Mathematical and Statistical Methods for Actuarial Sciences and Finance

Autor: Marco Corazza, Claudio Pizzi

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Editura: Springer International Publishing AG

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The interaction between mathematicians and statisticians has been shown to be an e ective approach f...

Informații despre carte

Autor

Marco Corazza, Claudio Pizzi

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

2016

Pagini

313

EAN

9783319378985

ISBN

3319378988

Enbook ID

13938015

Editura

Springer International Publishing AG

Greutate

498

Dimensiuni

155 x 235 x 15

Descriere completă

The interaction between mathematicians and statisticians has been shown to be an e ective approach for dealing with actuarial, insurance and nancial 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 nance elds, 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 nance; clustering techniques; coherent and non-coherent risk measures; credit scoring approaches; data envelopment analysis; dynamic stochastic programming; nancial contagion models; nancial ratios; intelligent nancial 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; de ned bene t pension plans; double-indexed pension annuities; ef cient-market hypothesis; exchange markets; nancial time series; rms; 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 researchers. But it will also be of interest to readers with some quantitative background knowledge.

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Mathematical and Statistical Methods for Actuarial Sciences and Finance

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