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Mathematical and Statistical Methods for Actuarial Sciences and Finance
Editor
Listed:
- Cira Perna(University of Salerno, Department of Economics and Statistics)Marilena Sibillo(University of Salerno, Department of Economics and Statistics)
Abstract
No abstract is available for this item.
Individual chapters are listed in the "Chapters" tab
Suggested Citation
DOI: 10.1007/978-88-470-2342-0
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Book Chapters
The following chapters of this book are listed in IDEAS- Giuseppina Albano & Francesco Giordano & Cira Perna, 2012. "On the estimation in continuous limit of GARCH processes," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 1-9, Springer.
- Alessandra Amendola & Marialuisa Restaino & Luca Sensini, 2012. "Variable selection in forecasting models for default risk," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 11-18, Springer.
- Flavia Barsotti & Maria Elvira Mancino & Monique Pontier, 2012. "Capital structure with firm’s net cash payouts," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 19-26, Springer.
- Fabio Bellini & Carlo Sgarra, 2012. "Convex ordering of Esscher and minimal entropy martingale measures for discrete time models," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 27-34, Springer.
- Alexis Bienvenüe & Didier Rullière, 2012. "On hyperbolic iterated distortions for the adjustment of survival functions," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 35-42, Springer.
- Stefano Bonini & Giuliana Caivano, 2012. "Beyond Basel2: Modeling loss given default through survival analysis," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 43-52, Springer.
- Antonella Campana & Paola Ferretti, 2012. "Initial premium, aggregate claims and distortion risk measures in XL reinsurance with reinstatements," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 53-60, Springer.
- Vincenzo Capasso & Ralf Engbers & Davide La Torre, 2012. "Population dynamics in a spatial Solow model with a convex-concave production function," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 61-68, Springer.
- Vincenzo Capasso & Herb E. Kunze & Davide La Torre, 2012. "Population dynamics in a patch growth model with S-shaped production functions and migration effects," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 69-77, Springer.
- Marta Cardin & Miguel Couceiro, 2012. "An ordinal approach to risk measurement," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 79-86, Springer.
- Rocco Roberto Cerchiara & Fabio Lamantia, 2012. "Piecewise linear dynamic systems for own risk solvency assessment," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 87-94, Springer.
- Rosa Cocozza & Angela Gallo & Giuseppe Xella, 2012. "Valuation of the conditional indexation option in asset and liability management of defined benefit pension funds," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 95-103, Springer.
- Claudio Conversano & Alessio Lizzeri, 2012. "Conditional performance attribution for equity portfolio," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 105-113, Springer.
- Mariarosaria Coppola & Albina Orlando & Massimiliano Politano, 2012. "Capital requirements for aggregate risks in long term living products: A stochastic approach," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 115-122, Springer.
- Marco Corazza & Giovanni Fasano & Riccardo Gusso, 2012. "Portfolio selection with an alternative measure of risk: Computational performances of particle swarm optimization and genetic algorithms," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 123-130, Springer.
- Michele Costa & Luca De Angelis & Leonard J. Paas, 2012. "Interdependence and contagion in international stock markets: A latent Markov model approach," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 131-138, Springer.
- Areski Cousin & Diana Dorobantu & Didier Rullière, 2012. "Valuation of portfolio loss derivatives in an infectious model," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 139-147, Springer.
- Valeria D’Amato & Emilia Di Lorenzo & Maria Russolillo & Marilena Sibillo, 2012. "Internal risk control by solvency measures," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 149-156, Springer.
- Valeria D’Amato & Gabriella Piscopo & Maria Russolillo, 2012. "Measuring mortality heterogeneity in pension annuities," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 157-164, Springer.
- Elisa Daniotti, 2012. "Is technical analysis able to beat market inefficiency?," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 165-173, Springer.
- Antonio Di Crescenzo & Barbara Martinucci & Shelemyahu Zacks, 2012. "On the damped geometric telegrapher’s process," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 175-182, Springer.
- Anna Maria Fiori & Emanuela Rosazza Gianin & Anna Spasova, 2012. "Risk measures and Pareto style tails," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 183-191, Springer.
- Claudio Fontana, 2012. "Credit risk and incomplete information: A filtering framework for pricing and risk management," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 193-201, Springer.
- Salvatore Forte & Matteo Ialenti & Marco Pirra, 2012. "Claims reserving uncertainty in the development of internal risk models," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 203-210, Springer.
- Cinzia Franceschini & Nicola Loperfido, 2012. "Some inequalities between measures of multivariate kurtosis, with application to financial returns," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 211-218, Springer.
- Manuel Franco & Johan René van Dorp & Juana-María Vivo, 2012. "The generalized trapezoidal model in financial data analysis," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 219-227, Springer.
- Francesco Giordano & Michele La Rocca & Cira Perna, 2012. "Nonparametric estimation of volatility functions: Some experimental evidences," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 229-236, Springer.
- Maria Iannario & Domenico Piccolo, 2012. "Investigating and modelling the perception of economic security in the Survey of Household Income and Wealth," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 237-244, Springer.
- Nino Kordzakhia & Alexander Novikov & Gurami Tsitsiashvili, 2012. "On ruin probabilities in risk models with interest rate," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 245-253, Springer.
- Susanna Levantesi & Massimiliano Menzietti & Tiziana Torri, 2012. "On longevity risk securitization and solvency capital requirements in life annuities," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 255-262, Springer.
- Xiaojuan Ma & Sergey Utev, 2012. "Modelling the share prices as a hidden random walk on the lamplighter group," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 263-270, Springer.
- Roberto Marfè, 2012. "Multivariate jump arrivals: The variance gamma case," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 271-278, Springer.
- J. Miguel Marín & Genaro Sucarrat, 2012. "Modelling the skewed exponential power distribution in finance," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 279-286, Springer.
- Marco Marozzi, 2012. "Composite indicators: A sectorial perspective," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 287-294, Springer.
- Igor Melicherčík & Daniel Ševčovič, 2012. "Dynamic model of pension savings management with stochastic interest rates and stock returns," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 295-303, Springer.
- Roberta Melis & Alessandro Trudda, 2012. "Financial and demographic risks impact on a pay-as-you-go pension fund," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 305-313, Springer.
- Martina Nardon & Paolo Pianca, 2012. "Extracting implied dividends from options prices: Some applications to the Italian derivatives market," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 315-322, Springer.
- Marcella Niglio & Cosimo Damiano Vitale, 2012. "Generalization of some linear time series property to nonlinear domain," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 323-331, Springer.
- Maria Lucia Parrella, 2012. "Evaluating the behavior of a function in kernel based regression," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 333-340, Springer.
- Danilo Pelusi & Massimo Tivegna, 2012. "Optimal trading rules at hourly frequency in the foreign exchange markets," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 341-348, Springer.
- Flavio Pressacco & Laura Ziani, 2012. "The influence of correlation and loading on M–V efficient retentions in variable quota share proportional reinsurance," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 349-357, Springer.
- Luca Regis, 2012. "Good and bad banks," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 359-366, Springer.
- Giorgia Rivieccio, 2012. "Tail diversification strategy. An application to MSCI World Sector Indices," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 367-374, Springer.
- Giacomo Sbrana & Andrea Silvestrini, 2012. "Marginalization and aggregation of exponential smoothing models in forecasting portfolio volatility," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 375-382, Springer.
- Giovanni Villani, 2012. "Generalization of stratified variance reduction methods for Monte Carlo exchange options pricing," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 383-391, Springer.
- Lei Wu & Hans van der Weide, 2012. "Price discovery in a dynamic structural model," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 393-401, Springer.
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