Mathematical and Statistical Methods for Actuarial Sciences and Finance

Editors: Corazza, Marco, Pizzi, Claudio (Eds.)

  • Contains both mathematical and statistical issues
  • Presents the most advanced research results in actuarial sciences, insurance and finance
  • Contains theoretical and applicative perspectives
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  • Due: October 13, 2016
  • ISBN 978-3-319-37898-5
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About this book

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 stochastic 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; stochastic 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 (27 chapters)

  • Weak Form Efficiency of Selected European Stock Markets: Alternative Testing Approaches

    Albano, Giuseppina (et al.)

    Pages 1-12

  • An Empirical Comparison of Variable Selection Methods in Competing Risks Model

    Amendola, Alessandra (et al.)

    Pages 13-25

  • A Comparison Between Different Numerical Schemes for the Valuation of Unit-Linked Contracts Embedding a Surrender Option

    Bacinello, Anna Rita (et al.)

    Pages 27-39

  • Dynamic Tracking Error with Shortfall Control Using Stochastic Programming

    Barro, Diana (et al.)

    Pages 41-53

  • Firm’s Volatility Risk Under Microstructure Noise

    Barsotti, Flavia (et al.)

    Pages 55-67

Buy this book

eBook $99.00
price for USA (gross)
  • ISBN 978-3-319-02499-8
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $129.00
price for USA
  • ISBN 978-3-319-02498-1
  • Free shipping for individuals worldwide
  • Online orders shipping within 2-3 days.
Softcover $129.00
price for USA
  • Customers within the U.S. and Canada please contact Customer Service at 1-800-777-4643, Latin America please contact us at +1-212-460-1500 (Weekdays 8:30am – 5:30pm ET) to place your order.
  • Due: October 13, 2016
  • ISBN 978-3-319-37898-5
  • Free shipping for individuals worldwide
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Mathematical and Statistical Methods for Actuarial Sciences and Finance
Editors
  • Marco Corazza
  • Claudio Pizzi
Copyright
2014
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing Switzerland
eBook ISBN
978-3-319-02499-8
DOI
10.1007/978-3-319-02499-8
Hardcover ISBN
978-3-319-02498-1
Softcover ISBN
978-3-319-37898-5
Edition Number
1
Number of Pages
IX, 313
Topics