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Mathematical and Statistical Methods for Actuarial Sciences and Finance

  • Book
  • © 2014

Overview

Editors:
  1. Cira Perna

    1. Department of Economics and Statistics, University of Salerno, Fisciano, Italy

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    You can also search for this editor in PubMed   Google Scholar

  2. Marilena Sibillo

    1. Department of Economics and Statistics, University of Salerno, Fisciano, Italy

    View editor publications

    You can also search for this editor in PubMed   Google Scholar

  • Improves the quality of the scientific results of financial and insurance problems using mathematical and statistical tools

  • Allows a quick consultation

  • The book is a meaningful survey of interesting and updated ideas in the field

  • Includes supplementary material: sn.pub/extras

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Table of contents (42 chapters)

  1. Front Matter

    Pages I-X
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  2. Can Personal Dependency Paths Help to Estimate Life Expectancy Free of Dependency?

    • Irene Albarrán, Pablo Alonso, Ana Arribas-Gil, Aurea Grané
    Pages 1-5

  3. Evaluation of Volatility Forecasts in a VaR Framework

    • Alessandra Amendola, Vincenzo Candila
    Pages 7-10

  4. Optimal Cut-Off Points for Multiple Causes of Business Failure Models

    • Alessandra Amendola, Marialuisa Restaino
    Pages 11-15

  5. Maximum Empirical Likelihood Inference for Outliers in Autoregressive Time Series

    • Roberto Baragona, Francesco Battaglia, Domenico Cucina
    Pages 17-20

  6. The Role of Fund Size and Returns to Scale in the Performance of Mutual Funds

    • Antonella Basso, Stefania Funari
    Pages 21-25

  7. A Robustness Analysis of Least-Squares Monte Carlo for R&D Real Options Valuation

    • Marta Biancardi, Giovanni Villani
    Pages 27-30

  8. The Common Pool Problem of Intergovernmental Interactions and Fiscal Discipline: A Stackelberg Approach

    • Giovanna Bimonte, Pietro Spennati
    Pages 31-34

  9. Evaluating Correlations in European Government Bond Spreads

    • Simona Boffelli, Giovanni Urga
    Pages 35-39

  10. Probability of Default: A Modern Calibration Approach

    • Stefano Bonini, Giuliana Caivano
    Pages 41-44

  11. Development of a LGD Model Basel2 Compliant: A Case Study

    • Stefano Bonini, Giuliana Caivano
    Pages 45-48

  12. Modelling the Latent Components of Personal Happiness

    • Stefania Capecchi, Domenico Piccolo
    Pages 49-52

  13. Measuring the Impact of Behavioural Choices on the Market Prices

    • Massimiliano Caporin, Luca Corazzini, Michele Costola
    Pages 53-56

  14. A Note on Natural Risk Statistics, OWA Operators and Generalized Gini Functions

    • Marta Cardin
    Pages 57-60

  15. The Estimation of Standard Deviation of Premium Risk Under Solvency 2

    • Rocco Roberto Cerchiara, Vittorio Magatti
    Pages 61-64

  16. The Solvency Capital Requirement Management for an Insurance Company

    • Mariarosaria Coppola, Valeria D’Amato
    Pages 65-68

  17. Direct Multi-Step Estimation and Time Series Classification

    • Marcella Corduas
    Pages 69-72

  18. Alternative Assessments of the Longevity Trends

    • Valeria D’Amato, Steven Haberman, Gabriella Piscopo, Maria Russolillo
    Pages 73-76

  19. Combinatorial Nonlinear Goal Programming for ESG Portfolio Optimization and Dynamic Hedge Management

    • Gordon H. Dash Jr., Nina Kajiji
    Pages 77-80

  20. On the Geometric Brownian Motion with Alternating Trend

    • Antonio Di Crescenzo, Barbara Martinucci, Shelemyahu Zacks
    Pages 81-85
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Keywords

About this book

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. The cooperation between mathematicians and statisticians working in insurance and finance is a very fruitful field and provides interesting scientific products in theoretical models and practical applications, as well as in scientific discussion of problems of national and international interest. This work reflects the results discussed at the biennial conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF), born at the University of Salerno in 2004.

Editors and Affiliations

  • Department of Economics and Statistics, University of Salerno, Fisciano, Italy

    Cira Perna, Marilena Sibillo

Bibliographic Information

  • Book Title: Mathematical and Statistical Methods for Actuarial Sciences and Finance

  • Editors: Cira Perna, Marilena Sibillo

  • DOI: https://doi.org/10.1007/978-3-319-05014-0

  • Publisher: Springer Cham

  • eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)

  • Copyright Information: Springer International Publishing Switzerland 2014

  • Hardcover ISBN: 978-3-319-05013-3Published: 24 March 2014

  • Softcover ISBN: 978-3-319-35856-7Published: 23 August 2016

  • eBook ISBN: 978-3-319-05014-0Published: 08 July 2014

  • Edition Number: 1

  • Number of Pages: X, 190

  • Number of Illustrations: 19 b/w illustrations, 7 illustrations in colour

  • Topics: Actuarial Sciences, Quantitative Finance, Statistical Theory and Methods, Finance, general

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