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Mathematical and Statistical Methods for Actuarial Sciences and Finance
313![Mathematical and Statistical Methods for Actuarial Sciences and Finance](http://img.images-bn.com/static/redesign/srcs/images/grey-box.png?v11.9.4)
Mathematical and Statistical Methods for Actuarial Sciences and Finance
313Hardcover(2014)
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Overview
Product Details
ISBN-13: | 9783319024981 |
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Publisher: | Springer International Publishing |
Publication date: | 11/25/2013 |
Edition description: | 2014 |
Pages: | 313 |
Product dimensions: | 6.10(w) x 9.25(h) x 0.04(d) |
About the Author
The interaction between mathematicians and statisticians has been shown to be an effective approach for dealing with actuarial, insurance and financial problems, both from an academic perspective and from an operative one. The collection of original papers presented in this volume pursues precisely this purpose. It covers a wide variety of subjects in actuarial, insurance and finance fields, all treated in the light of the successful cooperation between the above two quantitative approaches.
The papers published in this volume present theoretical and methodological contributions and their applications to real contexts. With respect to the theoretical and methodological contributions, some of the considered areas of investigation are: actuarial models; alternative testing approaches; behavioral finance; clustering techniques; coherent and non-coherent risk measures; credit scoring approaches; data envelopment analysis; dynamic shastic programming; financial contagion models; financial ratios; intelligent financial trading systems; mixture normality approaches; Monte Carlo-based methods; multicriteria methods; nonlinear parameter estimation techniques; nonlinear threshold models; particle swarm optimization; performance measures; portfolio optimization; pricing methods for structured and non-structured derivatives; risk management; skewed distribution analysis; solvency analysis; shastic actuarial valuation methods; variable selection models; time series analysis tools. As regards the applications, they are related to real problems associated, among the others, to: banks; collateralized fund obligations; credit portfolios; defined benefit pension plans; double-indexed pension annuities; efficient-market hypothesis; exchange markets; financial time series; firms; hedge funds; non-life insurance companies; returns distributions; socially responsible mutual funds; unit-linked contracts.
This book is aimed at academics, Ph.D. students, practitioners, professionals and researchers. But it will also be of interest to readers with some quantitative background knowledge.
Table of Contents
Impact of interest rate risk on the Spanish banking sector Laura Ballester Román Ferrer Cristóbal González 1
Tracking error with minimum guarantee constraints Diana Barro Elio Canestrelli 13
Energy markets: crucial relationship between prices Cristina Bencivenga Giulia Sargenti Rita L. D 'Ecclesia 23
Tempered stable distributions and processes in finance: numerical analysis Michele Leonardo Bianchi Svetlozar T. Rachev Young Shin Kim Frank J. Fabozzi 33
Transformation kernel estimation of insurance claim cost distributions Catalina Bolancé Montserrat Guillén Jens Perch Nielsen 43
What do distortion risk measures tell us on excess of loss reinsurance with reinstatements? Antonella Campana Paola Ferretti 53
Some classes of multivariate risk measures Marta Cardin Elisa Pagani 63
Assessing risk perception by means of ordinal models Paola Cerchiello Maria Iannario Domenico Piccolo 75
A financial analysis of surplus dynamics for deferred life schemes Rosa Cocozza Emilia Di Lorenzo Albina Orlando Marilena Sibillo 85
Checking financial markets via Benford's law: the S&P 500 case Marco Corazza Andrea Ellero Alberto Zorzi 93
Empirical likelihood based nonparametric testing for CAPM Pietro Coretto Maria Lucia Parrella 103
Lee-Carter error matrix simulation: heteroschedasticity impact on actuarial valuations Valeria D'Amato Maria Russolillo 113
Estimating the volatility term structure Antonio Díaz Francisco Jareño Eliseo Navarro 123
Exact and approximated option pricing in a stochastic volatility jump-diffusion model Fernanda D'Ippoliti Enrico Moretto Sara Pasquali Barbara Trivellato 133
A skewed GARCH-type model for multivariate financial time series Cinzia Franceschini Nicola Loperfido 143
Financial time series and neural networks in a minority game context Luca Grilli Massimo Alfonso Russo Angelo Sfrecola 153
Robust estimation of style analysis coefficients Michele La Rocca Domenico Vistocco 163
Managing demographic risk in enhanced pensions Susanna Levantesi Massimiliano Menzietti 173
Clustering mutual funds by return and risk levels Francesco Lisi Edoardo Otranto 183
Multivariate Variance Gamma and Gaussian dependence: a study with copulas Elisa Luciano Patrizia Semeraro 193
A simple dimension reduction procedure for corporate finance composite indicators Marco Marozzi Luigi Santamaria 205
The relation between implied and realised volatility in the DAX index options market Silvia Muzzioli 215
Binomial algorithms for the evaluation of options on stocks with fixed per share dividends Martina Nardon Paolo Pianca 225
Nonparametric prediction in time series analysis: some empirical results Marcella Niglio Cira Perna 235
On efficient optimisation of the CVaR and related LP computable risk measures for portfolio selection Włdzimierz Ogryczak Tomasz Śliwiński 245
A pattern recognition algorithm for optimal profits in currency trading Danilo Pelusi 253
Nonlinear cointegration in financial time series Claudio Pizzi 263
Optimal dynamic asset allocation in a non-Gaussian world Gianni Pola 273
Fair costs of guaranteed minimum death benefit contracts François Quittard-Pinon Rivo Randrianarivony 283
Solvency evaluation of the guaranty fund at a large financial cooperative Jean Roy 295
A Monte Carlo approach to value exchange options using a single stochastic factor Giovanni Villani 305