Cira Perna. Marilena Sibillo. Mathematical and Statistical Methods in Insurance and Finance

Transcription

1 Cira Perna Marilena Sibillo Mathematical and Statistical Methods in Insurance and Finance

2 Cira Perna (Editor) Marilena Sibillo (Editor) Mathematical and Statistical Methods in Insurance and Finance

3 Cira Perna Dipartimento di Scienze Economiche e Statistiche Università di Salerno, Italy Marilena Sibillo Dipartimento di Scienze Economiche e Statistiche Università di Salerno, Italy Library of Congress Control Number: ISBN Springer Milan Berlin Heidelberg New York This work is subject to copyright. All rights are reserved, 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 other ways, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the Italian Copyright Law in its current version, and permission for use must always ba obtained from Springer. Violations are liable to prosecution under the Italian Copyright Law. Springer is a part of Springer Science+Business Media springer.com Springer-Verlag Italia, Milano 2008 Printed in Italy Cover-Design: Simona Colombo, Milan Typesetting with LAT E X: PTP-Berlin, Protago T E X-Production GmbH, Germany ( Printing and Binding: Grafiche Porpora, Segrate (MI)

4 Preface The MAF2006 Conference, organized at the, represents the prosecution of the first edition, held in 2004 also at the Campus of Fisciano, and was developed on the basis of cooperation between mathematicians and statisticians working in insurance and finance fields. The idea arises from the belief that the interdisciplinary approach can improve research on these topics, and the proof of this is that interest in this guideline has evolved and been re-enforced. The Conference aims at providing state of the art research in development, implementation and real word applications of statistical and mathematical models in actuarial and finance sciences, as well as for discussion of problems of national and international interest. These considerations imply the strengthening of the involved methods and techniques towards the purpose, shared by an increasing part of the scientific community, of the integration between mathematics and statistics applied in finance and insurance fields. The Conference was open to both academic and non-academic communities from universities, insurance companies and banks, and it was specifically designed to contribute to fostering the cooperation between practitioners and theoreticians in the field. About 100 researchers attended the Conference and a total of 9 contributed sessions and 4 organized sessions, containing more than 50 communications, were accepted for presentation. The extended abstracts are available on labeconomia.unisa.it/maf2006/. Two prestigious keynote lecturers, delivered by prof. Giovanni Barone Adesi (University of Lugano) on GARCH Options in Incomplete Markets and by prof. Michael Wolf (University of Zurich) on Multiple Testing Based on Generalized Error Rates with an Application to Hedge Fund Evaluation, increased the scientific value of the meeting. The collection published here gathers some of the papers presented at the conference MAF2006 and successively worked out to this aim. They cover a wide variety of subjects:

5 VI Preface Mathematical Models for Insurance Insurance Portfolio Risk Analysis, Solvency, Longevity Risk, Actuarial models, Management in Insurance Business, Stochastic models in Insurance. Statistical Methods for Finance Analysis of High Frequency Data, Data Mining, Nonparametric methods for the analysis of financial time series, Forecasting from Dynamic Phenomena, Artificial Neural Network, Multivariate Methods for the Analysis of Financial Markets. Mathematical Tools in Finance Stock Market Risk and Selection, Mathematical Models for Derivatives, Stochastic Models for Finance, Stochastic Optimization. The papers follow in alphabetical order from the first author. The quality of the papers is due to the authors and, in the name of the scientific and organizing committee of the conference MAF2006, we truly thank them all. Moreover we thank the Faculty of Economics and the Department of Economics and Statistics of the for the opportunity they gave us to go ahead with this idea. We would like to express our gratitude to the members of the Scientific and Organizing Committee and to all the people who contributed to the success of the event. We are grateful for the kind effort in particular of the sponsors: Amases, Ambasciata di Svizzera a Roma, Associazione Costruttori Edili Salernitani, for making the meeting more comfortable and pleasant. Finally, we truly thank the Department of Applied Mathematics and the Department of Statistics of the for the strong cooperation in this initiative and for the involvement in organizing and hosting the next edition of the Conference, to be held in 2008 in Venice. Fisciano, August 2007 Cira Perna and Marilena Sibillo

6 Contents Least Squares Predictors for Threshold Models: Properties and Forecast Evaluation Alessandra Amendola, Marcella Niglio and Cosimo Vitale... 1 Estimating Portfolio Conditional Returns Distribution Through Style Analysis Models Laura Attardi and Domenico Vistocco A Full Monte Carlo Approach to the Valuation of the Surrender Option Embedded in Life Insurance Contracts Anna Rita Bacinello Spatial Aggregation in Scenario Tree Reduction Diana Barro, Elio Canestrelli and Pierangelo Ciurlia Scaling Laws in Stock Markets. An Analysis of Prices and Volumes Sergio Bianchi and Augusto Pianese Bounds for Concave Distortion Risk Measures for Sums of Risks Antonella Campana and Paola Ferretti Characterization of Convex Premium Principles Marta Cardin and Graziella Pacelli FFT, Extreme Value Theory and Simulation to Model Non-Life Insurance Claims Dependences Rocco Roberto Cerchiara Dynamics of Financial Time Series in an Inhomogeneous Aggregation Framework Roy Cerqueti and Giulia Rotundo... 67

