Mathematical and Statistical Methods for Actuarial Sciences and Finance

331 Pages·2010·3.05 MB·English

by  Laura Ballester

Marco Corazza
Claudio Pizzi
MathematicalandStatisticalMethodsforActuarialSciencesandFinance

Marco Corazza (Editor)
Claudio Pizzi (Editor)
Mathematical and
Statistical Methods
for Actuarial Sciences
and Finance
MarcoCorazza ClaudioPizzi
DepartmentofAppliedMathematics DepartmentofStatistics
UniversityCa’Foscari Venice UniversityCa’Foscari Venice
Venice,Italy Venice,Italy
ISBN978-88-470-1480-0 e-ISBN978-88-470-1481-7
DOI10.1007/978-88-470-1481-7
LibraryofCongressControlNumber:2009939620
SpringerDordrechtHeidelbergLondonMilanNewYork
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Preface
This volume collects a selection of refereed papers of the more than one hundred
presentedattheInternationalConferenceMAF2008–MathematicalandStatistical
MethodsforActuarialSciencesandFinance.
The conference was organisedby theDepartment of AppliedMathematics and
theDepartmentofStatisticsoftheUniversityCa’FoscariVenice(Italy),withthecol-
laborationoftheDepartmentofEconomicsandStatisticalSciencesoftheUniversity
ofSalerno(Italy).ItwasheldinVenice,fromMarch26to28,2008,attheprestigious
CavalliFranchettipalace,alongGrandCanal,oftheIstitutoVenetodiScienze,Lettere
edArti.
This conference was the first international editionof a biennial national series
begunin2004,whichwasbornofthebrilliantbeliefofthecolleagues–andfriends–
oftheDepartmentofEconomicsandStatisticalSciencesoftheUniversityofSalerno:
theidea followingwhichthecooperationbetween mathematicians and statisticians
inworkinginactuarialsciences,ininsuranceandinfinancecanimproveresearchon
these topics.The proofofthisconsistsinthe wideparticipationinthese events. In
particular,withreferencetothe2008internationaledition:
– Morethan150attendants,bothacademiciansandpractitioners;
– Morethan100acceptedcommunications,organisedin26parallelsessions,from
authorscomingfromabouttwentycountries(namely:Canada,Colombia,Czech
Republic,France,Germany,GreatBritain,Greece,Hungary,Ireland,Israel,Italy,
Japan,Poland,Spain,Sweden,Switzerland,Taiwan,USA);
– twoplenaryguest-organisedsessions;and
– aprestigiouskeynotelecturedeliveredbyProfessorWolfgangHa¨rdleoftheHum-
boldtUniversityofBerlin(Germany).
Thepaperspublishedinthisvolumecoverawidevarietyofsubjects:actuarialmod-
els; ARCH and GARCH modelling;artificial neural networks in finance; copulæ;
corporate finance; demographic risk; energy markets; insurance and reinsurance;
interest rate risk; longevity risk; Monte Carlo approaches; mutual fund analysis;
non-parametrictesting;optionpricingmodels;ordinalmodels;probabilitydistribu-
tionsandstochasticprocessesinfinance;riskmeasures;robustestimationinfinance;
VI Preface
solvency analysis; static and dynamic portfoliomanagement; time series analysis;
volatilitytermstructure;andtradingsystems.
Ofcourse,thefavourableoutcomeofthisconferencewouldnothavebeenpossible
without the precious help of our sponsors (in alphabetical order): Banca d’Italia;
Casino` Municipale di Venezia; Cassa di Risparmio di Venezia; Istituto Veneto di
Scienze, Lettere ed Arti; Provincia diVenezia; and VENIS – Venezia Informaticae
Sistemi.Wetrulythankthemall.
Moreover,wealsoexpressourgratitudetothemembersoftheScientificandthe
OrganisingCommittees,andtoallthepeoplewhosecollaborationcontributedtothe
successoftheMAF2008conference.
Finally, we would like to report that the organization of the next conference
has already begun: the MAF 2010 conference will be held in Ravello (Italy), on
the Amalfitan Coast, from April 7 to 9, 2010 (for more details visit the website
http://maf2010.unisa.it/).Weanticipateyourattendance.
Venezia,August2009 MarcoCorazzaandClaudioPizzi
Contents
ImpactofinterestrateriskontheSpanishbankingsector
LauraBallester,Roma´nFerrer, andCristo´balGonza´lez................... 1
Trackingerrorwithminimumguaranteeconstraints
