Mathematical and Statistical Methods for Actuarial Sciences and Finance

Front Matter....Pages I-XII
On the estimation in continuous limit of GARCH processes....Pages 1-9
Variable selection in forecasting models for default risk....Pages 11-18
Capital structure with firm’s net cash payouts....Pages 19-26
Convex ordering of Esscher and minimal entropy martingale measures for discrete time models....Pages 27-34
On hyperbolic iterated distortions for the adjustment of survival functions....Pages 35-42
Beyond Basel2: Modeling loss given default through survival analysis....Pages 43-52
Initial premium, aggregate claims and distortion risk measures in XL reinsurance with reinstatements....Pages 53-60
Population dynamics in a spatial Solow model with a convex-concave production function....Pages 61-68
Population dynamics in a patch growth model with S-shaped production functions and migration effects....Pages 69-77
An ordinal approach to risk measurement....Pages 79-86
Piecewise linear dynamic systems for own risk solvency assessment....Pages 87-94
Valuation of the conditional indexation option in asset and liability management of defined benefit pension funds....Pages 95-103
Conditional performance attribution for equity portfolio....Pages 105-113
Capital requirements for aggregate risks in long term living products: A stochastic approach....Pages 115-122
Portfolio selection with an alternative measure of risk: Computational performances of particle swarm optimization and genetic algorithms....Pages 123-130
Interdependence and contagion in international stock markets: A latent Markov model approach....Pages 131-138
Valuation of portfolio loss derivatives in an infectious model....Pages 139-147
Internal risk control by solvency measures....Pages 149-156
Measuring mortality heterogeneity in pension annuities....Pages 157-164
Is technical analysis able to beat market inefficiency?....Pages 165-173
On the damped geometric telegrapher’s process....Pages 175-182
Risk measures and Pareto style tails....Pages 183-191
Credit risk and incomplete information: A filtering framework for pricing and risk management....Pages 193-201
Claims reserving uncertainty in the development of internal risk models....Pages 203-210
Some inequalities between measures of multivariate kurtosis, with application to financial returns....Pages 211-218
The generalized trapezoidal model in financial data analysis....Pages 219-227
Nonparametric estimation of volatility functions: Some experimental evidences....Pages 229-236
Investigating and modelling the perception of economic security in the Survey of Household Income and Wealth....Pages 237-244
On ruin probabilities in risk models with interest rate....Pages 245-253
On longevity risk securitization and solvency capital requirements in life annuities....Pages 255-262
Modelling the share prices as a hidden random walk on the lamplighter group....Pages 263-270
Multivariate jump arrivals: The variance gamma case....Pages 271-278
Modelling the skewed exponential power distribution in finance....Pages 279-286
Composite indicators: A sectorial perspective....Pages 287-294
Dynamic model of pension savings management with stochastic interest rates and stock returns....Pages 295-303
Financial and demographic risks impact on a pay-as-you-go pension fund....Pages 305-313
Extracting implied dividends from options prices: Some applications to the Italian derivatives market....Pages 315-322
Generalization of some linear time series property to nonlinear domain....Pages 323-331
Evaluating the behavior of a function in kernel based regression....Pages 333-340
Optimal trading rules at hourly frequency in the foreign exchange markets....Pages 341-348
The influence of correlation and loading on M–V efficient retentions in variable quota share proportional reinsurance....Pages 349-357
Good and bad banks....Pages 359-366
Tail diversification strategy. An application to MSCI World Sector Indices....Pages 367-374
Marginalization and aggregation of exponential smoothing models in forecasting portfolio volatility....Pages 375-382
Generalization of stratified variance reduction methods for Monte Carlo exchange options pricing....Pages 383-391
Price discovery in a dynamic structural model....Pages 393-401
Back Matter....Pages 403-408