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.

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

CORAZZA, Marco
;
PIZZI, Claudio
2010

Abstract

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.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10278/3701
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