Mathematical and Statistical Methods for Actuarial Sciences and Finance

✍ Scribed by Giuseppina Albano, Francesco Giordano (auth.), Cira Perna, Marilena Sibillo (eds.)

• Publisher: Springer-Verlag Mailand
• Year: 2012
• Tongue: English
• Leaves: 401
• Edition: 1
• Category: Library

✦ Synopsis

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.

✦ Table of Contents

Front Matter....Pages I-XII
On the estimation in continuous limit of GARCH processes....Pages 1-9
Variable selection in forecasting models for default risk....Pages 11-18
Capital structure with firm’s net cash payouts....Pages 19-26
Convex ordering of Esscher and minimal entropy martingale measures for discrete time models....Pages 27-34
On hyperbolic iterated distortions for the adjustment of survival functions....Pages 35-42
Beyond Basel2: Modeling loss given default through survival analysis....Pages 43-52
Initial premium, aggregate claims and distortion risk measures in XL reinsurance with reinstatements....Pages 53-60
Population dynamics in a spatial Solow model with a convex-concave production function....Pages 61-68
Population dynamics in a patch growth model with S-shaped production functions and migration effects....Pages 69-77
An ordinal approach to risk measurement....Pages 79-86
Piecewise linear dynamic systems for own risk solvency assessment....Pages 87-94
Valuation of the conditional indexation option in asset and liability management of defined benefit pension funds....Pages 95-103
Conditional performance attribution for equity portfolio....Pages 105-113
Capital requirements for aggregate risks in long term living products: A stochastic approach....Pages 115-122
Portfolio selection with an alternative measure of risk: Computational performances of particle swarm optimization and genetic algorithms....Pages 123-130
Interdependence and contagion in international stock markets: A latent Markov model approach....Pages 131-138
Valuation of portfolio loss derivatives in an infectious model....Pages 139-147
Internal risk control by solvency measures....Pages 149-156
Measuring mortality heterogeneity in pension annuities....Pages 157-164
Is technical analysis able to beat market inefficiency?....Pages 165-173
On the damped geometric telegrapher’s process....Pages 175-182
Risk measures and Pareto style tails....Pages 183-191
Credit risk and incomplete information: A filtering framework for pricing and risk management....Pages 193-201
Claims reserving uncertainty in the development of internal risk models....Pages 203-210
Some inequalities between measures of multivariate kurtosis, with application to financial returns....Pages 211-218
The generalized trapezoidal model in financial data analysis....Pages 219-227
Nonparametric estimation of volatility functions: Some experimental evidences....Pages 229-236
Investigating and modelling the perception of economic security in the Survey of Household Income and Wealth....Pages 237-244
On ruin probabilities in risk models with interest rate....Pages 245-253
On longevity risk securitization and solvency capital requirements in life annuities....Pages 255-262
Modelling the share prices as a hidden random walk on the lamplighter group....Pages 263-270
Multivariate jump arrivals: The variance gamma case....Pages 271-278
Modelling the skewed exponential power distribution in finance....Pages 279-286
Composite indicators: A sectorial perspective....Pages 287-294
Dynamic model of pension savings management with stochastic interest rates and stock returns....Pages 295-303
Financial and demographic risks impact on a pay-as-you-go pension fund....Pages 305-313
Extracting implied dividends from options prices: Some applications to the Italian derivatives market....Pages 315-322
Generalization of some linear time series property to nonlinear domain....Pages 323-331
Evaluating the behavior of a function in kernel based regression....Pages 333-340
Optimal trading rules at hourly frequency in the foreign exchange markets....Pages 341-348
The influence of correlation and loading on M–V efficient retentions in variable quota share proportional reinsurance....Pages 349-357
Good and bad banks....Pages 359-366
Tail diversification strategy. An application to MSCI World Sector Indices....Pages 367-374
Marginalization and aggregation of exponential smoothing models in forecasting portfolio volatility....Pages 375-382
Generalization of stratified variance reduction methods for Monte Carlo exchange options pricing....Pages 383-391
Price discovery in a dynamic structural model....Pages 393-401
Back Matter....Pages 403-408

✦ Subjects

Quantitative Finance; Statistics, general; Business/Management Science, general; Insurance; Game Theory/Mathematical Methods; Financial Economics