Book 2012

Mathematical and Statistical Methods for Actuarial Sciences and Finance


ISBN: 978-88-470-2341-3 (Print) 978-88-470-2342-0 (Online)

Table of contents (46 chapters)

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  1. Front Matter

    Pages I-XII

  2. Chapter

    Pages 1-9

    On the estimation in continuous limit of GARCH processes

  3. Chapter

    Pages 11-18

    Variable selection in forecasting models for default risk

  4. Chapter

    Pages 19-26

    Capital structure with firm’s net cash payouts

  5. Chapter

    Pages 27-34

    Convex ordering of Esscher and minimal entropy martingale measures for discrete time models

  6. Chapter

    Pages 35-42

    On hyperbolic iterated distortions for the adjustment of survival functions

  7. Chapter

    Pages 43-52

    Beyond Basel2: Modeling loss given default through survival analysis

  8. Chapter

    Pages 53-60

    Initial premium, aggregate claims and distortion risk measures in XL reinsurance with reinstatements

  9. Chapter

    Pages 61-68

    Population dynamics in a spatial Solow model with a convex-concave production function

  10. Chapter

    Pages 69-77

    Population dynamics in a patch growth model with S-shaped production functions and migration effects

  11. Chapter

    Pages 79-86

    An ordinal approach to risk measurement

  12. Chapter

    Pages 87-94

    Piecewise linear dynamic systems for own risk solvency assessment

  13. Chapter

    Pages 95-103

    Valuation of the conditional indexation option in asset and liability management of defined benefit pension funds

  14. Chapter

    Pages 105-113

    Conditional performance attribution for equity portfolio

  15. Chapter

    Pages 115-122

    Capital requirements for aggregate risks in long term living products: A stochastic approach

  16. Chapter

    Pages 123-130

    Portfolio selection with an alternative measure of risk: Computational performances of particle swarm optimization and genetic algorithms

  17. Chapter

    Pages 131-138

    Interdependence and contagion in international stock markets: A latent Markov model approach

  18. Chapter

    Pages 139-147

    Valuation of portfolio loss derivatives in an infectious model

  19. Chapter

    Pages 149-156

    Internal risk control by solvency measures

  20. Chapter

    Pages 157-164

    Measuring mortality heterogeneity in pension annuities

  21. Chapter

    Pages 165-173

    Is technical analysis able to beat market inefficiency?

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