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Mathematical and Statistical Methods in Insurance and Finance

Contributor(s): Perna, Cira [editor.] | Sibillo, Marilena [editor.] | SpringerLink (Online service).
Material type: materialTypeLabelBookPublisher: Milano : Springer Milan, 2008.Description: XIV, 208 p. online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9788847007048.Subject(s): Mathematical statistics | Applied mathematics | Engineering mathematics | Economics, Mathematical | Statistics | Econometrics | Macroeconomics | Economics | Econometrics | Macroeconomics/Monetary Economics//Financial Economics | Applications of Mathematics | Statistics for Business/Economics/Mathematical Finance/Insurance | Quantitative Finance | Probability and Statistics in Computer ScienceDDC classification: 330.015195 Online resources: Click here to access online
Contents:
Least Squares Predictors for Threshold Models: Properties and Forecast Evaluation -- Estimating Portfolio Conditional Returns Distribution Through Style Analysis Models -- A Full Monte Carlo Approach to the Valuation of the Surrender Option Embedded in Life Insurance Contracts -- Spatial Aggregation in Scenario Tree Reduction -- Scaling Laws in Stock Markets. An Analysis of Prices and Volumes -- Bounds for Concave Distortion Risk Measures for Sums of Risks -- Characterization of Convex Premium Principles -- FFT, Extreme Value Theory and Simulation to Model Non-Life Insurance Claims Dependences -- Dynamics of Financial Time Series in an Inhomogeneous Aggregation Framework -- A Liability Adequacy Test for Mathematical Provision -- Iterated Function Systems, Iterated Multifunction Systems, and Applications -- Remarks on Insured Loan Valuations -- Exploring the Copula Approach for the Analysis of Financial Durations -- Analysis of Economic Fluctuations: A Contribution from Chaos Theory -- Generalized Influence Functions and Robustness Analysis -- Neural Networks for Bandwidth Selection in Non-Parametric Derivative Estimation -- Comparing Mortality Trends via Lee-Carter Method in the Framework of Multidimensional Data Analysis -- Decision Making in Financial Markets Through Multivariate Ordering Procedure -- A Biometric Risks Analysis in Long Term Care Insurance -- Clustering Financial Data for Mutual Fund Management -- Modeling Ultra-High-Frequency Data: The S&P 500 Index Future -- Simulating a Generalized Gaussian Noise with Shape Parameter 1/2 -- Further Remarks on Risk Profiles for Life Insurance Participating Policies -- Classifying Italian Pension Funds via GARCH Distance -- The Analysis of Extreme Events — Some Forecasting Approaches.
In: Springer eBooksSummary: 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 here published 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, all treated in light of the successful cooperation between the two quantitative methods.
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E books E books PK Kelkar Library, IIT Kanpur
Available EBK7350
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Least Squares Predictors for Threshold Models: Properties and Forecast Evaluation -- Estimating Portfolio Conditional Returns Distribution Through Style Analysis Models -- A Full Monte Carlo Approach to the Valuation of the Surrender Option Embedded in Life Insurance Contracts -- Spatial Aggregation in Scenario Tree Reduction -- Scaling Laws in Stock Markets. An Analysis of Prices and Volumes -- Bounds for Concave Distortion Risk Measures for Sums of Risks -- Characterization of Convex Premium Principles -- FFT, Extreme Value Theory and Simulation to Model Non-Life Insurance Claims Dependences -- Dynamics of Financial Time Series in an Inhomogeneous Aggregation Framework -- A Liability Adequacy Test for Mathematical Provision -- Iterated Function Systems, Iterated Multifunction Systems, and Applications -- Remarks on Insured Loan Valuations -- Exploring the Copula Approach for the Analysis of Financial Durations -- Analysis of Economic Fluctuations: A Contribution from Chaos Theory -- Generalized Influence Functions and Robustness Analysis -- Neural Networks for Bandwidth Selection in Non-Parametric Derivative Estimation -- Comparing Mortality Trends via Lee-Carter Method in the Framework of Multidimensional Data Analysis -- Decision Making in Financial Markets Through Multivariate Ordering Procedure -- A Biometric Risks Analysis in Long Term Care Insurance -- Clustering Financial Data for Mutual Fund Management -- Modeling Ultra-High-Frequency Data: The S&P 500 Index Future -- Simulating a Generalized Gaussian Noise with Shape Parameter 1/2 -- Further Remarks on Risk Profiles for Life Insurance Participating Policies -- Classifying Italian Pension Funds via GARCH Distance -- The Analysis of Extreme Events — Some Forecasting Approaches.

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 here published 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, all treated in light of the successful cooperation between the two quantitative methods.

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