gaussian Dependence: a study with copulas....Pages 193-203
A simple dimension reduction procedure for corporate finance composite indicators....Pages 205-213
The relation between implied and realised volatility in the DAX index options market....Pages 215-224
Binomial algorithms for the evaluation of options on stocks with fixed per share dividends....Pages 225-234
Nonparametric prediction in time series analysis: some empirical results....Pages 235-244
On efficient optimisation of the CVaR and related LP computable risk measures for portfolio selection....Pages 245-252
A pattern recognition algorithm for optimal profits in currency trading....Pages 253-261
Nonlinear cointegration in financial time series....Pages 263-271
Optimal dynamic asset allocation in a non—Gaussian world....Pages 273-282
Fair costs of guaranteed minimum death benefit contracts....Pages 283-293
Solvency evaluation of the guaranty fund at a large financial cooperative....Pages 295-304
A Monte Carlo approach to value exchange options using a single stochastic factor....Pages 305-314

✦ Subjects

Quantitative Finance; Statistical Theory and Methods; Financial Economics; Applications of Mathematics; Game Theory/Mathematical Methods; Statistics for Business/Economics/Mathematical Finance/Insurance