Mathematical and Statistical Methods for Actuarial Sciences and Finance

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Cira Perna, Marilena Sibillo
Springer Science & Business Media, Oct 6, 2011 - Mathematics - 412 pages
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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.
 

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Contents

On the estimation in continuous limit of GARCH processes
1
Variable selection in forecasting models for default risk
11
Capital structure with firms net cash payouts
19
Convex ordering of Esscher and minimal entropy martingale measures for discrete time models
27
On hyperbolic iterated distortions for the adjustment of survival functions
35
Modeling loss given defaul tthrough survival analysis
43
Initial premium aggregate claims and distortion risk measures in XL reinsurance with reinstatements
53
Population dynamics in a spatial Solow model with a convexconcave production function
61
The generalized trapezoidal model in financial data analysis
219
Some experimental evidences
229
Investigating and modelling the perception of economic security in the Survey of Household Income and Wealth
237
On ruin probabilities in risk models with interest rate
245
On longevity risk securitization and solvency capital requirements in life annuities
254
Modelling the share prices as a hidden random walk on the lamplighter group
263
The variance gamma case
271
Modelling the skewed exponential power distribution in finance
279

Population dynamics in a patch growth model with Sshaped production functions and migration effects
69
An ordinal approach to risk measurement
78
Piecewise linear dynamic systems for own risk solvency assessment
87
Valuation of the conditional indexation option in asset and liability management of defined benefit pension funds
95
Conditional performance attribution for equity portfolio
105
A stochastic approach
114
Computational performances of particle swarm optimization and genetic algorithms
123
A latent Markov model approach
131
Valuation of portfolio loss derivatives in an infectious model
139
Internal risk control by solvency measures
149
Measuring mortality heterogeneity in pension annuities
157
Is technical analysis able to beat market inefficiency?
165
On the damped geometric telegraphers process
174
Risk measures and Pareto style tails
183
A filtering framework for pricing and risk management
193
Claims reserving uncertainty in the development of internal risk models
202
Some inequalities between measures of multivariate kurtosis with application to financial returns
211
A sectorial perspective
287
Dynamic model of pension savings management with stochastic interest rates and stock returns
295
Financial and demographic risks impact on a payasyougo pension fund
305
Some applications to the Italian derivatives market
314
Generalization of some linear time series property to nonlinear domain
323
Evaluating the behavior of a function in kernel based regression
333
Optimal trading rules at hourly frequency in the foreign exchange markets
341
The influence of correlation and loading on MV efficient retentions in variable quota share proportional reinsurance
349
Good and bad banks
358
Tail diversification strategy An application to MSCI World Sector Indices
367
Marginalization and aggregation of exponential smoothing models in forecasting portfolio volatility
375
Generalization of stratified variance reduction methods for Monte Carlo exchange options pricing
383
Price discovery in a dynamic structural model
393
Subject Index
402
Author Index
406
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