7 VIII Contents A Liability Adequacy Test for Mathematical Provision Rosa Cocozza, Emilia Di Lorenzo, Abina Orlando and Marilena Sibillo Iterated Function Systems, Iterated Multifunction Systems, and Applications Cinzia Colapinto and Davide La Torre Remarks on Insured Loan Valuations Mariarosaria Coppola, Valeria D Amato and Marilena Sibillo Exploring the Copula Approach for the Analysis of Financial Durations Giovanni De Luca, Giorgia Rivieccio and Paola Zuccolotto Analysis of Economic Fluctuations: A Contribution from Chaos Theory Marisa Faggini Generalized Influence Functions and Robustness Analysis Matteo Fini and Davide La Torre Neural Networks for Bandwidth Selection in Non-Parametric Derivative Estimation Francesco Giordano and Maria Lucia Parrella Comparing Mortality Trends via Lee-Carter Method in the Framework of Multidimensional Data Analysis Giuseppe Giordano, Maria Russolillo and Steven Haberman Decision Making in Financial Markets Through Multivariate Ordering Procedure Luca Grilli and Massimo Alfonso Russo A Biometric Risks Analysis in Long Term Care Insurance Susanna Levantesi and Massimiliano Menzietti Clustering Financial Data for Mutual Fund Management Francesco Lisi and Marco Corazza Modeling Ultra-High-Frequency Data: The S&P 500 Index Future Marco Minozzo and Silvia Centanni Simulating a Generalized Gaussian Noise with Shape Parameter 1/2 Martina Nardon and Paolo Pianca Further Remarks on Risk Profiles for Life Insurance Participating Policies Albina Orlando and Massimiliano Politano Classifying Italian Pension Funds via GARCH Distance Edoardo Otranto and Alessandro Trudda

8 Contents IX The Analysis of Extreme Events Some Forecasting Approaches Massimo Salzano Subject Index Author Index

9 List of Contributors Alessandra Amendola Laura Attardi University of Naples Anna Rita Bacinello University of Trieste Diana Barro Sergio Bianchi University of Cassino Antonella Campana University of Molise Elio Canestrelli Marta Cardin Silvia Centanni University of Verona, Rocco Roberto Cerchiara University of Calabria Roy Cerqueti University of Rome La Sapienza Pierangelo Ciurlia Rosa Cocozza University of Naples Federico II Cinzia Colapinto University of Milan Mariarosaria Coppola University of Naples Federico II Marco Corazza

10 XII List of Contributors Valeria D Amato University of Naples Federico II [email protected] Giovanni De Luca University of Naples Parthenope Emilia Di Lorenzo University of Naples Federico II [email protected] Marisa Faggini [email protected] Paola Ferretti [email protected] Matteo Fini University of Milan [email protected] Francesco Giordano [email protected] Giuseppe Giordano [email protected] Luca Grilli University of Foggia [email protected] Steven Haberman City University, London, UK [email protected] Davide La Torre University of Milan [email protected] Susanna Levantesi University of Rome La Sapienza [email protected] Francesco Lisi University of Padova [email protected] Massimiliano Menzietti University of Calabria Marco Minozzo University of Perugia, [email protected] Martina Nardon [email protected] Marcella Niglio [email protected] Albina Orlando Consiglio Nazionale delle Ricerche [email protected] Edoardo Otranto University of Sassari [email protected] Graziella Pacelli University of Ancona [email protected] Maria Lucia Parrella [email protected] Paolo Pianca [email protected] Augusto Pianese University of Cassino [email protected]

11 List of Contributors XIII Massimiliano Politano University of Naples Federico II Giorgia Rivieccio University of Naples Parthenope Giulia Rotundo University of Tuscia, Viterbo Massimo Alfonso Russo University of Foggia Maria Russolillo Massimo Salzano Marilena Sibillo Alessandro Trudda University of Sassari Domenico Vistocco University of Cassino Cosimo Vitale Paola Zuccolotto University of Brescia

12 XIV List of Contributors Scientific Committee Cira Perna (Chair, ), Marilena Sibillo (Chair, ), Alessandra Amendola (), Francesco Battaglia (University of Roma La Sapienza), Elio Canestrelli (University of Venezia CàFoscari), Mariarosaria Coppola (University of Napoli Federico II), Marco Corazza (University of Venezia CàFoscari), Alessandro of Lorenzo (University of Napoli Federico II), Emilia of Lorenzo (University of Napoli Federico II), Francesco Giordano (), Michele La Rocca (), Francesca Parpinel (University of Venezia CàFoscari), Paolo Pianca (University of Venezia CàFoscari), Claudio Pizzi (University of Venezia CàFoscari), Isabella Procidano (University of Venezia CàFoscari), Giuseppe Storti (), Cosimo Vitale () Organizing Committee Marcella Niglio (Coordinator, ), Diana Barro (University of Venezia), Mariarosaria Coppola (University of Napoli Federico II), Rosa Ferrentino (), Stefania Funari (University of Venezia CàFoscari), Margherita Gerolimetto (University of Venezia CàFoscari), Maria Lucia Parrella (), Maria Russolillo ()