1,721,147 research outputs found
Il tema della solvibilità di una impresa di assicurazioni nelle ipotesi del modello M/M/∞
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Mathematical and statistical methods for actuarial sciences and finance
No full textThe interaction between mathematicians and statisticians working in the actuarial and financial fields is producing numerous meaningful scientific results. This volume, comprising a series of four-page papers, gathers new ideas relating to mathematical and statistical methods in the actuarial sciences and finance. The book covers a variety of topics of interest from both theoretical and applied perspectives, including: actuarial models; alternative testing approaches; behavioral finance; clustering techniques; coherent and non-coherent risk measures; credit-scoring approaches; data envelopment analysis; dynamic stochastic programming; financial contagion models; financial ratios; intelligent financial trading systems; mixture normality approaches; Monte Carlo-based methodologies; 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; and time series analysis tools. This book will be of value for academics, PhD students, practitioners, professionals, and researchers. It will also be of interest to other readers with some quantitative background knowledge
The uncertainty risk driver within a life annuity context: an overview
Full text linkThe paper analyzes the longevity effects on
the portfolio valuations. This is a re
levant topic, in particular from the
perspective of insurers/sponsors of pension funds. The models chosen for actuarial calculations have to capture the
survival trend and to pr
oject its forecasted future impr
ovements. The uncertainty in the choice is a huge concern and
constitutes a relevant systematic risk driver itself, called unc
ertainty risk therein. Aim of the paper is to measure the
uncertainty risk and to show its trend in severa
l contexts, meaningful in portfolio valuations.
To this purpose the authors provide a suitable risk index and apply it in three different valuations: the initial value of an
immediate life annuity portfolio; the fund of a pension annuity portfolio; the surplus of a portfolio consisting of
deferred life annuities. Some graphs illustrate the results
Una formula di rappresentazione per la funzione caratteristica di una distribuzione bidimensionale di probabilità
No full textMathematical and Statistical Methods for Actuarial Sciences and Finance
No full textThis volume is a collection of papers selected and peer reviewed from the more than 100 presented at the International Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance–MAF2022, held at the University of Salerno from 20 to 22 April 2022. This tenth edition confirms the growing interest of the international scientific community towards the initiative, with about 200 participants, more than 170 scientific contributions proposed in the form of abstracts or papers.
Several are the research areas to which the papers are dedicated with a focus on applicability and/or applications of the results:
Actuarial models, analysis of high-frequency financial data, behavioural finance, carbon and green finance, credit risk methods and models, dynamic optimization in finance, financial econometrics, forecasting of dynamical actuarial and financial phenomena, fund performance evaluation, insurance portfolio risk analysis, interest rate models, longevity risk, machine learning and soft computing in finance, management in insurance business, models and methods for financial time series analysis, models for financial derivatives, multivariate techniques for financial markets analysis, neural networks in insurance, optimization in insurance, pricing, probability in actuarial sciences, insurance and finance, real-world finance, risk management, solvency analysis, sovereign risk, static and dynamic portfolio selection and management, trading systems
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