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  • Conference proceedings
  • © 2010

Mathematical and Statistical Methods for Actuarial Sciences and Finance

  • Effective approach between mathematicians and statisticians

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Table of contents (31 papers)

  1. Front Matter

    Pages I-XV
  2. Impact of interest rate risk on the Spanish banking sector

    • Laura Ballester, Román Ferrer, Cristóbal Gonález
    Pages 1-11
  3. Tracking error with minimum guarantee constraints

    • Diana Barro, Elio Canestrelli
    Pages 13-21
  4. Energy markets: crucial relationship between prices

    • Cristina Bencivenga, Giulia Sargenti, Rita L. D’Ecclesia
    Pages 23-32
  5. Tempered stable distributions and processes in finance: numerical analysis

    • Michele Leonardo Bianchi, Svetlozar T. Rachev, Young Shin Kim, Frank J. Fabozzi
    Pages 33-42
  6. Transformation kernel estimation of insurance claim cost distributions

    • Catalina Bolancé, Montserrat Guillén, Jens Perch Nielsen
    Pages 43-51
  7. Some classes of multivariate risk measures

    • Marta Cardin, Elisa Pagani
    Pages 63-73
  8. Assessing risk perception by means of ordinal models

    • Paola Cerchiello, Maria Iannario, Domenico Piccolo
    Pages 75-83
  9. A financial analysis of surplus dynamics for deferred life schemes

    • Rosa Cocozza, Emilia Di Lorenzo, Albina Orlando, Marilena Sibillo
    Pages 85-92
  10. Checking financial markets via Benford’s law: the S&P 500 case

    • Marco Corazza, Andrea Ellero, Alberto Zorzi
    Pages 93-102
  11. Empirical likelihood based nonparametric testing for CAPM

    • Pietro Coretto, Maria Lucia Parrella
    Pages 103-112
  12. Estimating the volatility term structure

    • Antonio Díaz, Francisco Jareño, Eliseo Navarro
    Pages 123-131
  13. Exact and approximated option pricing in a stochastic volatility jump-diffusion model

    • Fernanda D’Ippoliti, Enrico Moretto, Sara Pasquali, Barbara Trivellato
    Pages 133-142
  14. A skewed GARCH-type model for multivariate financial time series

    • Cinzia Franceschini, Nicola Loperfido
    Pages 143-152
  15. Financial time series and neural networks in a minority game context

    • Luca Grilli, Massimo Alfonso Russo, Angelo Sfrecola
    Pages 153-162
  16. Robust estimation of style analysis coefficients

    • Michele La Rocca, Domenico Vistocco
    Pages 163-172
  17. Managing demographic risk in enhanced pensions

    • Susanna Levantesi, Massimiliano Menzietti
    Pages 173-182
  18. Clustering mutual funds by return and risk levels

    • Francesco Lisi, Edoardo Otranto
    Pages 183-191

About this book

The interaction between mathematicians and statisticians reveals to be an effective approach for dealing with actuarial, insurance and financial problems, both in an academic and in an operative perspective. The international conference MAF 2008, held at the University Ca’ Foscari of Venezia (Italy) in 2008, had precisely this purpose, and the collection here published gathers a selection of about the one hundred papers presented at the conference and successively referred and reviewed to this aim. They cover a wide variety of subjects in actuarial, insurance and financial fields, all treated in light of the successful cooperation between the two quantitative approaches.

Editors and Affiliations

  • Department of Applied Mathematics, University Ca’ Foscari Venice, Venice, Italy

    Marco Corazza

  • Department of Statistics, University Ca’ Foscari Venice, Venice, Italy

    Claudio Pizzi

Bibliographic Information

Buy it now

Buying options

eBook USD 59.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 79.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book USD 109.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access