Mathematical and Statistical Methods for Actuarial Sciences and FinanceMarco Corazza, Pizzi Claudio This book features selected papers from the international conference MAF 2008 that cover a wide variety of subjects in actuarial, insurance and financial fields, all treated in light of the successful cooperation between mathematics and statistics. |
Contents
| 1 | |
Tracking error with minimum guarantee constraints | 12 |
crucial relationship between prices | 23 |
numerical analysis | 33 |
Transformation kernel estimation of insurance claim cost distributions | 43 |
What do distortion risk measures tell us on excess of loss reinsurance with reinstatements? | 52 |
Some classes of multivariate risk measures | 63 |
Assessing risk perception by means of ordinal models | 74 |
Robust estimation of style analysis coefficients | 163 |
Managing demographic risk in enhanced pensions | 173 |
Clustering mutual funds by return and risk levels | 183 |
a study with copulas | 193 |
A simple dimension reduction procedure for corporate finance composite indicators | 204 |
The relation between implied and realised volatility in the DAX index options market | 215 |
Binomial algorithms for the evaluation of options on stocks with fixed per share dividends | 225 |
some empirical results | 235 |
A financial analysis of surplus dynamics fordeferred life schemes | 85 |
the SP 500 case | 93 |
Empirical likelihood based nonparametric testing for CAPM | 103 |
heteroschedasticity impact on actuarial valuations | 113 |
Estimating the volatility term structure | 123 |
Exact and approximated option pricing in a stochastic volatility jumpdiffusion model | 132 |
A skewed GARCHtype model for multivariate financial time series | 143 |
Financial time series and neural networks in a minority game context | 153 |
On efficient optimisation of the CVaR and related LP computable risk measures for portfolio selection | 245 |
A pattern recognition algorithm for optimal profits in currency trading | 253 |
Nonlinear cointegration in financial time series | 262 |
Optimal dynamic asset allocation in a nonGaussian world | 273 |
Fair costs of guaranteed minimum death benefit contracts | 283 |
Solvency evaluation of the guaranty fund at a large financial cooperative | 294 |
A Monte Carlo approach to value exchange options using a single stochastic factor | 305 |
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Mathematical and Statistical Methods for Actuarial Sciences and Finance Marco Corazza,Pizzi Claudio No preview available - 2011 |
Common terms and phrases
algorithm analysis applied approach asset assume bank capital changes choice coefficient cointegration component computational conditional consider correlation corresponding defined denote density dependence described distribution dividend dynamics effect efficiency empirical equation error estimation evaluation expected Finan forecast function fund given guarantee hypothesis increase indicator initial interest interest rate introduced investment Italy jumps linear mean measure method mortality multivariate natural observations obtained optimal options parameters particular performance period portfolio positive possible predictions premium present probability problem procedure proposed random variable ratio realised References regression relationship reported represented requirements respect returns risk risk measures sample scenarios selected significant similar simulation standard statistical step stochastic structure Table term transformation variables variance vector volatility