Mathematical and Statistical Methods for Actuarial Sciences and Finance

Front Matter....Pages I-X
Can Personal Dependency Paths Help to Estimate Life Expectancy Free of Dependency?....Pages 1-5
Evaluation of Volatility Forecasts in a VaR Framework....Pages 7-10
Optimal Cut-Off Points for Multiple Causes of Business Failure Models....Pages 11-15
Maximum Empirical Likelihood Inference for Outliers in Autoregressive Time Series....Pages 17-20
The Role of Fund Size and Returns to Scale in the Performance of Mutual Funds....Pages 21-25
A Robustness Analysis of Least-Squares Monte Carlo for R&D Real Options Valuation....Pages 27-30
The Common Pool Problem of Intergovernmental Interactions and Fiscal Discipline: A Stackelberg Approach....Pages 31-34
Evaluating Correlations in European Government Bond Spreads....Pages 35-39
Probability of Default: A Modern Calibration Approach....Pages 41-44
Development of a LGD Model Basel2 Compliant: A Case Study....Pages 45-48
Modelling the Latent Components of Personal Happiness....Pages 49-52
Measuring the Impact of Behavioural Choices on the Market Prices....Pages 53-56
A Note on Natural Risk Statistics, OWA Operators and Generalized Gini Functions....Pages 57-60
The Estimation of Standard Deviation of Premium Risk Under Solvency 2....Pages 61-64
The Solvency Capital Requirement Management for an Insurance Company....Pages 65-68
Direct Multi-Step Estimation and Time Series Classification....Pages 69-72
Alternative Assessments of the Longevity Trends....Pages 73-76
Combinatorial Nonlinear Goal Programming for ESG Portfolio Optimization and Dynamic Hedge Management....Pages 77-80
On the Geometric Brownian Motion with Alternating Trend....Pages 81-85
Empirical Evidences on Predictive Accuracy of Survival Models....Pages 87-90
RedES™, a Risk Measure in a Pareto-Lévy Stable Framework with Clustering....Pages 91-94
Run-Off Error in the Outstanding Claims Reserves Evaluation....Pages 95-98
Trajectory Based Market Models. Arbitrage and Pricing Intervals....Pages 99-103
A Statistical Test for the Heston Model....Pages 105-108
Threshold Random Walk Structures in Finance....Pages 109-112
Stochastic Mortality Models. Application to CR Mortality Data....Pages 113-116
Risk Adjusted Dynamic Hedging Strategies....Pages 117-120
Pricing and Hedging Variable Annuities....Pages 121-124
Monetary Risk Functionals on Orlicz Spaces Produced by Set-Valued Risk Maps and Random Measures....Pages 125-128
A Probability Inequality Related to Mardia’s Kurtosis....Pages 129-132
Integrating Industrial and Financial Analysis into a Rating Methodology for Corporate Risk Detection: The Case of the Vicenza Manufacturing Firms....Pages 133-136
Risk Measurement Using the Mixed Tempered Stable Distribution....Pages 137-140
Corporate Finance… What Else? The Case of the Productive Chain Networks in North-East Italy and the Scaffolding Finance Adopted by Their Leader....Pages 141-144
BEKK Element-by-Element Estimation of a Volatility Matrix. A Portfolio Simulation....Pages 145-148
The Effects of Curvature and Elevation of the Probability Weighting Function on Options Prices....Pages 149-152
A Multivariate Approach to Project the Long Run Relationship Between Mortality Indices for Canadian Provinces....Pages 153-161
Measuring and Managing the Longevity Risk: An Empirical Evidence From the Italian Pension Market....Pages 163-166
Pricing and Hedging Basket Options Under Shifted Asymmetric Jump-Diffusion Processes....Pages 167-171
On a Data Mining Framework for the Identification of Frequent Pattern Trends....Pages 173-176
Risk Processes with Normal Inverse Gaussian Claims and Premiums....Pages 177-181
A Portfolio Model for the Risk Management in Public Pension....Pages 183-186
Black Scholes Option Sensitivity Using High Order Greeks....Pages 187-190