Mathematical and Statistical Methods for Actuarial Sciences and Finance (eBook)

On the estimation in continuous limit of GARCH processesGiuseppina Albano, Francesco Giordano, and Cira PernaVariable selection in forecasting models for default riskAlessandra Amendola, Marialuisa Restaino, and Luca SensiniCapital structure with firm’s net cash payoutsFlavia Barsotti, Maria Elvira Mancino, and Monique PontierConvex ordering of Esscher and minimal entropy martingale measures for discrete time modelsFabio Bellini and Carlo SgarraOn hyperbolic iterated distortions for the adjustment of survival functions Alexis Bienven¨ue and Didier Rulli`ereBeyond Basel2: Modeling loss given default through survival analysisStefano Bonini and Giuliana CaivanoInitial premium, aggregate claims and distortion risk measures in XL reinsurance with Antonella Campana and Paola FerrettiPopulation dynamics in a spatial Solow model with a convex-concave production function Vincenzo Capasso, Ralf Engbers, and Davide La TorrePopulation dynamics in a patch growth model with S-shaped production functions and migration effects Vincenzo Capasso, Herb E. Kunze, and Davide La TorreAn ordinal approach to risk measurementMarta Cardin and Miguel CouceiroPiecewise linear dynamic systems for own risk solvency assessmentRocco Roberto Cerchiara and Fabio LamantiaValuation of the conditional indexation option in asset and liability management of defined benefit pension funds Rosa Cocozza, Angela Gallo, and Giuseppe XellaConditional performance attribution for equity portfolio Claudio Conversano and Alessio LizzeriCapital requirements for aggregate risks in long term living products: A stochastic approachMariarosaria Coppola, Albina Orlando,and Massimiliano PolitanoPortfolio selection with an alternative measure of risk: Computational performances of particle swarm optimization and genetic algorithms Marco Corazza, Giovanni Fasano, and Riccardo GussoInterdependence and contagion in international stock markets: A latent Markov model approachMichele Costa, Luca De Angelis, and Leonard J. PaasValuation of portfolio loss derivatives in an infectious model Areski Cousin, Diana Dorobantu, and Didier Rulli`ereInternal risk control by solvency measures Valeria D’Amato, Emilia Di Lorenzo, Maria Russolillo, and Marilena SibilloMeasuring mortality heterogeneity in pension annuities Valeria D’Amato, Gabriella Piscopo, and Maria RussolilloIs techincal analysis able to beat market inefficiency? Elisa DaniottiOn the damped geometric telegrapher’s processAntonio Di Crescenzo, Barbara Martinucci, and Shelemyahu ZacksRisk measures and Pareto style tailsAnna Maria Fiori, Emanuela Rosazza Gianin, and Anna SpasovaCredit risk and incomplete information: A filtering framework for pricing and risk management Claudio FontanaClaims reserving uncertainty in the development of internal risk models Salvatore Forte, Matteo Ialenti, and Marco PirraSome inequalities between measures of multivariate kurtosis, with application to financial returns Cinzia Franceschini and Nicola LoperfidoThe generalized trapezoidal model in financial data analysis Manuel Franco, Johan Ren´e van Dorp, and Juana-Mar´ıa VivoNonparametric estimation of volatility functions: Some experimental evidences Francesco Giordano, Michele La Rocca, and Cira PernaInvestigating and modelling the perception of economic security in the survey of household income and wealth Maria Iannario and Domenico PiccoloOn ruin probabilities in risk models with interest rate Nino Kordzakhia, Alexander Novikov, and Gurami TsitsiashviliOn longevity risk securitization and solvency capital requirements in life annuities Susanna Levantesi, Massimiliano Menzietti, and Tiziana TorriModelling the share prices as a hidden random walk on the lamplighter group Xiaojuan Ma and Sergey UtevMultivariate jump arrivals: The variance gamma case Roberto MarfèModelling the skewed exponential power distribution in finance J. Miguel Marín and Genaro SucarratComposite indicators: A sectorial perspectiveMarco MarozziDynamic model of pension savings management with stochastic interest rates and stock returnsIgor Melicherčík and Daniel ŠevčovičFinancial and demographic risks impact on a pay-as-you-go pension fund Roberta Melis and Alessandro TruddaExtracting implied dividends from options prices: Some applications to the Italian derivatives market Martina Nardon and Paolo PiancaGeneralization of some linear time series property to nonlinear domain Marcella Niglio and Cosimo Damiano VitaleEvaluating the behavior of a function in kernel based regressionMaria Lucia ParrellaOptimal trading rules at hourly frequency in the foreign Exchange marketsDanilo Pelusi and Massimo TivegnaThe influence of correlation and loading on M-V efficient retentions in variable quota share proportional reinsurance Flavio Pressacco and Laura ZianiGood and bad banks Luca RegisTail diversification strategy. An application to MSCI World Sector Indices Giorgia RivieccioMarginalization and aggregation of exponential smoothing models in forecasting portfolio volatility Giacomo Sbrana and Andrea SilvestriniGeneralization of stratified variance reduction methods for monte carlo exchange options pricing Giovanni VillaniPrice discovery in a dynamic structural model Lei Wu and Hans van der Weide