Mathematical and Statistical Methods for Insurance and Finance

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Cira Perna, Marilena Sibillo
Springer Science & Business Media, Dec 12, 2007 - Business & Economics - 208 pages

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 published here 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.

 

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Contents

Properties and Forecast Evaluation
1
Estimating Portfolio Conditional Returns Distribution Through Style Analysis Models
11
A Full Monte Carlo Approach to the Valuation of the Surrender Option Embedded in Life Insurance Contracts
18
Spatial Aggregation in Scenario Tree Reduction
27
Scaling Laws in Stock Markets An Analysis of Prices and Volumes
35
Bounds for Concave Distortion Risk Measures for Sums of Risks
43
Characterization of Convex Premium Principles
53
FFT Extreme Value Theory and Simulation to Model NonLife Insurance Claims Dependences
61
Generalized Influence Functions and Robustness Analysis
113
Neural Networks for Bandwidth Selection in NonParametric Derivative Estimation
121
Comparing Mortality Trends via LeeCarter Method in the Framework of Multidimensional Data Analysis
130
Decision Making in Financial Markets Through Multivariate Ordering Procedure
139
A Biometric Risks Analysis in Long Term Care Insurance
149
Clustering Financial Data for Mutual Fund Management
157
The SP 500 Index Future
165
Simulating a Generalized Gaussian Noise with Shape Parameter 12
173

Dynamics of Financial Time Series in an Inhomogeneous Aggregation Framework
66
A Liability Adequacy Test for Mathematical Provision
75
Iterated Function Systems Iterated Multifunction Systems and Applications
83
Remarks on Insured Loan Valuations
91
Exploring the Copula Approach for the Analysis of Financial Durations
99
A Contribution from Chaos Theory
107
Further Remarks on Risk Profiles for Life Insurance Participating Policies
181
Classifying Italian Pension Funds via GARCH Distance
188
The Analysis of Extreme Events Some Forecasting Approaches
199
Subject Index
206
Author Index
208
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About the author (2007)

Cira Perna has received the Degree in Mathematics from the University of Naples in 1983 and the M. Phil. in Statistics from the CSREAM, University of Naples, in 1985. She had Faculty positions, as Associate Professor, at the University of Calabria (1992-1994) and at the University of Salerno (1994-1999). She has been Professor of Statistics at the University of Salerno since 2000. She has published over 50 technical papers in journals and books. Her current research focuses on non linear time series analysis, artificial neural network models, resampling techniques. She is a member of the Italian Statistical Society and of the IASC. She is also in the board of the ANSET (Italian Time Series Analysis Research Group).

Marilena Sibillo: After graduating in Quantitative Economics at the University of Naples Federico II, she worked at the University of Naples Federico II as a Researcher and taught at the Universities of Sassari and Salerno as Associate Professor. Since 2004 she is Professor in Financial Mathematics. She is author of several papers, mostly in Actuarial Mathematics, published in international specialized journal. At present her research is focused on the risk analysis in actuarial portfolio valuations.