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Short Description:
The interaction between mathematicians and statisticians reveals to be an effective approach to the analysis of insurance and financial problems, in particular in an operative perspective…
Description
Mathematical and Statistical Methods in Insurance and Finance
By: Cira Perna, Marilena Sibillo
Publisher: Springer; 1 edition (2008)
Pages: 208
Format: Ebook (PDF)
Description
The interaction between mathematicians and statisticians reveals to be an effective approach to the analysis of insurance and financial problems, in particular in an operative perspective. The Maf2006 conference, held at the University of Salerno in 2006, had precisely this purpose and the collection here published gathers some of the papers presented at the conference and successively worked out to this aim. They cover a wide variety of subjects in insurance and financial fields, all treated in light of the successful cooperation between the two quantitative methods.
About The Editors
Cira Perna has received the Degree in Mathematics from the University of Naples in 1983 and the M. Phil. in Statistics from the CSREAM, University of Naples, in 1985. She had Faculty positions, as Associate Professor, at the University of Calabria (1992-1994) and at the University of Salerno (1994-1999). She has been Professor of Statistics at the University of Salerno since 2000. She has published over 50 technical papers in journals and books. Her current research focuses on non linear time series analysis, artificial neural network models, resampling techniques. She is a member of the Italian Statistical Society and of the IASC. She is also in the board of the ANSET (Italian Time Series Analysis Research Group).
Marilena Sibillo: After graduating in Quantitative Economics at the University of Naples Federico II, she worked at the University of Naples Federico II as a Researcher and taught at the Universities of Sassari and Salerno as Associate Professor. Since 2004 she is Professor in Financial Mathematics. She is author of several papers, mostly in Actuarial Mathematics, published in international specialized journal. At present her research is focused on the risk analysis in actuarial portfolio valuations.
Table Of Contents
- Least Squares Predictors for Threshold Models: Properties and Forecast EvaluationAlessandra Amendola, Marcella Niglio, Cosimo VitalePages 1-9
- Estimating Portfolio Conditional Returns Distribution Through Style Analysis ModelsLaura Attardi, Domenico VistoccoPages 11-17
- A Full Monte Carlo Approach to the Valuation of the Surrender Option Embedded in Life Insurance ContractsAnna Rita BacinelloPages 19-26
- Spatial Aggregation in Scenario Tree ReductionDiana Barro, Elio Canestrelli, Pierangelo CiurliaPages 27-34
- Scaling Laws in Stock Markets. An Analysis of Prices and VolumesSergio Bianchi, Augusto PianesePages 35-42
- Bounds for Concave Distortion Risk Measures for Sums of RisksAntonella Campana, Paola FerrettiPages 43-51
- Characterization of Convex Premium PrinciplesMarta Cardin, Graziella PacelliPages 53-60
- FFT, Extreme Value Theory and Simulation to Model Non-Life Insurance Claims DependencesRocco Roberto CerchiaraPages 61-65
- Dynamics of Financial Time Series in an Inhomogeneous Aggregation FrameworkRoy Cerqueti, Giulia RotundoPages 67-74
- A Liability Adequacy Test for Mathematical ProvisionRosa Cocozza, Emilia Di Lorenzo, Abina Orlando, Marilena SibilloPages 75-81
- Iterated Function Systems, Iterated Multifunction Systems, and ApplicationsCinzia Colapinto, Davide La TorrePages 83-90
- Remarks on Insured Loan ValuationsMariarosaria Coppola, Valeria D’Amato, Marilena SibilloPages 91-98
- Exploring the Copula Approach for the Analysis of Financial DurationsGiovanni De Luca, Giorgia Rivieccio, Paola ZuccolottoPages 99-106
- Analysis of Economic Fluctuations: A Contribution from Chaos TheoryMarisa FagginiPages 107-112
- Generalized Influence Functions and Robustness AnalysisMatteo Fini, Davide La TorrePages 113-120
- Neural Networks for Bandwidth Selection in Non-Parametric Derivative EstimationFrancesco Giordano, Maria Lucia ParrellaPages 121-129
- Comparing Mortality Trends via Lee-Carter Method in the Framework of Multidimensional Data AnalysisGiuseppe Giordano, Maria Russolillo, Steven HabermanPages 131-138
- Decision Making in Financial Markets Through Multivariate Ordering ProcedureLuca Grilli, Massimo Alfonso RussoPages 139-147
- A Biometric Risks Analysis in Long Term Care InsuranceSusanna Levantesi, Massimiliano MenziettiPages 149-156
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