Mathematical and Statistical Methods for Actuarial Sciences and Finance

1. On the estimation in continuous limit of GARCH processes
Giuseppina Albano, Francesco Giordano, Cira Perna

2. Variable selection in forecasting models for default risk
Alessandra Amendola, Marialuisa Restaino, Luca Sensini

3. Capital structure with firm’s net cash payouts
Flavia Barsotti, Maria Elvira Mancino, Monique Pontier

4. Convex ordering of Esscher and minimal entropy martingale measures for discrete time models
Fabio Bellini, Carlo Sgarra

5. On hyperbolic iterated distortions for the adjustment of survival functions
Alexis Bienvenüe, Didier Rullière

6. Beyond Basel2: Modeling loss given default through survival analysis
Stefano Bonini, Giuliana Caivano

7. Initial premium, aggregate claims and distortion risk measures in XL reinsurance with reinstatements
Antonella Campana, Paola Ferretti

8. Population dynamics in a spatial Solow model with a convex-concave production function
Vincenzo Capasso, Ralf Engbers, Davide Torre

9. Population dynamics in a patch growth model with S-shaped production functions and migration effects
Vincenzo Capasso, Herb E. Kunze, Davide Torre

10. An ordinal approach to risk measurement
Marta Cardin, Miguel Couceiro

11. Piecewise linear dynamic systems for own risk solvency assessment
Rocco Roberto Cerchiara, Fabio Lamantia

12. Valuation of the conditional indexation option in asset and liability management of defined benefit pension funds
Rosa Cocozza, Angela Gallo, Giuseppe Xella

13. Conditional performance attribution for equity portfolio
Claudio Conversano, Alessio Lizzeri

14. Capital requirements for aggregate risks in long term living products: A stochastic approach
Mariarosaria Coppola, Albina Orlando, Massimiliano Politano

15. Portfolio selection with an alternative measure of risk: Computational performances of particle swarm optimization and genetic algorithms
Marco Corazza, Giovanni Fasano, Riccardo Gusso

16. Interdependence and contagion in international stock markets: A latent Markov model approach
Michele Costa, Luca Angelis, Leonard J. Paas

17. Valuation of portfolio loss derivatives in an infectious model
Areski Cousin, Diana Dorobantu, Didier Rullière

18. Internal risk control by solvency measures
Valeria D’Amato, Emilia Lorenzo, Maria Russolillo, Marilena Sibillo

19. Measuring mortality heterogeneity in pension annuities
Valeria D’Amato, Gabriella Piscopo, Maria Russolillo

20. Is technical analysis able to beat market inefficiency?
Elisa Daniotti

21. On the damped geometric telegrapher’s process
Antonio Crescenzo, Barbara Martinucci, Shelemyahu Zacks

22. Risk measures and Pareto style tails
Anna Maria Fiori, Emanuela Rosazza Gianin, Anna Spasova

23. Credit risk and incomplete information: A filtering framework for pricing and risk management
Claudio Fontana

24. Claims reserving uncertainty in the development of internal risk models
Salvatore Forte, Matteo Ialenti, Marco Pirra

25. Some inequalities between measures of multivariate kurtosis, with application to financial returns
Cinzia Franceschini, Nicola Loperfido

26. The generalized trapezoidal model in financial data analysis
Manuel Franco, Johan René Dorp, Juana-María Vivo

27. Nonparametric estimation of volatility functions: Some experimental evidences
Francesco Giordano, Michele Rocca, Cira Perna

28. Investigating and modelling the perception of economic security in the Survey of Household Income and Wealth
Maria Iannario, Domenico Piccolo

29. On ruin probabilities in risk models with interest rate
Nino Kordzakhia, Alexander Novikov, Gurami Tsitsiashvili

30. On longevity risk securitization and solvency capital requirements in life annuities
Susanna Levantesi, Massimiliano Menzietti, Tiziana Torri

31. Modelling the share prices as a hidden random walk on the lamplighter group
Xiaojuan Ma, Sergey Utev

32. Multivariate jump arrivals: The variance gamma case
Roberto Marfè

33. Modelling the skewed exponential power distribution in finance
J. Miguel Marín, Genaro Sucarrat

34. Composite indicators: A sectorial perspective
Marco Marozzi

35. Dynamic model of pension savings management with stochastic interest rates and stock returns
Igor Melicherčík, Daniel Ševčovič

36. Financial and demographic risks impact on a pay-as-you-go pension fund
Roberta Melis, Alessandro Trudda

37. Extracting implied dividends from options prices: Some applications to the Italian derivatives market
Martina Nardon, Paolo Pianca

38. Generalization of some linear time series property to nonlinear domain
Marcella Niglio, Cosimo Damiano Vitale

39. Evaluating the behavior of a function in kernel based regression
Maria Lucia Parrella

40. Optimal trading rules at hourly frequency in the foreign exchange markets
Danilo Pelusi, Massimo Tivegna

41. The influence of correlation and loading on M–V efficient retentions in variable quota share proportional reinsurance
Flavio Pressacco, Laura Ziani

42. Good and bad banks
Luca Regis

43. Tail diversification strategy. An application to MSCI World Sector Indices
Giorgia Rivieccio

44. Marginalization and aggregation of exponential smoothing models in forecasting portfolio volatility
Giacomo Sbrana, Andrea Silvestrini

45. Generalization of stratified variance reduction methods for Monte Carlo exchange options pricing
Giovanni Villani

46. Price discovery in a dynamic structural model
Lei Wu, Hans Weide

Keywords: Mathematics, Quantitative Finance, Statistics, general, Business/Management Science, general, Insurance, Game Theory/Mathematical Methods, Financial Economics