Mathematical and Statistical Methods for Actuarial Sciences and Finance(2008)

Marco Corazza (Editor) Claudio Pizzi (Editor)

Impact of interest rate risk on the Spanish banking sector

LauraBallester,Roma ́nFerrer,andCristo ́balGonza ́lez...................        1 Tracking error with minimum guarantee constraints

DianaBarroandElioCanestrelli..................................... 13 Energy markets: crucial relationship between prices

Cristina Bencivenga, Giulia Sargenti, and Rita L. D’Ecclesia        . . . . . . . . . . . . . .        23

Tempered stable distributions and processes in finance: numerical analysis Michele Leonardo Bianchi, Svetlozar T. Rachev, Young Shin Kim, andFrankJ.Fabozzi............................................... 33

Transformation kernel estimation of insurance claim cost distributions

Catalina Bolance ́, Montserrat Guille ́n, and Jens Perch Nielsen . . . . . . . . . . . . .        43

What do distortion risk measures tell us on excess of loss reinsurance with reinstatements? AntonellaCampanaandPaolaFerretti ................................ 53

Some classes of multivariate risk measures

MartaCardinandElisaPagani ......................................        63 Assessing risk perception by means of ordinal models

PaolaCerchiello,MariaIannario,andDomenicoPiccolo .................        75 A financial analysis of surplus dynamics for deferred life schemes

Rosa Cocozza, Emilia Di Lorenzo, Albina Orlando, and Marilena Sibillo . . . . .        85

Checking financial markets via Benford’s law: the S&P 500 case

MarcoCorazza,AndreaElleroandAlbertoZorzi ........................        93

Empirical likelihood based nonparametric testing for CAPMPietroCorettoandMariaLuciaParrella............................... 103Lee-Carter error matrix simulation: heteroschedasticity impact on actuarial valuations ValeriaD’AmatoandMariaRussolillo ................................ 113Estimating the volatility term structureAntonioD ́ıaz,FranciscoJaren ̃o,andEliseoNavarro ..................... 123Exact and approximated option pricing in a stochastic volatility jump-diffusion model Fernanda D’Ippoliti, Enrico Moretto, Sara Pasquali, and Barbara Trivellato . . 133A skewed GARCH-type model for multivariate financial time seriesCinziaFranceschiniandNicolaLoperfido.............................. 143 Financial time series and neural networks in a minority game contextLucaGrilli,MassimoAlfonsoRusso,andAngeloSfrecola ................. 153 Robust estimation of style analysis coefficientsMicheleLaRoccaandDomenicoVistocco ............................. 163 Managing demographic risk in enhanced pensionsSusannaLevantesiandMassimilianoMenzietti.......................... 173 Clustering mutual funds by return and risk levelsFrancescoLisiandEdoardoOtranto.................................. 183Multivariate Variance Gamma and Gaussian dependence: a study with copulas ElisaLucianoandPatriziaSemeraro.................................. 193A simple dimension reduction procedure for corporate finance composite indicators MarcoMarozziandLuigiSantamaria ................................. 205The relation between implied and realised volatility in the DAX index options market SilviaMuzzioli ................................................... 215Binomial algorithms for the evaluation of options on stocks with fixed per share dividends MartinaNardonandPaoloPianca ................................... 225Nonparametric prediction in time series analysis: some empirical resultsMarcellaNiglioandCiraPerna...................................... 235On efficient optimisation of the CVaR and related LP computable risk measures for portfolio selection WłodzimierzOgryczakandTomaszS ́liwin ́ski ........................... 245A pattern recognition algorithm for optimal profits in currency tradingDaniloPelusi..................................................... 253 Nonlinear cointegration in financial time seriesClaudioPizzi..................................................... 263 Optimal dynamic asset allocation in a non–Gaussian worldGianniPola...................................................... 273 Fair costs of guaranteed minimum death benefit contractsFranc ̧oisQuittard-PinonandRivoRandrianarivony...................... 283 Solvency evaluation of the guaranty fund at a large financial cooperativeJeanRoy ........................................................ 295A Monte Carlo approach to value exchange options using a single stochastic factor GiovanniVillani .................................................. 305