Mathematical and Statistical Methods for Actuarial Sciences and Finance

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Marco Corazza, Claudio Pizzi
Springer Science & Business Media, Jun 7, 2011 - Mathematics - 314 pages
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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.

 

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Contents

Impact of interest rate risk on the Spanish banking sector
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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