Mathematical and Statistical Methods for Actuarial Sciences and Finance

Table of Contents

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   Book Overview
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   Chapter 1 Impact of interest rate risk on the Spanish banking sector
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   Chapter 2 Tracking error with minimum guarantee constraints
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   Chapter 3 Energy markets: crucial relationship between prices
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   Chapter 4 Tempered stable distributions and processes in finance: numerical analysis
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   Chapter 5 Transformation kernel estimation of insurance claim cost distributions
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   Chapter 6 What do distortion risk measures tell us on excess of loss reinsurance with reinstatements?
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   Chapter 7 Some classes of multivariate risk measures
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   Chapter 8 Assessing risk perception by means of ordinal models
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    Chapter 9 A financial analysis of surplus dynamics for deferred life schemes
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    Chapter 10 Checking financial markets via Benford’s law: the S&P 500 case
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    Chapter 11 Empirical likelihood based nonparametric testing for CAPM
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    Chapter 12 Lee-Carter error matrix simulation: heteroschedasticity impact on actuarial valuations
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    Chapter 13 Estimating the volatility term structure
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    Chapter 14 Exact and approximated option pricing in a stochastic volatility jump-diffusion model
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    Chapter 15 A skewed GARCH-type model for multivariate financial time series
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    Chapter 16 Financial time series and neural networks in a minority game context
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    Chapter 17 Robust estimation of style analysis coefficients
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    Chapter 18 Managing demographic risk in enhanced pensions
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    Chapter 19 Clustering mutual funds by return and risk levels
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    Chapter 20 Multivariate Variance Gamma and Gaussian Dependence: a study with copulas
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    Chapter 21 A simple dimension reduction procedure for corporate finance composite indicators
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    Chapter 22 The relation between implied and realised volatility in the DAX index options market
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    Chapter 23 Binomial algorithms for the evaluation of options on stocks with fixed per share dividends
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    Chapter 24 Nonparametric prediction in time series analysis: some empirical results
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    Chapter 25 On efficient optimisation of the CVaR and related LP computable risk measures for portfolio selection
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    Chapter 26 A pattern recognition algorithm for optimal profits in currency trading
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    Chapter 27 Nonlinear cointegration in financial time series
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    Chapter 28 Optimal dynamic asset allocation in a non—Gaussian world
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    Chapter 29 Fair costs of guaranteed minimum death benefit contracts
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    Chapter 30 Solvency evaluation of the guaranty fund at a large financial cooperative
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    Chapter 31 A Monte Carlo approach to value exchange options using a single stochastic factor