The book develops the capabilities arising from the cooperation between mathematicians and statisticians working in insurance and finance fields. It gathers some of the papers presented at the conference MAF2010, held in Ravello (Amalfi coast), and successively, after a reviewing process, worked out to this aim.
The book develops the capabilities arising from the cooperation between mathematicians and statisticians working in insurance and finance fields. It gathers some of the papers presented at the conference MAF2010, held in Ravello (Amalfi coast), and successively, after a reviewing process, worked out to this aim.
Artikelnr. des Verlages: 80074223, 978-88-470-2341-3
2012
Seitenzahl: 424
Erscheinungstermin: 6. Oktober 2011
Englisch
Abmessung: 241mm x 160mm x 28mm
Gewicht: 848g
ISBN-13: 9788847023413
ISBN-10: 8847023416
Artikelnr.: 33617042
Inhaltsangabe
On the estimation in continuous limit of GARCH processes by G. Albano, F. Giordano, and C. Perna. - Variable selection in forecasting models for default risk by A. Amendola, M. Restaino, and L. Sensini. - Capital structure with firm's net cash payouts by F. Barsotti, M.E. Mancino, and M. Pontier. - Convex ordering of Esscher and minimal entropy martingale measures for discrete time models by F. Bellini and C. Sgarra. - On hyperbolic iterated distortions for the adjustment of survivalfunctions by A. Bienvenue and D. Rullière. - Beyond Basel2: Modeling loss given default through survival analysis by S. Bonini and G. Caivano.
On the estimation in continuous limit of GARCH processes by G. Albano, F. Giordano, and C. Perna. - Variable selection in forecasting models for default risk by A. Amendola, M. Restaino, and L. Sensini. - Capital structure with firm's net cash payouts by F. Barsotti, M.E. Mancino, and M. Pontier. - Convex ordering of Esscher and minimal entropy martingale measures for discrete time models by F. Bellini and C. Sgarra. - On hyperbolic iterated distortions for the adjustment of survivalfunctions by A. Bienvenue and D. Rullière. - Beyond Basel2: Modeling loss given default through survival analysis by S. Bonini and G. Caivano.
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