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Mathematical and Statistical Methods for Actuarial Sciences and Finance

  • Book
  • © 2012

Overview

Editors:
  1. Cira Perna

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

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  2. Marilena Sibillo

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

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  • The book is the result of the Mathematical and Statistical interdisciplinary approach to the researches in the actuarial and financial topics
  • The book aims at providing state of the art research in development, implementation and real world applications of statistical and mathematical models in actuarial and finance sciences
  • The book offers the occasion for discussing problems of national and international interest
  • Includes supplementary material: sn.pub/extras

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Table of contents (46 chapters)

  1. Front Matter

    Pages I-XII
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  2. On the estimation in continuous limit of GARCH processes

    • Giuseppina Albano, Francesco Giordano, Cira Perna
    Pages 1-9

  3. Variable selection in forecasting models for default risk

    • Alessandra Amendola, Marialuisa Restaino, Luca Sensini
    Pages 11-18

  4. Capital structure with firm’s net cash payouts

    • Flavia Barsotti, Maria Elvira Mancino, Monique Pontier
    Pages 19-26

  5. Convex ordering of Esscher and minimal entropy martingale measures for discrete time models

    • Fabio Bellini, Carlo Sgarra
    Pages 27-34

  6. On hyperbolic iterated distortions for the adjustment of survival functions

    • Alexis Bienvenüe, Didier Rullière
    Pages 35-42

  7. Beyond Basel2: Modeling loss given default through survival analysis

    • Stefano Bonini, Giuliana Caivano
    Pages 43-52

  8. Initial premium, aggregate claims and distortion risk measures in XL reinsurance with reinstatements

    • Antonella Campana, Paola Ferretti
    Pages 53-60

  9. Population dynamics in a spatial Solow model with a convex-concave production function

    • Vincenzo Capasso, Ralf Engbers, Davide La Torre
    Pages 61-68

  10. Population dynamics in a patch growth model with S-shaped production functions and migration effects

    • Vincenzo Capasso, Herb E. Kunze, Davide La Torre
    Pages 69-77

  11. An ordinal approach to risk measurement

    • Marta Cardin, Miguel Couceiro
    Pages 79-86

  12. Piecewise linear dynamic systems for own risk solvency assessment

    • Rocco Roberto Cerchiara, Fabio Lamantia
    Pages 87-94

  13. Valuation of the conditional indexation option in asset and liability management of defined benefit pension funds

    • Rosa Cocozza, Angela Gallo, Giuseppe Xella
    Pages 95-103

  14. Conditional performance attribution for equity portfolio

    • Claudio Conversano, Alessio Lizzeri
    Pages 105-113

  15. Capital requirements for aggregate risks in long term living products: A stochastic approach

    • Mariarosaria Coppola, Albina Orlando, Massimiliano Politano
    Pages 115-122

  16. Portfolio selection with an alternative measure of risk: Computational performances of particle swarm optimization and genetic algorithms

    • Marco Corazza, Giovanni Fasano, Riccardo Gusso
    Pages 123-130

  17. Interdependence and contagion in international stock markets: A latent Markov model approach

    • Michele Costa, Luca De Angelis, Leonard J. Paas
    Pages 131-138

  18. Valuation of portfolio loss derivatives in an infectious model

    • Areski Cousin, Diana Dorobantu, Didier Rullière
    Pages 139-147

  19. Internal risk control by solvency measures

    • Valeria D’Amato, Emilia Di Lorenzo, Maria Russolillo, Marilena Sibillo
    Pages 149-156

  20. Measuring mortality heterogeneity in pension annuities

    • Valeria D’Amato, Gabriella Piscopo, Maria Russolillo
    Pages 157-164
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Keywords

About this book

The book develops the capabilities arising from the cooperation between mathematicians and statisticians working in insurance and finance fields. It gathers some of the papers presented at the conference MAF2010, held in Ravello (Amalfi coast), and successively, after a reviewing process, worked out to this aim.

Editors and Affiliations

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

    Cira Perna, Marilena Sibillo

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