2008

Mathematical and Statistical Methods in Insurance and Finance

Editors:

ISBN: 978-88-470-0703-1 (Print) 978-88-470-0704-8 (Online)

Table of contents (25 chapters)

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  1. Front Matter

    Pages I-XIV

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    Book Chapter

    Pages 1-9

    Least Squares Predictors for Threshold Models: Properties and Forecast Evaluation

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    Book Chapter

    Pages 11-17

    Estimating Portfolio Conditional Returns Distribution Through Style Analysis Models

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    Pages 19-26

    A Full Monte Carlo Approach to the Valuation of the Surrender Option Embedded in Life Insurance Contracts

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    Pages 27-34

    Spatial Aggregation in Scenario Tree Reduction

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    Book Chapter

    Pages 35-42

    Scaling Laws in Stock Markets. An Analysis of Prices and Volumes

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    Book Chapter

    Pages 43-51

    Bounds for Concave Distortion Risk Measures for Sums of Risks

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    Book Chapter

    Pages 53-60

    Characterization of Convex Premium Principles

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    Book Chapter

    Pages 61-65

    FFT, Extreme Value Theory and Simulation to Model Non-Life Insurance Claims Dependences

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    Book Chapter

    Pages 67-74

    Dynamics of Financial Time Series in an Inhomogeneous Aggregation Framework

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    Book Chapter

    Pages 75-81

    A Liability Adequacy Test for Mathematical Provision

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    Book Chapter

    Pages 83-90

    Iterated Function Systems, Iterated Multifunction Systems, and Applications

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    Pages 91-98

    Remarks on Insured Loan Valuations

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    Pages 99-106

    Exploring the Copula Approach for the Analysis of Financial Durations

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    Book Chapter

    Pages 107-112

    Analysis of Economic Fluctuations: A Contribution from Chaos Theory

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    Book Chapter

    Pages 113-120

    Generalized Influence Functions and Robustness Analysis

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    Book Chapter

    Pages 121-129

    Neural Networks for Bandwidth Selection in Non-Parametric Derivative Estimation

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    Book Chapter

    Pages 131-138

    Comparing Mortality Trends via Lee-Carter Method in the Framework of Multidimensional Data Analysis

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    Book Chapter

    Pages 139-147

    Decision Making in Financial Markets Through Multivariate Ordering Procedure

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    Book Chapter

    Pages 149-156

    A Biometric Risks Analysis in Long Term Care Insurance

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    Book Chapter

    Pages 157-164

    Clustering Financial Data for Mutual Fund Management

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