Mathematical and Statistical Methods for Actuarial Sciences and Finance

Mathematical and Statistical Methods for Actuarial Sciences and Finance

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Overview

The interaction between mathematicians and statisticians has been shown to be an effective approach for dealing with actuarial, insurance and financial problems, both from an academic perspective and from an operative one. The collection of original papers presented in this volume pursues precisely this purpose. It covers a wide variety of subjects in actuarial, insurance and finance fields, all treated in the light of the successful cooperation between the above two quantitative approaches.

The papers published in this volume present theoretical and methodological contributions and their applications to real contexts. With respect to the theoretical and methodological contributions, some of the considered areas of investigation are: actuarial models; alternative testing approaches; behavioral finance; clustering techniques; coherent and non-coherent risk measures; credit scoring approaches; data envelopment analysis; dynamic shastic programming; financial contagion models; financial ratios; intelligent financial trading systems; mixture normality approaches; Monte Carlo-based methods; multicriteria methods; nonlinear parameter estimation techniques; nonlinear threshold models; particle swarm optimization; performance measures; portfolio optimization; pricing methods for structured and non-structured derivatives; risk management; skewed distribution analysis; solvency analysis; shastic actuarial valuation methods; variable selection models; time series analysis tools. As regards the applications, they are related to real problems associated, among the others, to: banks; collateralized fund obligations; credit portfolios; defined benefit pension plans; double-indexed pension annuities; efficient-market hypothesis; exchange markets; financial time series; firms; hedge funds; non-life insurance companies; returns distributions; socially responsible mutual funds; unit-linked contracts.

This book is aimed at academics, Ph.D. students, practitioners, professionals and researchers. But it will also be of interest to readers with some quantitative background knowledge.

Product Details

ISBN-13: 9783319378985
Publisher: Springer International Publishing
Publication date: 10/14/2016
Edition description: Softcover reprint of the original 1st ed. 2014
Pages: 313
Product dimensions: 6.10(w) x 9.25(h) x 0.03(d)

About the Author

The interaction between mathematicians and statisticians has been shown to be an effective approach for dealing with actuarial, insurance and financial problems, both from an academic perspective and from an operative one. The collection of original papers presented in this volume pursues precisely this purpose. It covers a wide variety of subjects in actuarial, insurance and finance fields, all treated in the light of the successful cooperation between the above two quantitative approaches.

The papers published in this volume present theoretical and methodological contributions and their applications to real contexts. With respect to the theoretical and methodological contributions, some of the considered areas of investigation are: actuarial models; alternative testing approaches; behavioral finance; clustering techniques; coherent and non-coherent risk measures; credit scoring approaches; data envelopment analysis; dynamic shastic programming; financial contagion models; financial ratios; intelligent financial trading systems; mixture normality approaches; Monte Carlo-based methods; multicriteria methods; nonlinear parameter estimation techniques; nonlinear threshold models; particle swarm optimization; performance measures; portfolio optimization; pricing methods for structured and non-structured derivatives; risk management; skewed distribution analysis; solvency analysis; shastic actuarial valuation methods; variable selection models; time series analysis tools. As regards the applications, they are related to real problems associated, among the others, to: banks; collateralized fund obligations; credit portfolios; defined benefit pension plans; double-indexed pension annuities; efficient-market hypothesis; exchange markets; financial time series; firms; hedge funds; non-life insurance companies; returns distributions; socially responsible mutual funds; unit-linked contracts.

This book is aimed at academics, Ph.D. students, practitioners, professionals and researchers. But it will also be of interest to readers with some quantitative background knowledge.

Table of Contents

Impact of interest rate risk on the Spanish banking sector Laura Ballester Román Ferrer Cristóbal González 1

Tracking error with minimum guarantee constraints Diana Barro Elio Canestrelli 13

Energy markets: crucial relationship between prices Cristina Bencivenga Giulia Sargenti Rita L. D 'Ecclesia 23

Tempered stable distributions and processes in finance: numerical analysis Michele Leonardo Bianchi Svetlozar T. Rachev Young Shin Kim Frank J. Fabozzi 33

Transformation kernel estimation of insurance claim cost distributions Catalina Bolancé Montserrat Guillén Jens Perch Nielsen 43

What do distortion risk measures tell us on excess of loss reinsurance with reinstatements? Antonella Campana Paola Ferretti 53

Some classes of multivariate risk measures Marta Cardin Elisa Pagani 63

Assessing risk perception by means of ordinal models Paola Cerchiello Maria Iannario Domenico Piccolo 75

A financial analysis of surplus dynamics for deferred life schemes Rosa Cocozza Emilia Di Lorenzo Albina Orlando Marilena Sibillo 85

Checking financial markets via Benford's law: the S&P 500 case Marco Corazza Andrea Ellero Alberto Zorzi 93

Empirical likelihood based nonparametric testing for CAPM Pietro Coretto Maria Lucia Parrella 103

Lee-Carter error matrix simulation: heteroschedasticity impact on actuarial valuations Valeria D'Amato Maria Russolillo 113

Estimating the volatility term structure Antonio Díaz Francisco Jareño Eliseo Navarro 123

Exact and approximated option pricing in a stochastic volatility jump-diffusion model Fernanda D'Ippoliti Enrico Moretto Sara Pasquali Barbara Trivellato 133

A skewed GARCH-type model for multivariate financial time series Cinzia Franceschini Nicola Loperfido 143

Financial time series and neural networks in a minority game context Luca Grilli Massimo Alfonso Russo Angelo Sfrecola 153

Robust estimation of style analysis coefficients Michele La Rocca Domenico Vistocco 163

Managing demographic risk in enhanced pensions Susanna Levantesi Massimiliano Menzietti 173

Clustering mutual funds by return and risk levels Francesco Lisi Edoardo Otranto 183

Multivariate Variance Gamma and Gaussian dependence: a study with copulas Elisa Luciano Patrizia Semeraro 193

A simple dimension reduction procedure for corporate finance composite indicators Marco Marozzi Luigi Santamaria 205

The relation between implied and realised volatility in the DAX index options market Silvia Muzzioli 215

Binomial algorithms for the evaluation of options on stocks with fixed per share dividends Martina Nardon Paolo Pianca 225

Nonparametric prediction in time series analysis: some empirical results Marcella Niglio Cira Perna 235

On efficient optimisation of the CVaR and related LP computable risk measures for portfolio selection Włdzimierz Ogryczak Tomasz Śliwiński 245

A pattern recognition algorithm for optimal profits in currency trading Danilo Pelusi 253

Nonlinear cointegration in financial time series Claudio Pizzi 263

Optimal dynamic asset allocation in a non-Gaussian world Gianni Pola 273

Fair costs of guaranteed minimum death benefit contracts François Quittard-Pinon Rivo Randrianarivony 283

Solvency evaluation of the guaranty fund at a large financial cooperative Jean Roy 295

A Monte Carlo approach to value exchange options using a single stochastic factor Giovanni Villani 305

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