Coverart for item
The Resource Mathematical and statistical methods for actuarial sciences and finance, Cira Perna (editor), Marilena Sibillo (editor)

Mathematical and statistical methods for actuarial sciences and finance, Cira Perna (editor), Marilena Sibillo (editor)

Label
Mathematical and statistical methods for actuarial sciences and finance
Title
Mathematical and statistical methods for actuarial sciences and finance
Statement of responsibility
Cira Perna (editor), Marilena Sibillo (editor)
Creator
Contributor
Subject
Genre
Language
eng
Summary
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
Cataloging source
GW5XE
Dewey number
368/.01
Index
index present
LC call number
HG8017
LC item number
.M34 2010
Literary form
non fiction
http://bibfra.me/vocab/lite/meetingDate
2010
http://bibfra.me/vocab/lite/meetingName
MAF 2010
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Perna, Cira
  • Sibillo, Marilena
http://library.link/vocab/subjectName
  • Insurance
  • Insurance
  • Finance
  • Finance
  • Mathematics
  • Mathematics
  • Mathematics
  • BUSINESS & ECONOMICS
  • Finance
  • Finance
  • Insurance
  • Insurance
Label
Mathematical and statistical methods for actuarial sciences and finance, Cira Perna (editor), Marilena Sibillo (editor)
Instantiates
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and indexes
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • On hyperbolic iterated distortions for the adjustment of survival functions
  • Alexis Bienvenüe and Didier Rullière
  • Beyond Basel2: Modeling loss given default through survival analysis
  • Stefano Bonini and Giuliana Caivano
  • Initial premium, aggregate claims and distortion risk measures in XL reinsurance with reinstatements
  • Antonella Campana and Paola Ferretti
  • Population dynamics in a spatial Solow model with a convex-concave production function
  • Vincenzo Capasso, Ralf Engbers and Davide La Torre
  • Population dynamics in a patch growth model with S-shaped production functions and migration effects
  • Vincenzo Capasso, Herb E. Kunze and Davide La Torre
  • On the estimation in continuous limit of GARCH processes
  • An ordinal approach to risk measurement
  • Marta Cardin and Miguel Couceiro
  • Piecewise linear dynamic systems for own risk solvency assessment
  • Rocco Roberto Cerchiara and Fabio Lamantia
  • Valuation of the conditional indexation option in asset and liability management of defined benefit pension funds
  • Rosa Cocozza, Angela Gallo and Giuseppe Xella
  • Conditional performance attribution for equity portfolio
  • Claudio Conversano and Alessio Lizzeri
  • Capital requirements for aggregate risks in long term living products: A stochastic approach
  • Mariarosaria Coppola, Albina Orlando and Massimiliano Politano
  • Giuseppina Albano, Francesco Giordano and Cira Perna
  • Portfolio selection with an alternative measure of risk: Computational performances of particle swarm optimization and genetic algorithms
  • Marco Corazza, Giovanni Fasano and Riccardo Gusso
  • Interdependence and contagion in international stock markets: A latent Markov model approach
  • Michele Costa, Luca De Angelis and Leonard J. Paas
  • Variable selection in forecasting models for default risk
  • Alessandra Amendola, Marialuisa Restaino and Luca Sensini
  • Capital structure with firm's net cash payouts
  • Flavia Barsotti, Maria Elvira Mancino and Monique Pontier
  • Convex ordering of Esscher and minimal entropy martingale measures for discrete time models
  • Fabio Bellini and Carlo Sgarra
  • On the damped geometric telegrapher's process
  • Antonio Di Crescenzo, Barbara Martinucci and Shelemyahu Zacks
  • Risk measures and Pareto style tails
  • Anna Maria Fiori, Emanuela Rosazza Gianin and Anna Spasova
  • Credit risk and incomplete information: A filtering framework for pricing and risk management
  • Claudio Fontana
  • Claims reserving uncertainty in the development of internal risk models
  • Salvatore Forte, Matteo Ialenti and Marco Pirra
  • Some inequalities between measures of multivariate kurtosis, with application to financial returns
  • Cinzia Franceschini and Nicola Loperfido
  • Valuation of portfolio loss derivatives in an infectious model
  • The generalized trapezoidal model in financial data analysis
  • Manuel Franco, Johan René van Dorp and Juana-María Vivo
  • Nonparametric estimation of volatility functions: Some experimental evidences
  • Francesco Giordano, Michele La Rocca and Cira Perna
  • Investigating and modelling the perception of economic security in the Survey of Household Income and Wealth
  • Maria Iannario and Domenico Piccolo
  • On ruin probabilities in risk models with interest rate
  • Nino Kordzakhia, Alexander Novikov and Gurami Tsitsiashvili
  • On longevity risk securitization and solvency capital requirements in life annuities
  • Susanna Levantesi, Massimiliano Menzietti and Tiziana Torri
  • Areski Cousin, Diana Dorobantu and Didier Rullière
  • Internal risk control by solvency measures
  • Valeria D'Amato, Emilia Di Lorenzo, Maria Russolillo and Marilena Sibillo
  • Measuring mortality heterogeneity in pension annuities
  • Valeria D'Amato, Gabriella Piscopo and Maria Russolillo
  • Is technical analysis able to beat market inefficiency?
