rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Mathematical and Statistical Methods for Actuarial Sciences and Finance
  name:
    name part: Corazza, Marco.
    role:
      role term: editor.
  name:
    name part: Pizzi, Claudio.
    role:
      role term: editor.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2014
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: IX, 313 p. online resource.
  abstract: The interaction between mathematicians and statisticians has been shown to be an eﬀective approach for dealing with actuarial, insurance and ﬁnancial problems, both from an academic perspective and from an operative one. The collection of original papers presented in this volume pursues precisely this purpose. It covers a wide variety of subjects in actuarial, insurance and ﬁnance ﬁelds, all treated in the light of the successful cooperation between the above two quantitative approaches. The papers published in this volume present theoretical and methodological contributions and their applications to real contexts. With respect to the theoretical and methodological contributions, some of the considered areas of investigation are: actuarial models; alternative testing approaches; behavioral ﬁnance; clustering techniques; coherent and non-coherent risk measures; credit scoring approaches; data envelopment analysis; dynamic stochastic programming; ﬁnancial contagion models; ﬁnancial ratios; intelligent ﬁnancial trading systems; mixture normality approaches; Monte Carlo-based methods; multicriteria methods; nonlinear parameter estimation techniques; nonlinear threshold models; particle swarm optimization; performance measures; portfolio optimization; pricing methods for structured and non-structured derivatives; risk management; skewed distribution analysis; solvency analysis; stochastic actuarial valuation methods; variable selection models; time series analysis tools. As regards the applications, they are related to real problems associated, among the others, to: banks; collateralized fund obligations; credit portfolios; deﬁned beneﬁt pension plans; double-indexed pension annuities; efﬁcient-market hypothesis; exchange markets; ﬁnancial time series; ﬁrms; hedge funds; non-life insurance companies; returns distributions; socially responsible mutual funds; unit-linked contracts. This book is aimed at academics, Ph.D. students, practitioners, professionals and researcher…
  table of contents: Weak form efficiency of selected European stock markets: alternative testing approaches (G. Albano, M. La Rocca, C. Perna) -- An empirical comparison of variable selection methods in competing risks model (A. Amendola, M. Restaino, L. Sensini) -- A comparison between different numerical schemes for the valuation of unit-linked contracts embedding a surrender option (A.R. Bacinello, P. Millossovich, A. Montealegre) -- Dynamic tracking error with shortfall control using stochastic programming (D. Barro, E. Canestrelli) -- Firm’s volatility risk under microstructure noise (F. Barsotti, S. Sanfelici) -- Socially responsible mutual funds: an efficiency comparison among the European countries (A. Basso, S. Funari) -- Fitting financial returns distributions: a mixture normality approach (R. Bramante, D. Zappa) -- Single-name concentration risk measurements in credit portfolios (R. Calabrese, F. Porro) -- Bifactorial pricing models: light and shadows in correlation role (R. Cocozza, A. De Simone) -- Dynamic strategies for Defined Benefit pension plans risk management (I. Colivicchi, G. Piscopo, E. Vannucci) -- Particle Swarm Optimization for preference disaggregation in multicriteria credit scoring problems (M. Corazza, S. Funari, R. Gusso) -- Time series clustering on lower tail dependence for portfolio selection (G. De Luca, P. Zuccolotto) -- Solvency Analysis of Defined Benefit pension schemes (P. Devolder, G. Piscopo) -- Stochastic actuarial valuations in double-indexed pension annuity assessment (E. Di Lorenzo, A. Orlando, M. Sibillo) -- Testing for Normality when the sampled distribution is Extended Skew-Normal (C. Franceschini, N. Loperfido) -- On the RODEO method for variable selection (F. Giordano, M.L. Parrella) -- Portfolio allocation using Omega function: an empirical analysis (A. Hitaj, F. Martinelli, G. Zambruno) -- Investment rankings via an objective measure of riskiness: a case study (M.E. Marina, M. Resta) -- A squared rank assessment of the difference bet…
  note: edited by Marco Corazza, Claudio Pizzi.
  subject:
    topic: Mathematics
  subject:
    topic: Finance
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Actuarial science
  subject:
    topic: Statistics
  subject:
    topic: Macroeconomics
  subject:
    topic: Mathematics
  subject:
    topic: Quantitative Finance
  subject:
    topic: Actuarial Sciences
  subject:
    topic: Statistics for Business/Economics/Mathematical Finance/Insurance
  subject:
    topic: Finance, general
  subject:
    topic: Macroeconomics/Monetary Economics//Financial Economics
  classification: HB135-147
  classification: 519
  related item:
    title info:
      title: Springer eBooks
  identifier: 9783319024998
  identifier: http://dx.doi.org/10.1007/978-3-319-02499-8
  record info:
    record creation date: 140806
    record change date: 20151204180812.0
    record identifier: 978-3-319-02499-8