Contents
LeastSquaresPredictorsforThresholdModels:PropertiesandForecast
Evaluation
AlessandraAmendola,MarcellaNiglioandCosimoVitale................. 1
EstimatingPortfolioConditionalReturnsDistributionThroughStyle
AnalysisModels
LauraAttardiandDomenicoVistocco ................................. 11
AFullMonteCarloApproachtotheValuationoftheSurrenderOption
EmbeddedinLifeInsuranceContracts
AnnaRitaBacinello ............................................... 19
SpatialAggregationinScenarioTreeReduction
DianaBarro,ElioCanestrelliandPierangeloCiurlia .................... 27
ScalingLawsinStockMarkets.AnAnalysisofPricesandVolumes
SergioBianchiandAugustoPianese .................................. 35
BoundsforConcaveDistortionRiskMeasuresforSumsofRisks
AntonellaCampanaandPaolaFerretti ................................ 43
CharacterizationofConvexPremiumPrinciples
MartaCardinandGraziellaPacelli................................... 53
FFT,ExtremeValueTheoryandSimulationtoModelNon-Life
InsuranceClaimsDependences
RoccoRobertoCerchiara ........................................... 61
DynamicsofFinancialTimeSeriesinanInhomogeneousAggregation
Framework
RoyCerquetiandGiuliaRotundo .................................... 67

VIIIContents
ALiabilityAdequacyTestforMathematicalProvision
RosaCocozza,EmiliaDiLorenzo,AbinaOrlandoandMarilenaSibillo...... 75
IteratedFunctionSystems,IteratedMultifunctionSystems,and
Applications
CinziaColapintoandDavideLaTorre ................................ 83
RemarksonInsuredLoanValuations
MariarosariaCoppola,ValeriaDAmatoandMarilenaSibill ............. 91
ExploringtheCopulaApproachfortheAnalysisofFinancialDurations
GiovanniDeLuca,GiorgiaRivieccioandPaolaZuccolotto................ 99
AnalysisofEconomicFluctuations:AContributionfromChaosTheory
MarisaFaggini ................................................... 107
GeneralizedIn?uenceFunctionsandRobustnessAnalysis
MatteoFiniandDavideLaTorre..................................... 113
NeuralNetworksforBandwidthSelectioninNon-ParametricDerivative
Estimation
FrancescoGiordanoandMariaLuciaParrella.......................... 121
ComparingMortalityTrendsviaLee-CarterMethodintheFramework
ofMultidimensionalDataAnalysis
GiuseppeGiordano,MariaRussolilloandStevenHaberman .............. 131
DecisionMakinginFinancialMarketsThroughMultivariateOrdering
Procedure
LucaGrilliandMassimoAlfonsoRusso ............................... 139
ABiometricRisksAnalysisinLongTermCareInsurance
SusannaLevantesiandMassimilianoMenzietti.......................... 149
ClusteringFinancialDataforMutualFundManagement
FrancescoLisiandMarcoCorazza ................................... 157
ModelingUltra-High-FrequencyData:TheS&P500IndexFuture
MarcoMinozzoandSilviaCentanni .................................. 165
SimulatingaGeneralizedGaussianNoisewithShapeParameter1/2
MartinaNardonandPaoloPianca ................................... 173
FurtherRemarksonRiskPro?lesforLifeInsuranceParticipating
Policies
AlbinaOrlandoandMassimilianoPolitano............................. 181
ClassifyingItalianPensionFundsviaGARCHDistance
EdoardoOtrantoandAlessandroTrudda .............................. 189

ContentsIX
TheAnalysisofExtremeEventsCSomeForecastingApproache
MassimoSalzano ................................................. 199
SubjectIndex ......................................................207
AuthorIndex ......................................................209