Mathematical and Statistical Methods for Actuarial Sciences and Finance [electronic resource] /
Perna, Cira.editor.
Sibillo, Marilena.editor.
The book develops the capabilities arising from the cooperation between mathematicians and statisticians working in insurance and finance fields. It gathers some of the papers presented at the conference MAF2010, held in Ravello (Amalfi coast), and successively, after a reviewing process, worked out to this aim.
Description based upon print version of record.
Title Page; Copyright Page; Preface; Table of Contents; On the estimation in continuous limit of GARCH processes; 1 Introduction; 2 The model; 3 Inference on the model; 3.1 Properties of the estimators; 3.2 Estimating the variance of the estimators; 4 Conclusions; References; Variable selection in forecasting models for default risk; 1 Introduction; 2 The data base; 3 Variable selection; 4 Forecasting methods; 5 Conclusions; References; Capital structure with firm's net cash payouts; 1 Introduction; 2 Capital structure model with dividends; 2.1 Endogenous failure level
2.2 Comparative statics of financial variables3 Optimal leverage; 4 Conclusions; References; Convex ordering of Esscher and minimal entropy martingale measures for discrete time models; 1 Introduction; 2 Ordering martingale measures; 3 Comparison between Esscher and MEMM; 4 The Multiperiod case; References; On hyperbolic iterated distortions for the adjustment of survival functions; 1 Introduction; 2 Hyperbolic distortion; 3 Numerical Application to Italian mortality; References; Beyond Basel2: Modeling loss given defaul tthrough survival analysis; 1 Introduction; 2 Basel2 and LGD framework
3 Survival analysis: the modeling approach4 Survival analysis application; 4.1 Model development; 5 Conclusions; References; Initial premium, aggregate claims and distortion risk measures in XL reinsurance with reinstatements; 1 Introduction; 2 Excess of loss reinsurance with reinstatements: some preliminary results; 3 Initial premiums and limit on the payment of each claim; 4 Generalized initial premiums and exchangeability; 5 Conclusions; References; Population dynamics in a spatial Solow model with a convex-concave production function; 1 Introduction
2 Spatially structured Solow model with population dynamics3 Numerical simulations; 3.1 Numerical results and discussion; 4 Conclusions; References; Population dynamics in a patch growth model with S-shaped production functions and migration effects; 1 Introduction; 2 Population dynamics in economic growth; 3 A convex-concave production function; 4 A patch model with convex-concave production functions and migration effects; 5 Numerical simulations and discussion; References; An ordinal approach to risk measurement; 1 Introduction; 2 Basic notions and preliminary results
2.1 Basic background in lattice theory2.2 Completely distributive lattices; 2.3 Lattice homomorphisms, continuity and invariance; 2.4 Sugeno integrals as lattice polynomial functionals; 3 Applications to risk measurement: risk measures on completely distributive lattices; 3.1 Risk measures on completely distributive lattices; 3.2 Quantiles on completely distributive lattices; 4 Conclusions; References; Piecewise linear dynamic systems for own risk solvency assessment; 1 Introduction; 2 Model specifications; 3 How to use PLDS for ORSA; 4 Conclusions; References
Valuation of the conditional indexation option in asset and liability management of defined benefit pension funds
The book develops the capabilities arising from the cooperation between mathematicians and statisticians working in insurance and finance fields. It gathers some of the papers presented at the conference MAF2010, held in Ravello (Amalfi coast), and successively, after a reviewing process, worked out to this aim.
Economics, Mathematical .
Statistics .
Business.
Management science.
Insurance.
Economic theory.
Macroeconomics.
Quantitative Finance.
Statistics, general.
Business and Management, general.
Insurance.
Economic Theory/Quantitative Economics/Mathematical Methods.
Macroeconomics/Monetary Economics//Financial Economics.