Mathematical and Statistical Methods for Actuarial Sciences and Finance

1. Front Matter

   Pages I-X

   PDF

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

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.

• Insurance
• Mathematical Models
• Quantitative Finance
• Statistics
• Time series

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

  Cira Perna, Marilena Sibillo

Policies and ethics