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Mathematical and Statistical Methods in Insurance and Finance
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出版社 Springer Milan
DOI 10.1007/978-88-470-0704-8
版权 2008
ISBN 978-88-470-0703-1 (Print) 978-88-470-0704-8 (Online)
学科分类 商业和经济
学科 Economics/Management Science, Econometrics, Statistics for Business/Economics/Mathematical Finance/Insurance, Quantitative Finance, Probability and Statistics in Computer Science, Algorithm Analysis and Problem Complexity and Financial Economics

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关键词：Mathematical Statistical mathematica Mathematic statistica Finance Methods Statistical Insurance Mathematical

Contents
LeastSquaresPredictorsforThresholdModels:PropertiesandForecast
Evaluation
AlessandraAmendola,MarcellaNiglioandCosimoVitale................. 1
EstimatingPortfolioConditionalReturnsDistributionThroughStyle
AnalysisModels
LauraAttardiandDomenicoVistocco ................................. 11
AFullMonteCarloApproachtotheValuationoftheSurrenderOption
EmbeddedinLifeInsuranceContracts
AnnaRitaBacinello ............................................... 19
SpatialAggregationinScenarioTreeReduction
DianaBarro,ElioCanestrelliandPierangeloCiurlia .................... 27
ScalingLawsinStockMarkets.AnAnalysisofPricesandVolumes
SergioBianchiandAugustoPianese .................................. 35
BoundsforConcaveDistortionRiskMeasuresforSumsofRisks
AntonellaCampanaandPaolaFerretti ................................ 43
CharacterizationofConvexPremiumPrinciples
MartaCardinandGraziellaPacelli................................... 53
FFT,ExtremeValueTheoryandSimulationtoModelNon-Life
InsuranceClaimsDependences
RoccoRobertoCerchiara ........................................... 61
DynamicsofFinancialTimeSeriesinanInhomogeneousAggregation
Framework
RoyCerquetiandGiuliaRotundo .................................... 67

VIIIContents
ALiabilityAdequacyTestforMathematicalProvision
RosaCocozza,EmiliaDiLorenzo,AbinaOrlandoandMarilenaSibillo...... 75
IteratedFunctionSystems,IteratedMultifunctionSystems,and
Applications
CinziaColapintoandDavideLaTorre ................................ 83
RemarksonInsuredLoanValuations
MariarosariaCoppola,ValeriaDAmatoandMarilenaSibill ............. 91
ExploringtheCopulaApproachfortheAnalysisofFinancialDurations
GiovanniDeLuca,GiorgiaRivieccioandPaolaZuccolotto................ 99
AnalysisofEconomicFluctuations:AContributionfromChaosTheory
MarisaFaggini ................................................... 107
GeneralizedIn?uenceFunctionsandRobustnessAnalysis
MatteoFiniandDavideLaTorre..................................... 113
NeuralNetworksforBandwidthSelectioninNon-ParametricDerivative
Estimation
FrancescoGiordanoandMariaLuciaParrella.......................... 121
ComparingMortalityTrendsviaLee-CarterMethodintheFramework
ofMultidimensionalDataAnalysis
GiuseppeGiordano,MariaRussolilloandStevenHaberman .............. 131
DecisionMakinginFinancialMarketsThroughMultivariateOrdering
Procedure
LucaGrilliandMassimoAlfonsoRusso ............................... 139
ABiometricRisksAnalysisinLongTermCareInsurance
SusannaLevantesiandMassimilianoMenzietti.......................... 149
ClusteringFinancialDataforMutualFundManagement
FrancescoLisiandMarcoCorazza ................................... 157
ModelingUltra-High-FrequencyData:TheS&P500IndexFuture
MarcoMinozzoandSilviaCentanni .................................. 165
SimulatingaGeneralizedGaussianNoisewithShapeParameter1/2
MartinaNardonandPaoloPianca ................................... 173
FurtherRemarksonRiskPro?lesforLifeInsuranceParticipating
Policies
AlbinaOrlandoandMassimilianoPolitano............................. 181
ClassifyingItalianPensionFundsviaGARCHDistance
EdoardoOtrantoandAlessandroTrudda .............................. 189

ContentsIX
TheAnalysisofExtremeEventsCSomeForecastingApproache
MassimoSalzano ................................................. 199
SubjectIndex ......................................................207
AuthorIndex ......................................................209