By Marco Corazza, Claudio Pizzi (eds.)
ISBN-10: 3319024981
ISBN-13: 9783319024981
ISBN-10: 331902499X
ISBN-13: 9783319024998
The interplay among mathematicians and statisticians has been proven to be an effective process for facing actuarial, assurance and financial difficulties, either from a tutorial viewpoint and from an operative one. the gathering of unique papers provided during this quantity pursues accurately this function. It covers a wide selection of topics in actuarial, coverage and finance fields, all taken care of within the mild of the winning cooperation among the above quantitative methods.
The papers released during this quantity current theoretical and methodological contributions and their purposes to genuine contexts. With admire to the theoretical and methodological contributions, many of the thought of parts of research are: actuarial types; replacement trying out ways; behavioral finance; clustering strategies; coherent and non-coherent danger measures; credits scoring ways; information envelopment research; dynamic stochastic programming; financial contagion versions; financial ratios; clever financial buying and selling structures; combination normality techniques; Monte Carlo-based equipment; multicriteria tools; nonlinear parameter estimation innovations; nonlinear threshold versions; particle swarm optimization; functionality measures; portfolio optimization; pricing tools for established and non-structured derivatives; danger administration; skewed distribution research; solvency research; stochastic actuarial valuation tools; variable choice types; time sequence research instruments. As regards the purposes, they're concerning genuine difficulties linked, one of the others, to: banks; collateralized fund responsibilities; credits portfolios; defined benefit pension plans; double-indexed pension annuities; efficient-market speculation; trade markets; financial time sequence; firms; hedge cash; non-life insurance firms; returns distributions; socially dependable mutual money; unit-linked contracts.
This booklet is aimed toward lecturers, Ph.D. scholars, practitioners, execs and researchers. however it can be of curiosity to readers with a few quantitative historical past knowledge.
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Extra resources for Mathematical and Statistical Methods for Actuarial Sciences and Finance
Sample text
Risk measurement is strictly connected with the definition of a term of comparison with respect to which we can contrast and compare the risk/return profile of our portfolio. Moreover, it is common practice to monitor the performance of a portfolio, or a fund manager, with reference to an explicitly declared, or implicitly assumed, benchmark. This allows for a more objective assessment of the risk profile and the performance evaluation of the investment, linking it with current market conditions. The tracking error and tracking error volatility are widely used measures of how closely the investments behave with respect to the reference portfolio.
E. for the bankruptcy and the inactivity states. Therefore, the lasso seems to be a good alternative to the stepwise not only in terms of number of variables selected, but also in terms of accuracy, producing a relatively higher performance in predicting the firms’ distress. 4 Conclusions The literature on firms’ distress has mainly investigated the exit from the market as a bivariate event analyzing each form of exit in unified framework. Moreover, most of the studies have not paid much attention to how selecting the variables that influence the exit from the market.
Quant. Financ. P. (9), 1077–1090 (2010) 5. : The pricing of options and corporate liabilities. J. Polit. Econ. 81(3), 637–654 (1973) 6. : Equilibrium prices of guarantees under equity-linked contracts. J. Risk Insur. 44(4), 639–660 (1977) 7. : The pricing of equity-linked life insurance policies with an asset value guarantee. J. Financ. Econ. 3(3), 195–213 (1976) 8. : Dynamic asset pricing theory, 3rd edn. Princeton University Press, Princeton (2001) 9. : A variational inequality approach to financial valuation of retirement benefits based on salary.