Mathematical and Statistical Methods for Actuarial Sciences and Finance
Editor
- Cira Perna(University of Salerno, Department of Economics and Statistics)Marilena Sibillo(University of Salerno, Department of Economics and Statistics)
Abstract
Individual chapters are listed in the "Chapters" tab
Suggested Citation
DOI: 10.1007/978-3-319-05014-0
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Book Chapters
The following chapters of this book are listed in IDEAS- Irene Albarrán & Pablo Alonso & Ana Arribas-Gil & Aurea Grané, 2014. "Can Personal Dependency Paths Help to Estimate Life Expectancy Free of Dependency?," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 1-5, Springer.
- Alessandra Amendola & Vincenzo Candila, 2014. "Evaluation of Volatility Forecasts in a VaR Framework," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 7-10, Springer.
- Alessandra Amendola & Marialuisa Restaino, 2014. "Optimal Cut-Off Points for Multiple Causes of Business Failure Models," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 11-15, Springer.
- Roberto Baragona & Francesco Battaglia & Domenico Cucina, 2014. "Maximum Empirical Likelihood Inference for Outliers in Autoregressive Time Series," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 17-20, Springer.
- Antonella Basso & Stefania Funari, 2014. "The Role of Fund Size and Returns to Scale in the Performance of Mutual Funds," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 21-25, Springer.
- Marta Biancardi & Giovanni Villani, 2014. "A Robustness Analysis of Least-Squares Monte Carlo for R&D Real Options Valuation," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 27-30, Springer.
- Giovanna Bimonte & Pietro Spennati, 2014. "The Common Pool Problem of Intergovernmental Interactions and Fiscal Discipline: A Stackelberg Approach," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 31-34, Springer.
- Simona Boffelli & Giovanni Urga, 2014. "Evaluating Correlations in European Government Bond Spreads," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 35-39, Springer.
- Stefano Bonini & Giuliana Caivano, 2014. "Probability of Default: A Modern Calibration Approach," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 41-44, Springer.
- Stefano Bonini & Giuliana Caivano, 2014. "Development of a LGD Model Basel2 Compliant: A Case Study," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 45-48, Springer.
- Stefania Capecchi & Domenico Piccolo, 2014. "Modelling the Latent Components of Personal Happiness," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 49-52, Springer.
- Massimiliano Caporin & Luca Corazzini & Michele Costola, 2014. "Measuring the Impact of Behavioural Choices on the Market Prices," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 53-56, Springer.
- Marta Cardin, 2014. "A Note on Natural Risk Statistics, OWA Operators and Generalized Gini Functions," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 57-60, Springer.
- Rocco Roberto Cerchiara & Vittorio Magatti, 2014. "The Estimation of Standard Deviation of Premium Risk Under Solvency 2," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 61-64, Springer.
- Mariarosaria Coppola & Valeria D’Amato, 2014. "The Solvency Capital Requirement Management for an Insurance Company," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 65-68, Springer.
- Marcella Corduas, 2014. "Direct Multi-Step Estimation and Time Series Classification," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 69-72, Springer.
- Valeria D’Amato & Steven Haberman & Gabriella Piscopo & Maria Russolillo, 2014. "Alternative Assessments of the Longevity Trends," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 73-76, Springer.
- Gordon H. Dash Jr. & Nina Kajiji, 2014. "Combinatorial Nonlinear Goal Programming for ESG Portfolio Optimization and Dynamic Hedge Management," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 77-80, Springer.
- Antonio Di Crescenzo & Barbara Martinucci & Shelemyahu Zacks, 2014. "On the Geometric Brownian Motion with Alternating Trend," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 81-85, Springer.
- Emilia Di Lorenzo & Michele La Rocca & Albina Orlando & Cira Perna & Marilena Sibillo, 2014. "Empirical Evidences on Predictive Accuracy of Survival Models," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 87-90, Springer.
- Riccardo Donati & Marco Corazza, 2014. "RedES™, a Risk Measure in a Pareto-Lévy Stable Framework with Clustering," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 91-94, Springer.
- Nicolino Ettore D’Ortona & Giuseppe Melisi, 2014. "Run-Off Error in the Outstanding Claims Reserves Evaluation," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 95-98, Springer.
- Sebastian Ferrando & Alfredo Gonzalez & Ivan Degano & Massoome Rahsepar, 2014. "Trajectory Based Market Models. Arbitrage and Pricing Intervals," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 99-103, Springer.
- Gianna Figà-Talamanca, 2014. "A Statistical Test for the Heston Model," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 105-108, Springer.
- Francesco Giordano & Marcella Niglio & Cosimo Damiano Vitale, 2014. "Threshold Random Walk Structures in Finance," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 109-112, Springer.
- Ján Gogola, 2014. "Stochastic Mortality Models. Application to CR Mortality Data," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 113-116, Springer.
- Martin Harcek, 2014. "Risk Adjusted Dynamic Hedging Strategies," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 117-120, Springer.
- Abdou Kélani & François Quittard-Pinon, 2014. "Pricing and Hedging Variable Annuities," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 121-124, Springer.
- Dimitrios G. Konstantinides & Christos E. Kountzakis, 2014. "Monetary Risk Functionals on Orlicz Spaces Produced by Set-Valued Risk Maps and Random Measures," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 125-128, Springer.
- Nicola Loperfido, 2014. "A Probability Inequality Related to Mardia’s Kurtosis," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 129-132, Springer.
- Guido Max Mantovani & Giancarlo Coro & Paolo Gurisatti & Mattia Mestroni, 2014. "Integrating Industrial and Financial Analysis into a Rating Methodology for Corporate Risk Detection: The Case of the Vicenza Manufacturing Firms," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 133-136, Springer.
- Lorenzo Mercuri & Edit Rroji, 2014. "Risk Measurement Using the Mixed Tempered Stable Distribution," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 137-140, Springer.
- Mattia Mestroni & Elisabetta Basilico & Guido Max Mantovani, 2014. "Corporate Finance… What Else? The Case of the Productive Chain Networks in North-East Italy and the Scaffolding Finance Adopted by Their Leader," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 141-144, Springer.
- Alessia Naccarato & Andrea Pierini, 2014. "BEKK Element-by-Element Estimation of a Volatility Matrix. A Portfolio Simulation," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 145-148, Springer.
- Martina Nardon & Paolo Pianca, 2014. "The Effects of Curvature and Elevation of the Probability Weighting Function on Options Prices," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 149-152, Springer.
- Achille Ntamjokouen & Steven Haberman & Giorgio Consigli, 2014. "A Multivariate Approach to Project the Long Run Relationship Between Mortality Indices for Canadian Provinces," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 153-161, Springer.
- Albina Orlando & Govanna di Lorenzo & Massimiliano Politano, 2014. "Measuring and Managing the Longevity Risk: An Empirical Evidence From the Italian Pension Market," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 163-166, Springer.
- Tommaso Paletta & Arturo Leccadito & Radu Tunaru, 2014. "Pricing and Hedging Basket Options Under Shifted Asymmetric Jump-Diffusion Processes," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 167-171, Springer.
- Marina Resta, 2014. "On a Data Mining Framework for the Identification of Frequent Pattern Trends," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 173-176, Springer.
- Dean Teneng & Kalev Pärna, 2014. "Risk Processes with Normal Inverse Gaussian Claims and Premiums," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 177-181, Springer.
- Tadashi Uratani, 2014. "A Portfolio Model for the Risk Management in Public Pension," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 183-186, Springer.
- Yves Rakotondratsimba, 2014. "Black Scholes Option Sensitivity Using High Order Greeks," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 187-190, Springer.
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