Mathematical and Statistical Methods for Actuarial Sciences and Finance - MAF 2008

The proceedings contain 31 papers. The topics discussed include: impact of interest rate risk on the Spanish banking sector; tracking error with minimum guarantee constraints; energy markets: crucial relationship between prices; tempered stable distributions and processes in finance: numerical analysis; transformation kernel estimation of insurance claim cost distributions; what do distortion risk measures tell us on excess of loss reinsurance with reinstatements?; some classes of multivariate risk measures; assessing risk perception by means of ordinal models; a financial analysis of surplus dynamics for deferred life schemes; empirical likelihood based nonparametric testing for CAPM; lee-carter error matrix simulation: heteroschedasticity impact on actuarial valuations; estimating the volatility term structure; exact and approximated option pricing in a stochastic volatility jump-diffusion model; and a skewed GARCH-type model for multivariate financial time series.

This volume collects a selection of refereed papers of the more than one hundred presented at the International Conference MAF 2008 – Mathematical and Statistical Methods for Actuarial Sciences and Finance. This conference was the first international edition of a biennial national series begun in 2004, which was born of the belief of the colleagues of the University of Salerno: the idea following which the cooperation between mathematicians and statisticians in working in actuarial sciences, in insurance and in finance can improve research on these topics.