Mathematical and Statistical Methods in Insurance and Finance

✍ Scribed by Alessandra Amendola, Marcella Niglio (auth.), Cira Perna, Marilena Sibillo (eds.)

Publisher: Springer
Year: 2008
Tongue: English
Leaves: 208
Edition: 1
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

The interaction between mathematicians and statisticians reveals to be an effective approach to the analysis of insurance and financial problems, in particular in an operative perspective. The Maf2006 conference, held at the University of Salerno in 2006, had precisely this purpose and the collection here published gathers some of the papers presented at the conference and successively worked out to this aim. They cover a wide variety of subjects in insurance and financial fields, all treated in light of the successful cooperation between the two quantitative methods.

✦ Table of Contents

Front Matter....Pages I-XIV
Least Squares Predictors for Threshold Models: Properties and Forecast Evaluation....Pages 1-9
Estimating Portfolio Conditional Returns Distribution Through Style Analysis Models....Pages 11-17
A Full Monte Carlo Approach to the Valuation of the Surrender Option Embedded in Life Insurance Contracts....Pages 19-26
Spatial Aggregation in Scenario Tree Reduction....Pages 27-34
Scaling Laws in Stock Markets. An Analysis of Prices and Volumes....Pages 35-42
Bounds for Concave Distortion Risk Measures for Sums of Risks....Pages 43-51
Characterization of Convex Premium Principles....Pages 53-60
FFT, Extreme Value Theory and Simulation to Model Non-Life Insurance Claims Dependences....Pages 61-65
Dynamics of Financial Time Series in an Inhomogeneous Aggregation Framework....Pages 67-74
A Liability Adequacy Test for Mathematical Provision....Pages 75-81
Iterated Function Systems, Iterated Multifunction Systems, and Applications....Pages 83-90
Remarks on Insured Loan Valuations....Pages 91-98
Exploring the Copula Approach for the Analysis of Financial Durations....Pages 99-106
Analysis of Economic Fluctuations: A Contribution from Chaos Theory....Pages 107-112
Generalized Influence Functions and Robustness Analysis....Pages 113-120
Neural Networks for Bandwidth Selection in Non-Parametric Derivative Estimation....Pages 121-129
Comparing Mortality Trends via Lee-Carter Method in the Framework of Multidimensional Data Analysis....Pages 131-138
Decision Making in Financial Markets Through Multivariate Ordering Procedure....Pages 139-147
A Biometric Risks Analysis in Long Term Care Insurance....Pages 149-156
Clustering Financial Data for Mutual Fund Management....Pages 157-164
Modeling Ultra-High-Frequency Data: The S&P 500 Index Future....Pages 165-172
Simulating a Generalized Gaussian Noise with Shape Parameter 1/2....Pages 173-180
Further Remarks on Risk Profiles for Life Insurance Participating Policies....Pages 181-187
Classifying Italian Pension Funds via GARCH Distance....Pages 189-197
The Analysis of Extreme Events — Some Forecasting Approaches....Pages 199-205
Back Matter....Pages 207-209