Mathematical and Statistical Methods for Actuarial Sciences and Finance

Front Matter....Pages I-XV
Impact of interest rate risk on the Spanish banking sector....Pages 1-11
Tracking error with minimum guarantee constraints....Pages 13-21
Energy markets: crucial relationship between prices....Pages 23-32
Tempered stable distributions and processes in finance: numerical analysis....Pages 33-42
Transformation kernel estimation of insurance claim cost distributions....Pages 43-51
What do distortion risk measures tell us on excess of loss reinsurance with reinstatements?....Pages 53-61
Some classes of multivariate risk measures....Pages 63-73
Assessing risk perception by means of ordinal models....Pages 75-83
A financial analysis of surplus dynamics for deferred life schemes....Pages 85-92
Checking financial markets via Benford’s law: the S&P 500 case....Pages 93-102
Empirical likelihood based nonparametric testing for CAPM....Pages 103-112
Lee-Carter error matrix simulation: heteroschedasticity impact on actuarial valuations....Pages 113-122
Estimating the volatility term structure....Pages 123-131
Exact and approximated option pricing in a stochastic volatility jump-diffusion model....Pages 133-142
A skewed GARCH-type model for multivariate financial time series....Pages 143-152
Financial time series and neural networks in a minority game context....Pages 153-162
Robust estimation of style analysis coefficients....Pages 163-172
Managing demographic risk in enhanced pensions....Pages 173-182
Clustering mutual funds by return and risk levels....Pages 183-191
Multivariate Variance Gamma and Gaussian Dependence: a study with copulas....Pages 193-203
A simple dimension reduction procedure for corporate finance composite indicators....Pages 205-213
The relation between implied and realised volatility in the DAX index options market....Pages 215-224
Binomial algorithms for the evaluation of options on stocks with fixed per share dividends....Pages 225-234
Nonparametric prediction in time series analysis: some empirical results....Pages 235-244
On efficient optimisation of the CVaR and related LP computable risk measures for portfolio selection....Pages 245-252
A pattern recognition algorithm for optimal profits in currency trading....Pages 253-261
Nonlinear cointegration in financial time series....Pages 263-271
Optimal dynamic asset allocation in a non—Gaussian world....Pages 273-282
Fair costs of guaranteed minimum death benefit contracts....Pages 283-293
Solvency evaluation of the guaranty fund at a large financial cooperative....Pages 295-304
A Monte Carlo approach to value exchange options using a single stochastic factor....Pages 305-314