Mathematical and Statistical Methods for Actuarial Sciences and Finance

Transcription

1 Mathematical and Statistical Methods for Actuarial Sciences and Finance

2 Cira Perna Marilena Sibillo Editors Mathematical and Statistical Methods for Actuarial Sciences and Finance

3 Editors Cira Perna Department of Economics and Statistics University of Salerno Fisciano, Salerno, Italy Marilena Sibillo Department of Economics and Statistics University of Salerno Fisciano, Salerno, Italy ISBN ISBN (ebook) DOI / Springer Cham Heidelberg New York Dordrecht London Library of Congress Control Number: Springer International Publishing Switzerland 2014 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. Exempted from this legal reservation are brief excerpts in connection with reviews or scholarly analysis or material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Duplication of this publication or parts thereof is permitted only under the provisions of the Copyright Law of the Publisher s location, in its current version, and permission for use must always be obtained from Springer. Permissions for use may be obtained through RightsLink at the Copyright Clearance Center. Violations are liable to prosecution under the respective Copyright Law. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. While the advice and information in this book are believed to be true and accurate at the date of publication, neither the authors nor the editors nor the publisher can accept any legal responsibility for any errors or omissions that may be made. The publisher makes no warranty, express or implied, with respect to the material contained herein. Printed on acid-free paper Springer is part of Springer Science+Business Media (

4 Preface This volume 1 aims to collect new ideas presented in form of 4-pages 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 the scientific discussion of problems of national and international interest. From the theoretical and applicative point of view, the topics covered in the book are: actuarial models; alternative testing approaches; behavioural finance; clustering techniques; coherent and no-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; multi-criteria 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; time series analysis tools. In the light of the successful cooperation between the above two quantitative approaches, the Editors of the volume organize the biennial conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF), born at the University of Salerno in 2004 and just arrived at its 6th edition this year. Salerno April 2014 Cira Perna and Marilena Sibillo 1 Published with the contribution of Dipartimento di Scienze Economiche e Statistiche, Università degli Studi di Salerno. v

5 Contents Can Personal Dependency Paths Help to Estimate Life Expectancy Free of Dependency?... 1 Irene Albarrán, Pablo Alonso, Ana Arribas-Gil, and Aurea Grané Evaluation of Volatility Forecasts in a VaR Framework... 7 Alessandra Amendola and Vincenzo Candila Optimal Cut-Off Points for Multiple Causes of Business Failure Models 11 Alessandra Amendola and Marialuisa Restaino Maximum Empirical Likelihood Inference for Outliers in Autoregressive Time Series Roberto Baragona, Francesco Battaglia, and Domenico Cucina The Role of Fund Size and Returns to Scale in the Performance of Mutual Funds Antonella Basso and Stefania Funari A Robustness Analysis of Least-Squares Monte Carlo for R&D Real Options Valuation Marta Biancardi and Giovanni Villani The Common Pool Problem of Intergovernmental Interactions and Fiscal Discipline: A Stackelberg Approach Giovanna Bimonte and Pietro Spennati Evaluating Correlations in European Government Bond Spreads Simona Boffelli and Giovanni Urga Probability of Default: A Modern Calibration Approach Stefano Bonini and Giuliana Caivano Development of a LGD Model Basel2 Compliant: A Case Study Stefano Bonini and Giuliana Caivano vii

6 viii Contents Modelling the Latent Components of Personal Happiness Stefania Capecchi and Domenico Piccolo Measuring the Impact of Behavioural Choices on the Market Prices.. 53 Massimiliano Caporin, Luca Corazzini, and Michele Costola A Note on Natural Risk Statistics, OWA Operators and Generalized Gini Functions Marta Cardin The Estimation of Standard Deviation of Premium Risk Under Solvency Rocco Roberto Cerchiara and Vittorio Magatti The Solvency Capital Requirement Management for an Insurance Company Mariarosaria Coppola and Valeria D Amato Direct Multi-Step Estimation and Time Series Classification Marcella Corduas Alternative Assessments of the Longevity Trends Valeria D Amato, Steven Haberman, Gabriella Piscopo, and Maria Russolillo Combinatorial Nonlinear Goal Programming for ESG Portfolio Optimization and Dynamic Hedge Management Gordon H. Dash Jr. and Nina Kajiji On the Geometric Brownian Motion with Alternating Trend Antonio Di Crescenzo, Barbara Martinucci, and Shelemyahu Zacks Empirical Evidences on Predictive Accuracy of Survival Models Emilia Di Lorenzo, Michele La Rocca, Albina Orlando, Cira Perna, and Marilena Sibillo RedES, a Risk Measure in a Pareto-Lévy Stable Framework with Clustering Riccardo Donati and Marco Corazza Run-Off Error in the Outstanding Claims Reserves Evaluation Nicolino Ettore D Ortona and Giuseppe Melisi Trajectory Based Market Models. Arbitrage and Pricing Intervals Sebastian Ferrando, Alfredo Gonzalez, Ivan Degano, and Massoome Rahsepar A Statistical Test for the Heston Model Gianna Figà-Talamanca Threshold Random Walk Structures in Finance Francesco Giordano, Marcella Niglio, and Cosimo Damiano Vitale

7 Contents ix Stochastic Mortality Models. Application to CR Mortality Data Ján Gogola Risk Adjusted Dynamic Hedging Strategies Martin Harcek Pricing and Hedging Variable Annuities Abdou Kélani and François Quittard-Pinon Monetary Risk Functionals on Orlicz Spaces Produced by Set-Valued Risk Maps and Random Measures Dimitrios G. Konstantinides and Christos E. Kountzakis A Probability Inequality Related to Mardia s Kurtosis Nicola Loperfido Integrating Industrial and Financial Analysis into a Rating Methodology for Corporate Risk Detection: The Case of the Vicenza Manufacturing Firms Guido Max Mantovani, Giancarlo Coro, Paolo Gurisatti, and Mattia Mestroni Risk Measurement Using the Mixed Tempered Stable Distribution Lorenzo Mercuri and Edit Rroji Corporate Finance...What Else? The Case of the Productive Chain Networks in North-East Italy and the Scaffolding Finance Adopted by Their Leader Mattia Mestroni, Elisabetta Basilico, and Guido Max Mantovani BEKK Element-by-Element Estimation of a Volatility Matrix. A Portfolio Simulation Alessia Naccarato and Andrea Pierini The Effects of Curvature and Elevation of the Probability Weighting Function on Options Prices Martina Nardon and Paolo Pianca A Multivariate Approach to Project the Long Run Relationship Between Mortality Indices for Canadian Provinces Achille Ntamjokouen, Steven Haberman, and Giorgio Consigli Measuring and Managing the Longevity Risk: An Empirical Evidence From the Italian Pension Market Albina Orlando, Govanna di Lorenzo, and Massimiliano Politano Pricing and Hedging Basket Options Under Shifted Asymmetric Jump-Diffusion Processes Tommaso Paletta, Arturo Leccadito, and Radu Tunaru

8 x Contents On a Data Mining Framework for the Identification of Frequent Pattern Trends Marina Resta Risk Processes with Normal Inverse Gaussian Claims and Premiums Dean Teneng and Kalev Pärna A Portfolio Model for the Risk Management in Public Pension Tadashi Uratani Black Scholes Option Sensitivity Using High Order Greeks Yves Rakotondratsimba