Mathematical and Statistical Methods in Insurance and Finance

1. Least Squares Predictors for Threshold Models: Properties and Forecast Evaluation
Alessandra Amendola, Marcella Niglio, Cosimo Vitale

2. Estimating Portfolio Conditional Returns Distribution Through Style Analysis Models
Laura Attardi, Domenico Vistocco

3. A Full Monte Carlo Approach to the Valuation of the Surrender Option Embedded in Life Insurance Contracts
Anna Rita Bacinello

4. Spatial Aggregation in Scenario Tree Reduction
Diana Barro, Elio Canestrelli, Pierangelo Ciurlia

5. Scaling Laws in Stock Markets. An Analysis of Prices and Volumes
Sergio Bianchi, Augusto Pianese

6. Bounds for Concave Distortion Risk Measures for Sums of Risks
Antonella Campana, Paola Ferretti

7. Characterization of Convex Premium Principles
Marta Cardin, Graziella Pacelli

8. FFT, Extreme Value Theory and Simulation to Model Non-Life Insurance Claims Dependences
Rocco Roberto Cerchiara

9. Dynamics of Financial Time Series in an Inhomogeneous Aggregation Framework
Roy Cerqueti, Giulia Rotundo

10. A Liability Adequacy Test for Mathematical Provision
Rosa Cocozza, Emilia Lorenzo, Abina Orlando, Marilena Sibillo

11. Iterated Function Systems, Iterated Multifunction Systems, and Applications
Cinzia Colapinto, Davide Torre

12. Remarks on Insured Loan Valuations
Mariarosaria Coppola, Valeria D’Amato, Marilena Sibillo

13. Exploring the Copula Approach for the Analysis of Financial Durations
Giovanni Luca, Giorgia Rivieccio, Paola Zuccolotto

14. Analysis of Economic Fluctuations: A Contribution from Chaos Theory
Marisa Faggini

15. Generalized Influence Functions and Robustness Analysis
Matteo Fini, Davide Torre

16. Neural Networks for Bandwidth Selection in Non-Parametric Derivative Estimation
Francesco Giordano, Maria Lucia Parrella

17. Comparing Mortality Trends via Lee-Carter Method in the Framework of Multidimensional Data Analysis
Giuseppe Giordano, Maria Russolillo, Steven Haberman

18. Decision Making in Financial Markets Through Multivariate Ordering Procedure
Luca Grilli, Massimo Alfonso Russo

19. A Biometric Risks Analysis in Long Term Care Insurance
Susanna Levantesi, Massimiliano Menzietti

20. Clustering Financial Data for Mutual Fund Management
Francesco Lisi, Marco Corazza

21. Modeling Ultra-High-Frequency Data: The S&P 500 Index Future
Marco Minozzo, Silvia Centanni

22. Simulating a Generalized Gaussian Noise with Shape Parameter 1/2
Martina Nardon, Paolo Pianca

23. Further Remarks on Risk Profiles for Life Insurance Participating Policies
Albina Orlando, Massimiliano Politano

24. Classifying Italian Pension Funds via GARCH Distance
Edoardo Otranto, Alessandro Trudda

25. The Analysis of Extreme Events — Some Forecasting Approaches
Massimo Salzano

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Keywords: BUSINESS & ECONOMICS / Management Science BUS042000