On the estimation in continuous limit of GARCH processes
Giuseppina Albano, Francesco Giordano, and Cira Perna
Variable selection in forecasting models for default risk
Alessandra Amendola, Marialuisa Restaino, and Luca Sensini
Capital structure with firm’s net cash payouts
Flavia Barsotti, Maria Elvira Mancino, and Monique Pontier
Convex ordering of Esscher and minimal entropy martingale measures for discrete time models
Fabio Bellini and Carlo Sgarra
On hyperbolic iterated distortions for the adjustment of survival functions
Alexis Bienven¨ue and Didier Rulli`ere
Beyond Basel2: Modeling loss given default through survival analysis
Stefano Bonini and Giuliana Caivano
Initial premium, aggregate claims and distortion risk measures in XL reinsurance with
Antonella Campana and Paola Ferretti
Population dynamics in a spatial Solow model with a convex-concave production function
Vincenzo Capasso, Ralf Engbers, and Davide La Torre
Population dynamics in a patch growth model with S-shaped production functions and migration effects
Vincenzo Capasso, Herb E. Kunze, and Davide La Torre
An ordinal approach to risk measurement
Marta Cardin and Miguel Couceiro
Piecewise linear dynamic systems for own risk solvency assessment
Rocco Roberto Cerchiara and Fabio Lamantia
Valuation of the conditional indexation option in asset and liability management of defined benefit pension funds
Rosa Cocozza, Angela Gallo, and Giuseppe Xella
Conditional performance attribution for equity portfolio
Claudio Conversano and Alessio Lizzeri
Capital requirements for aggregate risks in long term living products: A stochastic approach
Mariarosaria Coppola, Albina Orlando,and Massimiliano Politano
Portfolio selection with an alternative measure of risk: Computational performances of particle swarm optimization and genetic algorithms
Marco Corazza, Giovanni Fasano, and Riccardo Gusso
Interdependence and contagion in international stock markets: A latent Markov model approach
Michele Costa, Luca De Angelis, and Leonard J. Paas
Valuation of portfolio loss derivatives in an infectious model
Areski Cousin, Diana Dorobantu, and Didier Rulli`ere
Internal risk control by solvency measures
Valeria D’Amato, Emilia Di Lorenzo, Maria Russolillo, and Marilena Sibillo
Measuring mortality heterogeneity in pension annuities
Valeria D’Amato, Gabriella Piscopo, and Maria Russolillo
Is techincal analysis able to beat market inefficiency?
Elisa Daniotti
On the damped geometric telegrapher’s process
Antonio Di Crescenzo, Barbara Martinucci, and Shelemyahu Zacks
Risk measures and Pareto style tails
Anna Maria Fiori, Emanuela Rosazza Gianin, and Anna Spasova
Credit risk and incomplete information: A filtering framework for pricing and risk management
Claudio Fontana
Claims reserving uncertainty in the development of internal risk models
Salvatore Forte, Matteo Ialenti, and Marco Pirra
Some inequalities between measures of multivariate kurtosis, with application to financial returns
Cinzia Franceschini and Nicola Loperfido
The generalized trapezoidal model in financial data analysis
Manuel Franco, Johan Ren´e van Dorp, and Juana-Mar´ıa Vivo
Nonparametric estimation of volatility functions: Some experimental evidences
Francesco Giordano, Michele La Rocca, and Cira Perna
Investigating and modelling the perception of economic security in the survey of household income and wealth
Maria Iannario and Domenico Piccolo
On ruin probabilities in risk models with interest rate
Nino Kordzakhia, Alexander Novikov, and Gurami Tsitsiashvili
On longevity risk securitization and solvency capital requirements in life annuities
Susanna Levantesi, Massimiliano Menzietti, and Tiziana Torri
Modelling the share prices as a hidden random walk on the lamplighter group
Xiaojuan Ma and Sergey Utev
Multivariate jump arrivals: The variance gamma case
Roberto Marfè
Modelling the skewed exponential power distribution in finance
J. Miguel Marín and Genaro Sucarrat
Composite indicators: A sectorial perspective
Marco Marozzi
Dynamic model of pension savings management with stochastic interest rates and stock returns
Igor Melicherčík and Daniel Ševčovič
Financial and demographic risks impact on a pay-as-you-go pension fund
Roberta Melis and Alessandro Trudda
Extracting implied dividends from options prices: Some applications to the Italian derivatives market
Martina Nardon and Paolo Pianca
Generalization of some linear time series property to nonlinear domain
Marcella Niglio and Cosimo Damiano Vitale
Evaluating the behavior of a function in kernel based regression
Maria Lucia Parrella
Optimal trading rules at hourly frequency in the foreign Exchange markets
Danilo Pelusi and Massimo Tivegna
The influence of correlation and loading on M-V efficient retentions in variable quota share proportional reinsurance
Flavio Pressacco and Laura Ziani
Good and bad banks
Luca Regis
Tail diversification strategy. An application to MSCI World Sector Indices
Giorgia Rivieccio
Marginalization and aggregation of exponential smoothing models in forecasting portfolio volatility
Giacomo Sbrana and Andrea Silvestrini
Generalization of stratified variance reduction methods for monte carlo exchange options pricing
Giovanni Villani
Price discovery in a dynamic structural model
Lei Wu and Hans van der Weide
