Book 2014

Mathematical and Statistical Methods for Actuarial Sciences and Finance

Editors:

ISBN: 978-3-319-02498-1 (Print) 978-3-319-02499-8 (Online)

Table of contents (27 chapters)

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  1. Front Matter

    Pages i-ix

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    Chapter

    Pages 1-12

    Weak Form Efficiency of Selected European Stock Markets: Alternative Testing Approaches

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    Chapter

    Pages 13-25

    An Empirical Comparison of Variable Selection Methods in Competing Risks Model

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    Chapter

    Pages 27-39

    A Comparison Between Different Numerical Schemes for the Valuation of Unit-Linked Contracts Embedding a Surrender Option

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    Chapter

    Pages 41-53

    Dynamic Tracking Error with Shortfall Control Using Stochastic Programming

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    Chapter

    Pages 55-67

    Firm’s Volatility Risk Under Microstructure Noise

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    Chapter

    Pages 69-79

    Socially Responsible Mutual Funds: An Efficiency Comparison Among the European Countries

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    Chapter

    Pages 81-88

    Fitting Financial Returns Distributions: A Mixture Normality Approach

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    Chapter

    Pages 89-98

    Single-Name Concentration Risk Measurements in Credit Portfolios

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    Chapter

    Pages 99-110

    Bifactorial Pricing Models: Light and Shadows in Correlation Role

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    Chapter

    Pages 111-118

    Dynamic Strategies for Defined Benefit Pension Plans Risk Management

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    Chapter

    Pages 119-130

    Particle Swarm Optimization for Preference Disaggregation in Multicriteria Credit Scoring Problems

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    Chapter

    Pages 131-140

    Time Series Clustering on Lower Tail Dependence for Portfolio Selection

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    Chapter

    Pages 141-150

    Solvency Analysis of Defined Benefit Pension Schemes

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    Chapter

    Pages 151-158

    Stochastic Actuarial Valuations in Double-Indexed Pension Annuity Assessment

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    Chapter

    Pages 159-169

    Testing for Normality When the Sampled Distribution Is Extended Skew-Normal

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    Chapter

    Pages 171-178

    On the RODEO Method for Variable Selection

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    Chapter

    Pages 179-193

    Portfolio Allocation Using Omega Function: An Empirical Analysis

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    Chapter

    Pages 195-204

    Investment Rankings via an Objective Measure of Riskiness: A Case Study

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    Chapter

    Pages 205-217

    A Squared Rank Assessment of the Difference Between US and European Firm Valuation Ratios

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    Chapter

    Pages 219-230

    A Behavioural Approach to the Pricing of European Options

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