Mathematical and Statistical Methods for Actuarial Sciences and Finance

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

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.

• Actuarial Models
• Mathematical models for finance
• Models and methods for financial time series analysis
• Quantitative Finance
• Stochastic models for finance
• insurance

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

  Cira Perna, Marilena Sibillo

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