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Mathematical and Statistical Methods for Insurance and Finance

:	Cira Perna, Marilena Sibillo
:	Cira Perna, Marilena Sibillo
:	Mathematical and Statistical Methods for Insurance and Finance
:	Springer-Verlag
:	9788847007048
:	1
:	CHF 48.60
:

:	Allgemeines, Lexika
:	English

:	208
:	Wasserzeichen
:	PC/MAC/eReader/Tablet
:	PDF

The interaction between mathematicians and statisticians reveals to be an effective approach to the analysis of insurance and financial problems, in particular in an operative perspective.

The Maf2006 conference, held at the University of Salerno in 2006, had precisely this purpose and the collection published here gathers some of the papers presented at the conference and successively worked out to this aim. They cover a wide variety of subjects in insurance and financial fields.

Cira Perna has received the Degree in Mathematics from the University of Naples in 1983 and the M. Phil. in Statistics from the CSREAM, University of Naples, in 1985. She had Faculty positions, as Associate Professor, at the University of Calabria (1992-1994) and at the University of Salerno (1994-1999). She has been Professor of Statistics at the University of Salerno since 2000. She has published over 50 technical papers in journals and books. Her current research focuses on non linear time series analysis, artificial neural network models, resampling techniques. She is a member of the Italian Statistical Society and of the IASC. She is also in the board of the ANSET (Italian Time Series Analysis Research Group).

Marilena Sibillo: After graduating in Quantitative Economics at the University of Naples Federico II, she worked at the University of Naples Federico II as a Researcher and taught at the Universities of Sassari and Salerno as Associate Professor. Since 2004 she is Professor in Financial Mathematics. She is author of several papers, mostly in Actuarial Mathematics, published in international specialized journal. At present her research is focused on the risk analysis in actuarial portfolio valuations.

	Preface	5
	Contents	7
	List of Contributors	10
	Least Squares Predictors for Threshold Models: Properties and Forecast Evaluation	14
	1 Introduction	14
	2 The SETARMA Predictors	15
	3 Empirical Results and Analysis	21
	References	22
	Estimating Portfolio Conditional Returns Distribution Through Style Analysis Models*	23
	1 Introduction	23
	2 Style Analysis	24
	3 Concluding Remarks	28
	References	29
	A Full Monte Carlo Approach to the Valuation of the Surrender Option Embedded in Life Insurance Contracts*	30
	1 Introduction	30
	2 Notation and Assumptions	31
	3 The Valuation Approach	32
	4 Tests of Accuracy	34
	5 Summary and Conclusions	37
	References	37
	Spatial Aggregation in Scenario Tree Reduction	38
	1 Introduction	38
	2 Scenario Tree Reduction Using Aggregation Methods	39
	3 A Spatial Aggregation Method for Scenario Tree Reduction	40
	4 Concluding Remarks	45
	References	45
	Scaling Laws in Stock Markets. An Analysis of Prices and Volumes	46
	1 Introduction	46
	2 Self Similarity and Scaling	47
	3 Empirical Application	49
	4 Conclusion and Further Developments	51
	References	52
	Bounds for Concave Distortion Risk Measures for Sums of Risks*	54
	1 Introduction	54
	2 The Class of Distortion Risk Measures	56
	3 The Class of Concave Distortion Risk Measures	58
	4 Optimal Gap Between Bounds of Risk Measures	59
	5 Concluding Remarks	61
	References	61
	Characterization of Convex Premium Principles	63
	1 Introduction	63
	2 Insurance Premium Principles	64
	3 Choquet Pricing of Insurance Risks	66
	4 Distortion Risk Measures	67
	5 Representation of a Class of Premium Functionals	68
	References	69
	FFT, Extreme Value Theory and Simulation to Model Non- Life Insurance Claims Dependences	71
	1 Introduction	71
	2 An Example of EVT, FFT and Simulation Application	72
	3 Conclusions	75
	References	75
	Dynamics of Financial Time Series in an Inhomogeneous Aggregation Framework	76
	1 Introduction	76
	2 Market Price Dynamics	77
	3 Conclusions	81
	References	82
	A Liability Adequacy Test for Mathematical Provision*	84
	1 Liability Adequacy Test and Contingency Reserve	84
	2 A Solvency Perspective via the Quantile Reserve	86
	3 A Simulative Application	87
	References	89
	Iterated Function Systems, IteratedMultifunction Systems, and Applications*	91
	1 Introduction	91
	2 Iterated Function Systems (IFS)	92
	3 Iterated Multifunction Systems	94
	4 Applications	95
	References	97
	Remarks on Insured Loan Valuations	99
	1 Introduction	99
	2 The Insured Loan Portfolio: Cash Flow Structure and Reserve Fair Value	100
	3 The Application to a Case of Equivalent Products	102
	4 Conclusions	105
	References	105
	Exploring the Copula Approach for the Analysis of Financial Durations	107
	1 Introduction	107
	2 ACDModels	107
	3 Copula Functions	109
	4 DataAnalysis	110
	5 Concluding Remarks	114
	References	114
	Analysis of Economic Fluctuations: A Contribution from Chaos Theory*	115
	1 Introduction	115
	2 Non-linear Deterministic Systems. Is Economy a Chaotic System?	116
	3 Conclusion	119
	References	119
	Generalized Influence Functions and Robustness Analysis	121
	1 Introduction	121
	2 Prohorov Distance and Qualitative Robustness	122
	3 Influence Function and B-robustness	122
	4 Generalized Derivatives for Scalar and Vector Functions	125
	5 Generalized Influence Functions and Generalized B-robustness	126
	References	128
	Neural Networks for Bandwidth Selection in Non- Parametric Derivative Estimation	129
	1 Introduction	129
	2 Local Polynomials for Non-parametric Derivative Estimation	130
	3 The Selection of the Smoothing Parameter	131
	4 An Experiment on Simulated Data	132
	References	136
	ComparingMortality Trends via Lee-CarterMethod in the Framework of Multidimensional Data Analysis	138
	1 Introduction and Basic Notations	138
	2