Mathematical and Statistical Methods for Actuarial Sciences and Finance

<p>On the estimation in continuous limit of GARCH processes<br>Giuseppina Albano, Francesco Giordano, and Cira Perna</p><p>Variable selection in forecasting models for default risk<br>Alessandra Amendola, Marialuisa Restaino, and Luca Sensini</p><p>Capital structure with firm’s net cash payouts<br>Flavia Barsotti, Maria Elvira Mancino, and Monique Pontier</p><p>Convex ordering of Esscher and minimal entropy martingale measures for discrete time models<br>Fabio Bellini and Carlo Sgarra</p><p>On hyperbolic iterated distortions for the adjustment of survival functions <br>Alexis Bienven¨ue and Didier Rulli`ere</p><p>Beyond Basel2: Modeling loss given default through survival analysis<br>Stefano Bonini and Giuliana Caivano</p><p>Initial premium, aggregate claims and distortion risk measures in XL reinsurance with <br>Antonella Campana and Paola Ferretti</p><p>Population dynamics in a spatial Solow model with a convex-concave production function <br>Vincenzo Capasso, Ralf Engbers, and Davide La Torre</p><p>Population dynamics in a patch growth model with S-shaped production functions and migration effects <br>Vincenzo Capasso, Herb E. Kunze, and Davide La Torre</p><p>An ordinal approach to risk measurement<br>Marta Cardin and Miguel Couceiro</p><p>Piecewise linear dynamic systems for own risk solvency assessment<br>Rocco Roberto Cerchiara and Fabio Lamantia</p><p>Valuation of the conditional indexation option in asset and liability management of defined benefit pension funds <br>Rosa Cocozza, Angela Gallo, and Giuseppe Xella</p><p>Conditional performance attribution for equity portfolio <br>Claudio Conversano and Alessio Lizzeri</p><p>Capital requirements for aggregate risks in long term living products: A stochastic approach<br>Mariarosaria Coppola, Albina Orlando,and Massimiliano Politano</p><p>Portfolio selection with an alternative measure of risk: Computational performances of particle swarm optimization and genetic algorithms <br>Marco Corazza, Giovanni Fasano, and Riccardo Gusso</p><p>Interdependence and contagion in international stock markets: A latent Markov model approach<br>Michele Costa, Luca De Angelis, and Leonard J. Paas</p><p>Valuation of portfolio loss derivatives in an infectious model <br>Areski Cousin, Diana Dorobantu, and Didier Rulli`ere</p><p>Internal risk control by solvency measures <br>Valeria D’Amato, Emilia Di Lorenzo, Maria Russolillo, and Marilena Sibillo</p><p>Measuring mortality heterogeneity in pension annuities <br>Valeria D’Amato, Gabriella Piscopo, and Maria Russolillo</p><p>Is techincal analysis able to beat market inefficiency? <br>Elisa Daniotti</p><p>On the damped geometric telegrapher’s process<br>Antonio Di Crescenzo, Barbara Martinucci, and Shelemyahu Zacks</p><p>Risk measures and Pareto style tails<br>Anna Maria Fiori, Emanuela Rosazza Gianin, and Anna Spasova</p><p>Credit risk and incomplete information: A filtering framework for pricing and risk management <br>Claudio Fontana</p><p>Claims reserving uncertainty in the development of internal risk models <br>Salvatore Forte, Matteo Ialenti, and Marco Pirra</p><p>Some inequalities between measures of multivariate kurtosis, with application to financial returns <br>Cinzia Franceschini and Nicola Loperfido</p><p>The generalized trapezoidal model in financial data analysis <br>Manuel Franco, Johan Ren´e van Dorp, and Juana-Mar´ıa Vivo</p><p>Nonparametric estimation of volatility functions: Some experimental evidences <br>Francesco Giordano, Michele La Rocca, and Cira Perna</p><p>Investigating and modelling the perception of economic security in the survey of household income and wealth <br>Maria Iannario and Domenico Piccolo</p><p>On ruin probabilities in risk models with interest rate <br>Nino Kordzakhia, Alexander Novikov, and Gurami Tsitsiashvili</p><p>On longevity risk securitization and solvency capital requirements in life annuities <br>Susanna Levantesi, Massimiliano Menzietti, and Tiziana Torri</p><p>Modelling the share prices as a hidden random walk on the lamplighter group <br>Xiaojuan Ma and Sergey Utev</p><p>Multivariate jump arrivals: The variance gamma case <br>Roberto Marfè</p><p>Modelling the skewed exponential power distribution in finance <br>J. Miguel Marín and Genaro Sucarrat</p><p>Composite indicators: A sectorial perspective<br>Marco Marozzi</p><p>Dynamic model of pension savings management with stochastic interest rates and stock returns<br>Igor Melicherčík and Daniel Ševčovič</p><p>Financial and demographic risks impact on a pay-as-you-go pension fund <br>Roberta Melis and Alessandro Trudda</p><p>Extracting implied dividends from options prices: Some applications to the Italian derivatives market <br>Martina Nardon and Paolo Pianca</p><p>Generalization of some linear time series property to nonlinear domain <br>Marcella Niglio and Cosimo Damiano Vitale</p><p>Evaluating the behavior of a function in kernel based regression<br>Maria Lucia Parrella</p><p>Optimal trading rules at hourly frequency in the foreign Exchange markets<br>Danilo Pelusi and Massimo Tivegna</p><p>The influence of correlation and loading on M-V efficient retentions in variable quota share proportional reinsurance <br>Flavio Pressacco and Laura Ziani</p><p>Good and bad banks <br>Luca Regis</p><p>Tail diversification strategy. An application to MSCI World Sector Indices <br>Giorgia Rivieccio</p><p>Marginalization and aggregation of exponential smoothing models in forecasting portfolio volatility <br>Giacomo Sbrana and Andrea Silvestrini</p><p>Generalization of stratified variance reduction methods for monte carlo exchange options pricing <br>Giovanni Villani</p><p>Price discovery in a dynamic structural model <br>Lei Wu and Hans van der Weide</p>