Mathematical and Statistical Methods for Actuarial Sciences and Finance [Paperback]

This volume aims to collect new ideas presented in the form of 4 page papers dedicated to mathematical and statistical methods in actuarial sciences and finance. The cooperation between mathematicians and statisticians working in insurance and finance is a very fruitful field and provides interesting scientific products in theoretical models and practical applications, as well as in scientific discussion of problems of national and international interest. This work reflects the results discussed at the biennial conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF), born at the University of Salerno in 2004.1 I. Albarrn, P. Alonso, A.Arribas-Gil and A. Gran: Can personal dependency paths help to estimate life expectancy free of dependency?.- 2 A. Amendola and V. Candila: Evaluation of volatility forecasts in a VaR framework.- 3 A. Amendola and M. Restaino: Optimal cut-off points for multiple causes of business failure models.- 4 R. Baragona, F. Battaglia and D. Cucina: Maximum empirical likelihood inference for outliers in autoregressive time series.- 5?A. Basso and S. Funari: The role of fund size and returns to scale in the performance of mutual funds.- 6 M. Biancardi and G. Villani: A robustness analysis of least-squares monte carlo for r&d real options valuation.- 7 G. Bimonte and P. Spennati: The common pool problem of intergovernmental interactions and fiscal discipline: a Stackelberg approach.- 8 S. Boffelli and G. Urga: High -and low-frequency correlations in European government bond spreads and their macroeconomic drivers.- 9 S. Bonini and G. Caivano: Probability of default: a modern calibration approach.- 10 S. Bonini and G. Caivano: Development of a LGD model Basel2 compliant: a case study.- 11 S. Capecchi and D. Piccolo: Modelling the latent components of personal happiness.- 12 M. Caporin, L. Corazzini and M. Costola: Measuring the impact of behavioural choices on the market prices.- 13 M. Cardin: A note on nl±