## Mathematical and Statistical Methods for Actuarial Sciences and FinanceCira Perna, Marilena Sibillo 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 |

402 | |

406 | |

### Other editions - View all

Mathematical and Statistical Methods for Actuarial Sciences and Finance Cira Perna,Marilena Sibillo No preview available - 2014 |

### Common terms and phrases

Actuarial Sciences algorithm analysis application approach assets assume bad bank bandwidth capital cash ﬂow coefﬁcients completely distributive lattices computed consider copula correlation CVaR default deﬁned deﬁnition denote density distortion distribution dividends dynamic Econ economic efﬁcient equity estimation ﬁnance Finance DOI ﬁnancial ﬁrm ﬁrst ﬁt ﬁxed forecasting framework global inﬂuence interest rate Italy Italy e-mail kurtosis lamplighter group lattice liabilities linear log-concave longevity risk Mathematical and Statistical Methods for Actuarial mortality moving averages multivariate obtained optimal option P-value paper parameters pension fund portfolio premium probability procedure proﬁt proﬁtability proposed random variable random walk regression reinsurance risk margin risk measures sample Sciences and Finance Section selection Sibillo signiﬁcant simulation Solvency II speciﬁc Springer—Verlag Italia 2012 Stat Statistical Methods stochastic stock market survival analysis Table Theorem trading University University of Salerno Value at Risk variance vector volatility