  • Elisa Daniotti
  • Dynamic model of pension savings management with stochastic interest rates and stock returns
  • Igor Melicherčík and Daniel Ševčovič
  • Financial and demographic risks impact on a pay-as-you-go pension fund
  • Roberta Melis and Alessandro Trudda
  • Extracting implied dividends from options prices: Some applications to the Italian derivatives market
  • Martina Nardon and Paolo Pianca
  • Generalization of some linear time series property to nonlinear domain
  • Marcella Niglio and Cosimo Damiano Vitale
  • Evaluating the behavior of a function in kernel based regression
  • Maria Lucia Parrella
  • Modelling the share prices as a hidden random walk on the lamplighter group
  • Optimal trading rules at hourly frequency in the foreign exchange markets
  • Danilo Pelusi and Massimo Tivegna
  • The influence of correlation and loading on M-V efficient retentions in variable quota share proportional reinsurance
  • Flavio Pressacco and Laura Ziani
  • Good and bad banks
  • Luca Regis
  • Tail diversification strategy. An application to MSCI World Sector Indices
  • Giorgia Rivieccio
  • Marginalization and aggregation of exponential smoothing models in forecasting portfolio volatility
  • Giacomo Sbrana and Andrea Silvestrini
  • Xiaojuan Ma and Sergey Utev
  • Generalization of stratified variance reduction methods for Monte Carlo exchange options pricing
  • Giovanni Villani
  • Price discovery in a dynamic structural model
  • Lei Wu and Hans van der Weide
  • Multivariate jump arrivals: The variance gamma case
  • Roberto Marfè
  • Modelling the skewed exponential power distribution in finance
  • J. Miguel Marín and Genaro Sucarrat
  • Composite indicators: A sectorial perspective
  • Marco Marozzi
Control code
780442091
Dimensions
unknown
Extent
1 online resource (xii, 408 pages)
File format
unknown
Form of item
online
Isbn
9788847023420
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-88-470-2342-0
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)780442091
Label
Mathematical and statistical methods for actuarial sciences and finance, Cira Perna (editor), Marilena Sibillo (editor)
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and indexes
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • On hyperbolic iterated distortions for the adjustment of survival functions
  • Alexis Bienvenüe and Didier Rullière
  • Beyond Basel2: Modeling loss given default through survival analysis
  • Stefano Bonini and Giuliana Caivano
  • Initial premium, aggregate claims and distortion risk measures in XL reinsurance with reinstatements
  • Antonella Campana and Paola Ferretti
  • Population dynamics in a spatial Solow model with a convex-concave production function
  • Vincenzo Capasso, Ralf Engbers and Davide La Torre
  • Population dynamics in a patch growth model with S-shaped production functions and migration effects
  • Vincenzo Capasso, Herb E. Kunze and Davide La Torre
  • On the estimation in continuous limit of GARCH processes
  • An ordinal approach to risk measurement
  • Marta Cardin and Miguel Couceiro
  • Piecewise linear dynamic systems for own risk solvency assessment
  • Rocco Roberto Cerchiara and Fabio Lamantia
  • Valuation of the conditional indexation option in asset and liability management of defined benefit pension funds
  • Rosa Cocozza, Angela Gallo and Giuseppe Xella
  • Conditional performance attribution for equity portfolio
  • Claudio Conversano and Alessio Lizzeri
  • Capital requirements for aggregate risks in long term living products: A stochastic approach
  • Mariarosaria Coppola, Albina Orlando and Massimiliano Politano
  • Giuseppina Albano, Francesco Giordano and Cira Perna
  • Portfolio selection with an alternative measure of risk: Computational performances of particle swarm optimization and genetic algorithms
  • Marco Corazza, Giovanni Fasano and Riccardo Gusso
  • Interdependence and contagion in international stock markets: A latent Markov model approach
  • Michele Costa, Luca De Angelis and Leonard J. Paas
  • Variable selection in forecasting models for default risk
  • Alessandra Amendola, Marialuisa Restaino and Luca Sensini
