Book 2014

Mathematical and Statistical Methods for Actuarial Sciences and Finance

Editors:

ISBN: 978-3-319-05013-3 (Print) 978-3-319-05014-0 (Online)

Table of contents (42 chapters)

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  1. Front Matter

    Pages I-X

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    Chapter

    Pages 1-5

    Can Personal Dependency Paths Help to Estimate Life Expectancy Free of Dependency?

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    Chapter

    Pages 7-10

    Evaluation of Volatility Forecasts in a VaR Framework

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    Chapter

    Pages 11-15

    Optimal Cut-Off Points for Multiple Causes of Business Failure Models

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    Chapter

    Pages 17-20

    Maximum Empirical Likelihood Inference for Outliers in Autoregressive Time Series

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    Chapter

    Pages 21-25

    The Role of Fund Size and Returns to Scale in the Performance of Mutual Funds

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    Chapter

    Pages 27-30

    A Robustness Analysis of Least-Squares Monte Carlo for R&D Real Options Valuation

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    Chapter

    Pages 31-34

    The Common Pool Problem of Intergovernmental Interactions and Fiscal Discipline: A Stackelberg Approach

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    Chapter

    Pages 35-39

    Evaluating Correlations in European Government Bond Spreads

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    Chapter

    Pages 41-44

    Probability of Default: A Modern Calibration Approach

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    Chapter

    Pages 45-48

    Development of a LGD Model Basel2 Compliant: A Case Study

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    Chapter

    Pages 49-52

    Modelling the Latent Components of Personal Happiness

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    Chapter

    Pages 53-56

    Measuring the Impact of Behavioural Choices on the Market Prices

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    Chapter

    Pages 57-60

    A Note on Natural Risk Statistics, OWA Operators and Generalized Gini Functions

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    Chapter

    Pages 61-64

    The Estimation of Standard Deviation of Premium Risk Under Solvency 2

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    Chapter

    Pages 65-68

    The Solvency Capital Requirement Management for an Insurance Company

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    Chapter

    Pages 69-72

    Direct Multi-Step Estimation and Time Series Classification

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    Chapter

    Pages 73-76

    Alternative Assessments of the Longevity Trends

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    Chapter

    Pages 77-80

    Combinatorial Nonlinear Goal Programming for ESG Portfolio Optimization and Dynamic Hedge Management

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    Chapter

    Pages 81-85

    On the Geometric Brownian Motion with Alternating Trend

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    Chapter

    Pages 87-90

    Empirical Evidences on Predictive Accuracy of Survival Models

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