Mathematical and Statistical Methods for Actuarial Sciences and Finance

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

2. Tracking error with minimum guarantee constraints
Diana Barro, Elio Canestrelli

3. Energy markets: crucial relationship between prices
Cristina Bencivenga, Giulia Sargenti, Rita L. D’Ecclesia

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

5. Transformation kernel estimation of insurance claim cost distributions
Catalina Bolancé, Montserrat Guillén, Jens Perch Nielsen

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

7. Some classes of multivariate risk measures
Marta Cardin, Elisa Pagani

8. Assessing risk perception by means of ordinal models
Paola Cerchiello, Maria Iannario, Domenico Piccolo

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

10. Checking financial markets via Benford’s law: the S&P 500 case
Marco Corazza, Andrea Ellero, Alberto Zorzi

11. Empirical likelihood based nonparametric testing for CAPM
Pietro Coretto, Maria Lucia Parrella

12. Lee-Carter error matrix simulation: heteroschedasticity impact on actuarial valuations
Valeria D’Amato, Maria Russolillo

13. Estimating the volatility term structure
Antonio Díaz, Francisco Jareño, Eliseo Navarro

14. Exact and approximated option pricing in a stochastic volatility jump-diffusion model
Fernanda D’Ippoliti, Enrico Moretto, Sara Pasquali, Barbara Trivellato

15. A skewed GARCH-type model for multivariate financial time series
Cinzia Franceschini, Nicola Loperfido

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

17. Robust estimation of style analysis coefficients
Michele La Rocca, Domenico Vistocco

18. Managing demographic risk in enhanced pensions
Susanna Levantesi, Massimiliano Menzietti

19. Clustering mutual funds by return and risk levels
Francesco Lisi, Edoardo Otranto

20. Multivariate Variance Gamma and Gaussian Dependence: a study with copulas
Elisa Luciano, Patrizia Semeraro

21. A simple dimension reduction procedure for corporate finance composite indicators
Marco Marozzi, Luigi Santamaria

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

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

24. Nonparametric prediction in time series analysis: some empirical results
Marcella Niglio, Cira Perna

25. On efficient optimisation of the CVaR and related LP computable risk measures for portfolio selection
Włodzimierz Ogryczak, Tomasz Śliwiński

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

27. Nonlinear cointegration in financial time series
Claudio Pizzi

28. Optimal dynamic asset allocation in a non—Gaussian world
Gianni Pola

29. Fair costs of guaranteed minimum death benefit contracts
François Quittard-Pinon, Rivo Randrianarivony

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

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

Keywords: Mathematics, Quantitative Finance, Statistical Theory and Methods, Financial Economics, Applications of Mathematics, Game Theory/Mathematical Methods, Statistics for Business/Economics/Mathematical Finance/Insurance