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Mathematical and Statistical Methods for Actuarial Sciences and Finance

  • Conference proceedings
  • © 2010

Overview

Editors:
  1. Marco Corazza

    1. Department of Applied Mathematics, University Ca’ Foscari Venice, Venice, Italy

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  2. Claudio Pizzi

    1. Department of Statistics, University Ca’ Foscari Venice, Venice, Italy

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  • Effective approach between mathematicians and statisticians

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Table of contents (31 papers)

  1. Front Matter

    Pages I-XV
    Download chapter PDF

  2. Impact of interest rate risk on the Spanish banking sector

    • Laura Ballester, Román Ferrer, Cristóbal Gonález
    Pages 1-11

  3. Tracking error with minimum guarantee constraints

    • Diana Barro, Elio Canestrelli
    Pages 13-21

  4. Energy markets: crucial relationship between prices

    • Cristina Bencivenga, Giulia Sargenti, Rita L. D’Ecclesia
    Pages 23-32

  5. Tempered stable distributions and processes in finance: numerical analysis

    • Michele Leonardo Bianchi, Svetlozar T. Rachev, Young Shin Kim, Frank J. Fabozzi
    Pages 33-42

  6. Transformation kernel estimation of insurance claim cost distributions

    • Catalina Bolancé, Montserrat Guillén, Jens Perch Nielsen
    Pages 43-51

  7. What do distortion risk measures tell us on excess of loss reinsurance with reinstatements?

    • Antonella Campana, Paola Ferretti
    Pages 53-61

  8. Some classes of multivariate risk measures

    • Marta Cardin, Elisa Pagani
    Pages 63-73

  9. Assessing risk perception by means of ordinal models

    • Paola Cerchiello, Maria Iannario, Domenico Piccolo
    Pages 75-83

  10. A financial analysis of surplus dynamics for deferred life schemes

    • Rosa Cocozza, Emilia Di Lorenzo, Albina Orlando, Marilena Sibillo
    Pages 85-92

  11. Checking financial markets via Benford’s law: the S&P 500 case

    • Marco Corazza, Andrea Ellero, Alberto Zorzi
    Pages 93-102

  12. Empirical likelihood based nonparametric testing for CAPM

    • Pietro Coretto, Maria Lucia Parrella
    Pages 103-112

  13. Lee-Carter error matrix simulation: heteroschedasticity impact on actuarial valuations

    • Valeria D’Amato, Maria Russolillo
    Pages 113-122

  14. Estimating the volatility term structure

    • Antonio Díaz, Francisco Jareño, Eliseo Navarro
    Pages 123-131

  15. Exact and approximated option pricing in a stochastic volatility jump-diffusion model

    • Fernanda D’Ippoliti, Enrico Moretto, Sara Pasquali, Barbara Trivellato
    Pages 133-142

  16. A skewed GARCH-type model for multivariate financial time series

    • Cinzia Franceschini, Nicola Loperfido
    Pages 143-152

  17. Financial time series and neural networks in a minority game context

    • Luca Grilli, Massimo Alfonso Russo, Angelo Sfrecola
    Pages 153-162

  18. Robust estimation of style analysis coefficients

    • Michele La Rocca, Domenico Vistocco
    Pages 163-172

  19. Managing demographic risk in enhanced pensions

    • Susanna Levantesi, Massimiliano Menzietti
    Pages 173-182

  20. Clustering mutual funds by return and risk levels

    • Francesco Lisi, Edoardo Otranto
    Pages 183-191
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Keywords

About this book

The interaction between mathematicians and statisticians reveals to be an effective approach for dealing with actuarial, insurance and financial problems, both in an academic and in an operative perspective. The international conference MAF 2008, held at the University Ca’ Foscari of Venezia (Italy) in 2008, had precisely this purpose, and the collection here published gathers a selection of about the one hundred papers presented at the conference and successively referred and reviewed to this aim. They cover a wide variety of subjects in actuarial, insurance and financial fields, all treated in light of the successful cooperation between the two quantitative approaches.

Editors and Affiliations

  • Department of Applied Mathematics, University Ca’ Foscari Venice, Venice, Italy

    Marco Corazza

  • Department of Statistics, University Ca’ Foscari Venice, Venice, Italy

    Claudio Pizzi

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