Table of contents (46 chapters)

1. Front Matter

   Pages I-XII

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2. 

   Book Chapter

   Pages 1-9

   On the estimation in continuous limit of GARCH processes

   • Giuseppina Albano,
   • Francesco Giordano
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3. 

   Book Chapter

   Pages 11-18

   Variable selection in forecasting models for default risk

   • Alessandra Amendola,
   • Marialuisa Restaino
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4. 

   Book Chapter

   Pages 19-26

   Capital structure with firm’s net cash payouts

   • Flavia Barsotti,
   • Maria Elvira Mancino
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5. 

   Book Chapter

   Pages 27-34

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

   • Fabio Bellini,
   • Carlo Sgarra
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6. 

   Book Chapter

   Pages 35-42

   On hyperbolic iterated distortions for the adjustment of survival functions

   • Alexis Bienvenüe,
   • Didier Rullière
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7. 

   Book Chapter

   Pages 43-52

   Beyond Basel2: Modeling loss given default through survival analysis

   • Stefano Bonini,
   • Giuliana Caivano
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8. 

   Book Chapter

   Pages 53-60

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

   • Antonella Campana,
   • Paola Ferretti
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9. 

   Book Chapter

   Pages 61-68

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

   • Vincenzo Capasso,
   • Ralf Engbers
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10. 

    Book Chapter

    Pages 69-77

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

    • Vincenzo Capasso,
    • Herb E. Kunze
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11. 

    Book Chapter

    Pages 79-86

    An ordinal approach to risk measurement

    • Marta Cardin,
    • Miguel Couceiro
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12. 

    Book Chapter

    Pages 87-94

    Piecewise linear dynamic systems for own risk solvency assessment

    • Rocco Roberto Cerchiara,
    • Fabio Lamantia
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13. 

    Book Chapter

    Pages 95-103

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

    • Rosa Cocozza,
    • Angela Gallo,
    • Giuseppe Xella
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14. 

    Book Chapter

    Pages 105-113

    Conditional performance attribution for equity portfolio

    • Claudio Conversano,
    • Alessio Lizzeri
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15. 

    Book Chapter

    Pages 115-122

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

    • Mariarosaria Coppola,
    • Albina Orlando
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16. 

    Book Chapter

    Pages 123-130

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

    • Marco Corazza,
    • Giovanni Fasano
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17. 

    Book Chapter

    Pages 131-138

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

    • Michele Costa,
    • Luca De Angelis
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18. 

    Book Chapter

    Pages 139-147

    Valuation of portfolio loss derivatives in an infectious model

    • Areski Cousin,
    • Diana Dorobantu
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19. 

    Book Chapter

    Pages 149-156

    Internal risk control by solvency measures

    • Valeria D’Amato,
    • Emilia Di Lorenzo
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20. 

    Book Chapter

    Pages 157-164

    Measuring mortality heterogeneity in pension annuities

    • Valeria D’Amato,
    • Gabriella Piscopo
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21. 

    Book Chapter

    Pages 165-173

    Is technical analysis able to beat market inefficiency?

    • Elisa Daniotti
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