Mathematical and Statistical Methods in Insurance and Finance
The interaction between mathematicians and statisticians reveals to be an effective approach to the analysis of insurance and financial problems, in particular in an operative perspective. The Maf2006 conference, held at the University of Salerno in 2006,
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Cira Perna (Editor) Marilena Sibillo (Editor)
Mathematical and Statistical Methods in Insurance and Finance
Cira Perna Dipartimento di Scienze Economiche e Statistiche Universita` di Salerno, Italy Marilena Sibillo Dipartimento di Scienze Economiche e Statistiche Universita` di Salerno, Italy
Library of Congress Control Number: 2007933329 ISBN-13 978-88-470-0703-1 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 LATEX: PTP-Berlin, Protago TEX-Production GmbH, Germany (www.ptp-berlin.eu) Printing and Binding: Grafiche Porpora, Segrate (MI)
Preface
The MAF2006 Conference, organized at the University of Salerno, 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 http://www. 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 He
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