Perna, Cira
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
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
- Author(s)
- Perna, Cira
- Sibillo, Marilena
- Publisher
- Springer
- Publication year
- 2012
- Language
- en
- Edition
- 1
- Page amount
- 420 pages
- Category
- Natural Sciences
- Format
- Ebook
- eISBN (PDF)
- 9788847023420