Mathematical and Statistical Methods for Actuarial Sciences and Finance / edited by Cira Perna, Marilena Sibillo.

Format:

Book

Contributor:

Perna, Cira, Editor.

Sibillo, Marilena, Editor.

Language:

English

Subjects (All):

Actuarial science.

Social sciences--Mathematics.

Social sciences.

Statistics.

Finance.

Actuarial Mathematics.

Mathematics in Business, Economics and Finance.

Statistical Theory and Methods.

Financial Economics.

Local Subjects:

Actuarial Mathematics.

Mathematics in Business, Economics and Finance.

Statistical Theory and Methods.

Financial Economics.

Physical Description:

1 online resource (190 p.)

Edition:

1st ed. 2014.

Place of Publication:

Cham : Springer International Publishing : Imprint: Springer, 2014.

Language Note:

English

Summary:

The interaction between mathematicians and statisticians working in the actuarial and financial fields is producing numerous meaningful scientific results. This volume, comprising a series of four-page papers, gathers new ideas relating to mathematical and statistical methods in the actuarial sciences and finance. The book covers a variety of topics of interest from both theoretical and applied perspectives, including: actuarial models; alternative testing approaches; behavioral finance; clustering techniques; coherent and non-coherent risk measures; credit-scoring approaches; data envelopment analysis; dynamic stochastic programming; financial contagion models; financial ratios; intelligent financial trading systems; mixture normality approaches; Monte Carlo-based methodologies; 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; stochastic actuarial valuation methods; variable selection models; and time series analysis tools. This book will be of value for academics, PhD students, practitioners, professionals, and researchers. It will also be of interest to other readers with some quantitative background knowledge.

Contents:

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.

Notes:

"This volume 1 aims to collect new ideas presented in form of 4-pages papers dedicated to mathematical and statistical methods in actuarial sciences and finance."

Includes bibliographical references at the end of each chapters.

ISBN:

3-319-05014-1