Mathematical and Statistical Methods for Actuarial Sciences and Finance 2012 edition

Marc Notes: Selected conference papers.; 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. Jacket Description/Back: 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. Table of Contents: On the estimation in continuous limit of GARCH processesGiuseppina Albano, Francesco Giordano, and Cira PernaVariable selection in forecasting models for default riskAlessandra Amendola, Marialuisa Restaino, and Luca SensiniCapital structure with firm s net cash payoutsFlavia Barsotti, Maria Elvira Mancino, and Monique PontierConvex ordering of Esscher and minimal entropy martingale measures for discrete time modelsFabio Bellini and Carlo SgarraOn hyperbolic iterated distortions for the adjustment of survival functions Alexis Bienven]ue and Didier RulliereBeyond Basel2: Modeling loss given default through survival analysisStefano Bonini and Giuliana CaivanoInitial premium, aggregate claims and distortion risk measures in XL reinsurance with Antonella Campana and Paola FerrettiPopulation dynamics in a spatial Solow model with a convex-concave production function Vincenzo Capasso, Ralf Engbers, and Davide La TorrePopulation dynamics in a patch growth model with S-shaped production functions and migration effects Vincenzo Capasso, Herb E. Kunze, and Davide La TorreAn ordinal approach to risk measurementMarta Cardin and Miguel CouceiroPiecewise linear dynamic systems for own risk solvency assessmentRocco Roberto Cerchiara and Fabio LamantiaValuation of the conditional indexation option in asset and liability management of defined benefit pension funds Rosa Cocozza, Angela Gallo, and Giuseppe XellaConditional performance attribution for equity portfolio Claudio Conversano and Alessio LizzeriCapital requirements for aggregate risks in long term living products: A stochastic approachMariarosaria Coppola, Albina Orlando, and Massimiliano PolitanoPortfolio selection with an alternative measure of risk: Computational performances of particle swarm optimization and genetic algorithms Marco Corazza, Giovanni Fasano, and Riccardo GussoInterdependence and contagion in international stock markets: A latent Markov model approachMichele Costa, Luca De Angelis, and Leonard J. PaasValuation of portfolio loss derivatives in an infectious model Areski Cousin, Diana Dorobantu, and Didier RulliereInternal risk control by solvency measures Valeria D Amato, Emilia Di Lorenzo, Maria Russolillo, and Marilena SibilloMeasuring mortality heterogeneity in pension annuities Valeria D Amato, Gabriella Piscopo, and Maria RussolilloIs techincal analysis able to beat market inefficiency? Elisa DaniottiOn the damped geometric telegrapher s processAntonio Di Crescenzo, Barbara Martinucci, and Shelemyahu ZacksRisk measures and Pareto style tailsAnna Maria Fiori, Emanuela Rosazza Gianin, and Anna SpasovaCredit risk and incomplete information: A filtering framework for pricing and risk management Claudio FontanaClaims reserving uncertainty in the development of internal risk models Salvatore Forte, Matteo Ialenti, and Marco PirraSome inequalities between measures of multivariate kurtosis, with application to financial returns Cinzia Franceschini and Nicola LoperfidoThe generalized trapezoidal model in financial data analysis Manuel Franco, Johan Rene van Dorp, and Juana-Mar a VivoNonparametric estimation of volatility functions: Some experimental evidences Francesco Giordano, Michele La Rocca, and Cira PernaInvestigating and modelling the perception of economic security in the survey of household income and wealth Maria Iannario and Domenico PiccoloOn ruin probabilities in risk models with interest rate Nino Kordzakhia, Alexander Novikov, and Gurami TsitsiashviliOn longevity risk securitization and solvency capital requirements in life annuities Susanna Levantesi, Massimiliano Menzietti, and Tiziana TorriModelling the share prices as a hidden random walk on the lamplighter group Xiaojuan Ma and Sergey UtevMultivariate jump arrivals: The variance gamma case Roberto MarfeModelling the skewed exponential power distribution in finance J. Miguel Marin and Genaro SucarratComposite indicators: A sectorial perspectiveMarco MarozziDynamic model of pension savings management with stochastic interest rates and stock returnsIgor Melicher ik and Daniel ev ovi Financial and demographic risks impact on a pay-as-you-go pension fund Roberta Melis and Alessandro TruddaExtracting implied dividends from options prices: Some applications to the Italian derivatives market Martina Nardon and Paolo PiancaGeneralization of some linear time series property to nonlinear domain Marcella Niglio and Cosimo Damiano VitaleEvaluating the behavior of a function in kernel based regressionMaria Lucia ParrellaOptimal trading rules at hourly frequency in the foreign Exchange marketsDanilo Pelusi and Massimo TivegnaThe influence of correlation and loading on M-V efficient retentions in variable quota share proportional reinsurance Flavio Pressacco and Laura ZianiGood and bad banks Luca RegisTail diversification strategy. An application to MSCI World Sector Indices Giorgia RivieccioMarginalization and aggregation of exponential smoothing models in forecasting portfolio volatility Giacomo Sbrana and Andrea SilvestriniGeneralization of stratified variance reduction methods for monte carlo exchange options pricing Giovanni VillaniPrice discovery in a dynamic structural model Lei Wu and Hans van der Weide"Publisher Marketing: 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.

Contributor Bio:  Perna, Cira Cira Perna has received the Degree in Mathematics from the University of Naples in 1983 and the M. Phil. in Statistics from the CSREAM, University of Naples, in 1985. She had Faculty positions, as Associate Professor, at the University of Calabria (1992-1994) and at the University of Salerno (1994-1999). She has been Professor of Statistics at the University of Salerno since 2000. She has published over 50 technical papers in journals and books. Her current research focuses on non linear time series analysis, artificial neural network models, resampling techniques. She is a member of the Italian Statistical Society and of the IASC. She is also in the board of the ANSET (Italian Time Series Analysis Research Group). Marilena Sibillo: After graduating in Quantitative Economics at the University of Naples Federico II, she worked at the University of Naples Federico II as a Researcher and taught at the Universities of Sassari and Salerno as Associate Professor. Since 2004 she is Professor in Financial Mathematics. She is author of several papers, mostly in Actuarial Mathematics, published in international specialized journal. At present her research is focused on the risk analysis in actuarial portfolio valuations.