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Mathematical and Statistical Methods for Actuarial Sciences and Finance

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Cover of 'Mathematical and Statistical Methods for Actuarial Sciences and Finance'

Table of Contents

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    Book Overview
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    Chapter 1 Can Personal Dependency Paths Help to Estimate Life Expectancy Free of Dependency?
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    Chapter 2 Evaluation of Volatility Forecasts in a VaR Framework
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    Chapter 3 Optimal Cut-Off Points for Multiple Causes of Business Failure Models
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    Chapter 4 Maximum Empirical Likelihood Inference for Outliers in Autoregressive Time Series
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    Chapter 5 The Role of Fund Size and Returns to Scale in the Performance of Mutual Funds
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    Chapter 6 A Robustness Analysis of Least-Squares Monte Carlo for R&D Real Options Valuation
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    Chapter 7 The Common Pool Problem of Intergovernmental Interactions and Fiscal Discipline: A Stackelberg Approach
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    Chapter 8 Evaluating Correlations in European Government Bond Spreads
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    Chapter 9 Probability of Default: A Modern Calibration Approach
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    Chapter 10 Development of a LGD Model Basel2 Compliant: A Case Study
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    Chapter 11 Modelling the Latent Components of Personal Happiness
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    Chapter 12 Measuring the Impact of Behavioural Choices on the Market Prices
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    Chapter 13 A Note on Natural Risk Statistics, OWA Operators and Generalized Gini Functions
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    Chapter 14 The Estimation of Standard Deviation of Premium Risk Under Solvency 2
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    Chapter 15 The Solvency Capital Requirement Management for an Insurance Company
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    Chapter 16 Direct Multi-Step Estimation and Time Series Classification
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    Chapter 17 Alternative Assessments of the Longevity Trends
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    Chapter 18 Combinatorial Nonlinear Goal Programming for ESG Portfolio Optimization and Dynamic Hedge Management
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    Chapter 19 On the Geometric Brownian Motion with Alternating Trend
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    Chapter 20 Empirical Evidences on Predictive Accuracy of Survival Models
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    Chapter 21 RedES™, a Risk Measure in a Pareto-Lévy Stable Framework with Clustering
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    Chapter 22 Run-Off Error in the Outstanding Claims Reserves Evaluation
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    Chapter 23 Trajectory Based Market Models. Arbitrage and Pricing Intervals
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    Chapter 24 A Statistical Test for the Heston Model
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    Chapter 25 Threshold Random Walk Structures in Finance
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    Chapter 26 Stochastic Mortality Models. Application to CR Mortality Data
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    Chapter 27 Risk Adjusted Dynamic Hedging Strategies
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    Chapter 28 Pricing and Hedging Variable Annuities
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    Chapter 29 Monetary Risk Functionals on Orlicz Spaces Produced by Set-Valued Risk Maps and Random Measures
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    Chapter 30 A Probability Inequality Related to Mardia’s Kurtosis
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    Chapter 31 Integrating Industrial and Financial Analysis into a Rating Methodology for Corporate Risk Detection: The Case of the Vicenza Manufacturing Firms
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    Chapter 32 Risk Measurement Using the Mixed Tempered Stable Distribution
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    Chapter 33 Corporate Finance… What Else? The Case of the Productive Chain Networks in North-East Italy and the Scaffolding Finance Adopted by Their Leader
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    Chapter 34 BEKK Element-by-Element Estimation of a Volatility Matrix. A Portfolio Simulation
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    Chapter 35 The Effects of Curvature and Elevation of the Probability Weighting Function on Options Prices
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    Chapter 36 A Multivariate Approach to Project the Long Run Relationship Between Mortality Indices for Canadian Provinces
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    Chapter 37 Measuring and Managing the Longevity Risk: An Empirical Evidence From the Italian Pension Market
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    Chapter 38 Pricing and Hedging Basket Options Under Shifted Asymmetric Jump-Diffusion Processes
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    Chapter 39 On a Data Mining Framework for the Identification of Frequent Pattern Trends
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    Chapter 40 Risk Processes with Normal Inverse Gaussian Claims and Premiums
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    Chapter 41 A Portfolio Model for the Risk Management in Public Pension
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    Chapter 42 Black Scholes Option Sensitivity Using High Order Greeks
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Title
Mathematical and Statistical Methods for Actuarial Sciences and Finance
Published by
Springer International Publishing, July 2014
DOI 10.1007/978-3-319-05014-0
ISBNs
978-3-31-905013-3, 978-3-31-905014-0
Editors

Perna, Cira, Sibillo, Marilena

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X Demographics

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Mendeley readers

Mendeley readers

The data shown below were compiled from readership statistics for 5 Mendeley readers of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
Unknown 5 100%

Demographic breakdown

Readers by professional status Count As %
Professor 1 20%
Student > Ph. D. Student 1 20%
Researcher 1 20%
Lecturer 1 20%
Unknown 1 20%
Readers by discipline Count As %
Economics, Econometrics and Finance 2 40%
Computer Science 1 20%
Business, Management and Accounting 1 20%
Unknown 1 20%