Mathematical and Statistical Methods for Actuarial Sciences and Finance

2014
ISBN: 978-3-319-02498-1
Verlag: Springer International Publishing

Buch, Englisch, 313 Seiten, HC runder Rücken kaschiert, Format (B × H): 160 mm x 241 mm, Gewicht: 653 g

The volume contains original selected papers concerning contributions presented at the fifth international conference "Mathematical and Statistical Methods for Actuarial Sciences and Finance". The papers present both mathematical and statistical results in the fields of actuarial sciences, insurance and finance. The results presented in the various papers are theoretical, methodological and applicative. So the contents of the volume can be of interest for a large audience of scholars.

Zielgruppe

Research

Autoren/Hrsg.

Pizzi, Claudio

Corazza, Marco

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Versicherungswirtschaft

Inhaltsverzeichnis

Weak form efficiency of selected European stock markets: alternative testing approaches (G. Albano, M. La Rocca, C. Perna).- An empirical comparison of variable selection methods in competing risks model (A. Amendola, M. Restaino, L. Sensini).- A comparison between different numerical schemes for the valuation of unit-linked contracts embedding a surrender option (A.R. Bacinello, P. Millossovich, A. Montealegre).- Dynamic tracking error with shortfall control using stochastic programming (D. Barro, E. Canestrelli).- Firm’s volatility risk under microstructure noise (F. Barsotti, S. Sanfelici).- Socially responsible mutual funds: an efficiency comparison among the European countries (A. Basso, S. Funari).- Fitting financial returns distributions: a mixture normality approach (R. Bramante, D. Zappa).- Single-name concentration risk measurements in credit portfolios (R. Calabrese, F. Porro).- Bifactorial pricing models: light and shadows in correlation role (R. Cocozza, A. De Simone).- Dynamic strategies for Defined Benefit pension plans risk management (I. Colivicchi, G. Piscopo, E. Vannucci).- Particle Swarm Optimization for preference disaggregation in multicriteria credit scoring problems (M. Corazza, S. Funari, R. Gusso).- Time series clustering on lower tail dependence for portfolio selection (G. De Luca, P. Zuccolotto).- Solvency Analysis of Defined Benefit pension schemes (P. Devolder, G. Piscopo).- Stochastic actuarial valuations in double-indexed pension annuity assessment (E. Di Lorenzo, A. Orlando, M. Sibillo).- Testing for Normality when the sampled distribution is Extended Skew-Normal (C. Franceschini, N. Loperfido).- On the RODEO method for variable selection (F. Giordano, M.L. Parrella).- Portfolio allocation using Omega function: an empirical analysis (A. Hitaj, F. Martinelli, G. Zambruno).- Investment rankings via an objective measure of riskiness: a case study (M.E. Marina, M. Resta).- A squared rank assessment of the differencebetween US and European firm valuation ratios (M. Marozzi).- A behavioural approach to the pricing of European options (M. Nardon, P. Pianca).- Threshold structures in economic and financial time series (M. Niglio, C.D. Vitale).- Intelligent algorithms for trading the Euro-Dollar in the foreign exchange market (D. Pelusi, M. Tivegna, P. Ippoliti).- Risk management and capital allocation for Non-Life insurance companies (M. Pirra, S. Forte, M. Ialenti).- Modelling asymmetric behaviour in time series: identification through PSO (C. Pizzi, F. Parpinel).- Valuation of collateralized funds of hedge fund obligations: a Basket Option pricing approach (G.L. Tassinari, C. Corradi).- Valuation of R&D investment opportunities using the Least-Squares Monte Carlo method (G. Villani).- The determinants of interbank contagion: do patterns matter? (S. Zedda, G. Cannas, C. Galliani).