Synopses & Reviews
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.
Reflecting the cooperation of mathematicians and statisticians working in relevant fields, this volume provides state-of-the-art material on the development and real-world implementation of statistical and mathematical models in actuarial and finance sciences.
Table of Contents
On the estimation in continuous limit of GARCH processes Giuseppina Albano, Francesco Giordano, and Cira Perna Variable selection in forecasting models for default risk Alessandra Amendola, Marialuisa Restaino, and Luca Sensini Capital structure with firm's net cash payouts Flavia Barsotti, Maria Elvira Mancino, and Monique Pontier Convex ordering of Esscher and minimal entropy martingale measures for discrete time models Fabio Bellini and Carlo Sgarra On hyperbolic iterated distortions for the adjustment of survival functions Alexis Bienven¨ue and Didier Rulli`ere Beyond Basel2: Modeling loss given default through survival analysis Stefano Bonini and Giuliana Caivano Initial premium, aggregate claims and distortion risk measures in XL reinsurance with Antonella Campana and Paola Ferretti Population dynamics in a spatial Solow model with a convex-concave production function Vincenzo Capasso, Ralf Engbers, and Davide La Torre Population dynamics in a patch growth model with S-shaped production functions and migration effects Vincenzo Capasso, Herb E. Kunze, and Davide La Torre An ordinal approach to risk measurement Marta Cardin and Miguel Couceiro Piecewise linear dynamic systems for own risk solvency assessment Rocco Roberto Cerchiara and Fabio Lamantia Valuation of the conditional indexation option in asset and liability management of defined benefit pension funds Rosa Cocozza, Angela Gallo, and Giuseppe Xella Conditional performance attribution for equity portfolio Claudio Conversano and Alessio Lizzeri Capital requirements for aggregate risks in long term living products: A stochastic approach Mariarosaria Coppola, Albina Orlando,and Massimiliano Politano Portfolio selection with an alternative measure of risk: Computational performances of particle swarm optimization and genetic algorithms Marco Corazza, Giovanni Fasano, and Riccardo Gusso Interdependence and contagion in international stock markets: A latent Markov model approach Michele Costa, Luca De Angelis, and Leonard J. Paas Valuation of portfolio loss derivatives in an infectious model Areski Cousin, Diana Dorobantu, and Didier Rulli`ere Internal risk control by solvency measures Valeria D'Amato, Emilia Di Lorenzo, Maria Russolillo, and Marilena Sibillo Measuring mortality heterogeneity in pension annuities Valeria D'Amato, Gabriella Piscopo, and Maria Russolillo Is techincal analysis able to beat market inefficiency? Elisa Daniotti On the damped geometric telegrapher's process Antonio Di Crescenzo, Barbara Martinucci, and Shelemyahu Zacks Risk measures and Pareto style tails Anna Maria Fiori, Emanuela Rosazza Gianin, and Anna Spasova Credit risk and incomplete information: A filtering framework for pricing and risk management Claudio Fontana Claims reserving uncertainty in the development of internal risk models Salvatore Forte, Matteo Ialenti, and Marco Pirra Some inequalities between measures of multivariate kurtosis, with application to financial returns Cinzia Franceschini and Nicola Loperfido The generalized trapezoidal model in financial data analysis Manuel Franco, Johan Ren´e van Dorp, and Juana-Mar´ıa Vivo Nonparametric estimation of volatility functions: Some experimental evidences Francesco Giordano, Michele La Rocca, and Cira Perna Investigating and modelling the perception of economic security in the survey of household income and wealth Maria Iannario and Domenico Piccolo On ruin probabilities in risk models with interest rate Nino Kordzakhia, Alexander Novikov, and Gurami Tsitsiashvili On longevity risk securitization and solvency capital requirements in life annuities Susanna Levantesi, Massimiliano Menzietti, and Tiziana Torri Modelling the share prices as a hidden random walk on the lamplighter group Xiaojuan Ma and Sergey Utev Multivariate jump arrivals: The variance gamma case Roberto Marfè Modelling the skewed exponential power distribution in finance J. Miguel Marín and Genaro Sucarrat Composite indicators: A sectorial perspective Marco Marozzi Dynamic model of pension savings management with stochastic interest rates and stock returns Igor Melicherčík and Daniel