Titlebook: Mathematical and Statistical Methods for Actuarial Sciences and Finance; Marco Corazza,Claudio Pizzi Book 2014 Springer International Publ

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On the RODEO Method for Variable Selection,EO and can be used to select the relevant covariates of a sparse regression model. A drawback of the RODEO is that it fails to isolate some relevant covariates, in particular those which have linear effects on the model, and for such reason it is suggested to use the RODEO on the residuals of a LASS

大溝

Portfolio Allocation Using Omega Function: An Empirical Analysis,xt of portfolio selection. Therefore different models have been proposed. On one side the Markowitz model has been extended to higher moments and on the other side, starting from Sharpe ratio, a great attention has been addressed to the correct choice of the risk (or joint risk-performance) indicato

MAL

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Solvency Analysis of Defined Benefit Pension Schemes,e characterized by a long term aspect and a limited need of liquidity. In this perspective, the purpose of this paper is to combine the three major risks affecting a DB plan (market, inflation and longevity risks) and to look at their effect on the solvency of the pension fund.

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Investment Rankings via an Objective Measure of Riskiness: A Case Study,titude expressed by his utility function. We will briefly recall and discuss some theoretical properties, and we will give proof of our results by ranking 30 largest-growth mutual funds; finally, we will compare the results with those of other indexes.

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ontains theoretical and applicative perspectives.Includes su.The interaction between mathematicians and statisticians has been shown to be an e?ective approach for dealing with actuarial, insurance and ?nancial problems, both from an academic perspective and from an operative one. The collection of

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