  • Capital structure with firm's net cash payouts
  • Flavia Barsotti, Maria Elvira Mancino and Monique Pontier
  • Convex ordering of Esscher and minimal entropy martingale measures for discrete time models
  • Fabio Bellini and Carlo Sgarra
  • On the damped geometric telegrapher's process
  • Antonio Di Crescenzo, Barbara Martinucci and Shelemyahu Zacks
  • Risk measures and Pareto style tails
  • Anna Maria Fiori, Emanuela Rosazza Gianin and Anna Spasova
  • Credit risk and incomplete information: A filtering framework for pricing and risk management
  • Claudio Fontana
  • Claims reserving uncertainty in the development of internal risk models
  • Salvatore Forte, Matteo Ialenti and Marco Pirra
  • Some inequalities between measures of multivariate kurtosis, with application to financial returns
  • Cinzia Franceschini and Nicola Loperfido
  • Valuation of portfolio loss derivatives in an infectious model
  • The generalized trapezoidal model in financial data analysis
  • Manuel Franco, Johan René van Dorp and Juana-María Vivo
  • Nonparametric estimation of volatility functions: Some experimental evidences
  • Francesco Giordano, Michele La Rocca and Cira Perna
  • Investigating and modelling the perception of economic security in the Survey of Household Income and Wealth
  • Maria Iannario and Domenico Piccolo
  • On ruin probabilities in risk models with interest rate
  • Nino Kordzakhia, Alexander Novikov and Gurami Tsitsiashvili
  • On longevity risk securitization and solvency capital requirements in life annuities
  • Susanna Levantesi, Massimiliano Menzietti and Tiziana Torri
  • Areski Cousin, Diana Dorobantu and Didier Rullière
  • Internal risk control by solvency measures
  • Valeria D'Amato, Emilia Di Lorenzo, Maria Russolillo and Marilena Sibillo
  • Measuring mortality heterogeneity in pension annuities
  • Valeria D'Amato, Gabriella Piscopo and Maria Russolillo
  • Is technical analysis able to beat market inefficiency?
  • Elisa Daniotti
  • Dynamic model of pension savings management with stochastic interest rates and stock returns
  • Igor Melicherčík and Daniel Ševčovič
  • Financial and demographic risks impact on a pay-as-you-go pension fund
  • Roberta Melis and Alessandro Trudda
  • Extracting implied dividends from options prices: Some applications to the Italian derivatives market
  • Martina Nardon and Paolo Pianca
  • Generalization of some linear time series property to nonlinear domain
  • Marcella Niglio and Cosimo Damiano Vitale
  • Evaluating the behavior of a function in kernel based regression
  • Maria Lucia Parrella
  • Modelling the share prices as a hidden random walk on the lamplighter group
  • Optimal trading rules at hourly frequency in the foreign exchange markets
  • Danilo Pelusi and Massimo Tivegna
  • The influence of correlation and loading on M-V efficient retentions in variable quota share proportional reinsurance
  • Flavio Pressacco and Laura Ziani
  • Good and bad banks
  • Luca Regis
  • Tail diversification strategy. An application to MSCI World Sector Indices
  • Giorgia Rivieccio
  • Marginalization and aggregation of exponential smoothing models in forecasting portfolio volatility
  • Giacomo Sbrana and Andrea Silvestrini
  • Xiaojuan Ma and Sergey Utev
  • Generalization of stratified variance reduction methods for Monte Carlo exchange options pricing
  • Giovanni Villani
  • Price discovery in a dynamic structural model
  • Lei Wu and Hans van der Weide
  • Multivariate jump arrivals: The variance gamma case
  • Roberto Marfè
  • Modelling the skewed exponential power distribution in finance
  • J. Miguel Marín and Genaro Sucarrat
  • Composite indicators: A sectorial perspective
  • Marco Marozzi
Control code
780442091
Dimensions
unknown
Extent
1 online resource (xii, 408 pages)
File format
unknown
Form of item
online
Isbn
9788847023420
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-88-470-2342-0
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)780442091

Library Locations

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      1020 Lowry Street, Columbia, MO, 65201, US
      38.944491 -92.326012
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