DianaBarroandElioCanestrelli..................................... 13
Energymarkets:crucialrelationshipbetweenprices
CristinaBencivenga,GiuliaSargenti,andRitaL.D’Ecclesia .............. 23
Temperedstabledistributionsandprocessesinfinance:
numericalanalysis
MicheleLeonardoBianchi,SvetlozarT.Rachev, YoungShinKim,
andFrankJ.Fabozzi............................................... 33
Transformationkernelestimationofinsuranceclaimcostdistributions
CatalinaBolance´,MontserratGuille´n,andJensPerchNielsen ............. 43
Whatdodistortionriskmeasures tellus onexcess oflossreinsurance
withreinstatements?
AntonellaCampanaandPaolaFerretti ................................ 53
Someclassesofmultivariateriskmeasures
MartaCardinandElisaPagani ...................................... 63
Assessingriskperceptionbymeansofordinalmodels
PaolaCerchiello,MariaIannario,andDomenicoPiccolo ................. 75
Afinancialanalysisofsurplusdynamicsfordeferred lifeschemes
RosaCocozza,EmiliaDiLorenzo,AlbinaOrlando,andMarilenaSibillo..... 85
CheckingfinancialmarketsviaBenford’slaw:theS&P500case
MarcoCorazza,AndreaElleroandAlbertoZorzi ........................ 93
VIII Contents
EmpiricallikelihoodbasednonparametrictestingforCAPM
PietroCorettoandMariaLuciaParrella............................... 103
Lee-Carter error matrixsimulation:heteroschedasticity impact on
actuarialvaluations
ValeriaD’AmatoandMariaRussolillo ................................ 113
Estimatingthevolatilitytermstructure
AntonioD´ıaz,FranciscoJaren˜o,andEliseoNavarro ..................... 123
Exact and approximated option pricing in a stochastic volatility
jump-diffusionmodel
FernandaD’Ippoliti,EnricoMoretto,SaraPasquali,andBarbaraTrivellato.. 133
AskewedGARCH-typemodelformultivariatefinancialtimeseries
CinziaFranceschiniandNicolaLoperfido.............................. 143
Financialtimeseriesandneuralnetworksinaminoritygamecontext
LucaGrilli,MassimoAlfonsoRusso,andAngeloSfrecola ................. 153
Robustestimationofstyleanalysiscoefficients
MicheleLaRoccaandDomenicoVistocco ............................. 163
Managingdemographicriskinenhancedpensions
SusannaLevantesiandMassimilianoMenzietti.......................... 173
Clusteringmutualfundsbyreturnandrisklevels
FrancescoLisiandEdoardoOtranto.................................. 183
MultivariateVarianceGammaandGaussiandependence:
astudywithcopulas
ElisaLucianoandPatriziaSemeraro.................................. 193
A simple dimension reduction procedure for corporate finance
compositeindicators
MarcoMarozziandLuigiSantamaria ................................. 205
Therelationbetween impliedandrealisedvolatilityintheDAXindex
optionsmarket
SilviaMuzzioli ................................................... 215
Binomialalgorithmsfortheevaluationofoptionsonstockswithfixedper
sharedividends
MartinaNardonandPaoloPianca ................................... 225
Nonparametricpredictionintimeseriesanalysis:someempiricalresults
MarcellaNiglioandCiraPerna...................................... 235
Contents IX
Onefficient optimisationoftheCVaRandrelatedLPcomputablerisk
measuresforportfolioselection
WłodzimierzOgryczakandTomaszS´liwin´ski ........................... 245
Apatternrecognitionalgorithmforoptimalprofitsincurrencytrading
DaniloPelusi..................................................... 253
Nonlinearcointegrationinfinancialtimeseries
ClaudioPizzi..................................................... 263
Optimaldynamicassetallocationinanon–Gaussianworld
GianniPola...................................................... 273
Faircostsofguaranteedminimumdeathbenefitcontracts
Franc¸oisQuittard-PinonandRivoRandrianarivony...................... 283
Solvencyevaluationoftheguarantyfundatalargefinancialcooperative
JeanRoy ........................................................ 295
A Monte Carlo approach to valueexchange options using a single
stochasticfactor
GiovanniVillani .................................................. 305