Mathematical and Statistical Methods for Actuarial Sciences and Finance

Häftad, Engelska, 2016

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This volume aims to collect new ideas presented in the form of 4 page papers dedicated to mathematical and statistical methods in actuarial sciences and finance.

Produktinformation

Utgivningsdatum2016-08-23
Mått155 x 235 x 12 mm
Vikt312 g
FormatHäftad
SpråkEngelska
Antal sidor190
FörlagSpringer International Publishing AG
ISBN9783319358567

Tillhör följande kategorier

1 I. Albarrn, P. Alonso, A.Arribas-Gil and A. Gran: Can personal dependency paths help to estimate life expectancy free of dependency?.- 2 A. Amendola and V. Candila: Evaluation of volatility forecasts in a VaR framework.- 3 A. Amendola and M. Restaino: Optimal cut-off points for multiple causes of business failure models.- 4 R. Baragona, F. Battaglia and D. Cucina: Maximum empirical likelihood inference for outliers in autoregressive time series.- 5 A. Basso and S. Funari: The role of fund size and returns to scale in the performance of mutual funds.- 6 M. Biancardi and G. Villani: A robustness analysis of least-squares monte carlo for r&d real options valuation.- 7 G. Bimonte and P. Spennati: The common pool problem of intergovernmental interactions and fiscal discipline: a Stackelberg approach.- 8 S. Boffelli and G. Urga: High -and low-frequency correlations in European government bond spreads and their macroeconomic drivers.- 9 S. Bonini and G. Caivano: Probability of default: a modern calibration approach.- 10 S. Bonini and G. Caivano: Development of a LGD model Basel2 compliant: a case study.- 11 S. Capecchi and D. Piccolo: Modelling the latent components of personal happiness.- 12 M. Caporin, L. Corazzini and M. Costola: Measuring the impact of behavioural choices on the market prices.- 13 M. Cardin: A note on natural risk statistics, OWA operators and generalized Gini functions.- 14 R. Cerchiara and V. Magatti: The estimation of standard deviation of premium risk under solvency 2. - 15 M. Coppola and V. D'Amato: The solvency capital requirement management for an insurance company.- 16 M. Corduas: Direct multi-step estimation and time series classification. - 17 V. D'Amato, S. Haberman, G. Piscopo and M. Russolillo: Alternative Assessments of the Longevity Trends.- 18 G. H. Dash, Jr. and N. Kajiji: Combinatorial nonlinear goal programming for ESG portfolio optimization and dynamic hedge management.- 19 A. Di Crescenzo, B. Martinucci and S. Zacks:On the geometric Brownian motion with alternating trend.- 20 E. Di Lorenzo, M. La Rocca, A. Orlando, C. Perna and M. Sibillo: Empirical evidences on predictive accuracy of survival models.- 21 R. Donati and M. Corazza: RedESTM, a risk measure in a Pareto-Levy stable framework with clustering.- 22 N. Ettore D'Ortona and G. Melisi: Run-off error in the outstanding claims reserves evaluation.- 23 S. Ferrando, A. Gonzalez, I. Degano, and M. Rahsepar: Trajectory based market models. Arbitrage and pricing intervals.- 24 G. Fig-Talamanca: A statistical test for the Heston model.- 25 F. Giordano, M. Niglio and C. Damiano Vitale: Threshold Random Walk structures in finance.- 26 J. Gogola: Stochastic mortality models. Application to CR mortality data.- 27 M. Harcek: Risk adjusted dynamic hedging strategies.- 28 A. Klani and F. Quittard-Pinon: Pricing and hedging variable annuities.- 29 D. G. Konstantinides and C. E. Kountzakis: Monetary risk functionals on Orlicz spaces produced by set-valued risk maps and random measures.- 30 N. Loperfido: A probability inequality related to Mardia's kurtosis.- 31 G. M. Mantovani, G. Coro, P. Gurisatti and M. Mestroni: Integrating industrial and financial analysis into a rating methodology for corporate risk detection: the case of the Vicenza manufacturing firms.- 32 L. Mercuri and E. Rroji: Risk measurement using the mixed tempered stable distribution.- 33 M. Mestroni, E. Basilico and G. Max Mantovani: Corporate finance... what else? The case of the productive chain networks in north-east Italy and the scaffolding finance adopted by their leader.- 34 A. Naccarato and P. Andrea: BEKK element-by-element estimation of a volatility matrix. A portfolio simulation.- 35 M. Nardon and P. Pianca: The effects of curvature and elevation of the probability weighting function on options prices.- 36 A. Ntamjokouen, S. Haberman and G. Consigli: A multivariate approach to project the long run relationship of mortality indices between Canadianprovinces.- 37 A. Orlando, G. di Lorenzo and M. Politano: Measuring and managing the longevity risk: an empirical evidence from the Italian pension market.- 38 T. Paletta, A. Leccadito and R. Tunaru: Pricing and hedging basket options under shifted asymmetric jump-diffusion process.- 39 M. Resta: On a data mining framework for the identification of frequent pattern trends.- 40 D. Teneng and K. Parna: Risk processes with normal inverse gaussian claims and premiums.- 41 T. Uratani: A portfolio model for the risk management in public pension.- 42 R. Yves: Black Scholes option sensitivity using high order greeks.