| 1 I. Albarrn, P. Alonso, A.Arribas-Gil and A. Gran: Can personal dependency paths help to estimate life expectancy free of dependency? |
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| 2 A. Amendola and V. Candila: Evaluation of volatility forecasts in a VaR framework |
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| 3 A. Amendola and M. Restaino: Optimal cut-off points for multiple causes of business failure models |
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| 4 R. Baragona, F. Battaglia and D. Cucina: Maximum empirical likelihood inference for outliers in autoregressive time series |
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| 5 A. Basso and S. Funari: The role of fund size and returns to scale in the performance of mutual funds |
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| 6 M. Biancardi and G. Villani: A robustness analysis of least-squares monte carlo for r&d real options valuation |
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| 7 G. Bimonte and P. Spennati: The common pool problem of intergovernmental interactions and fiscal discipline: a Stackelberg approach |
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| 8 S. Boffelli and G. Urga: High -and low-frequency correlations in European government bond spreads and their macroeconomic drivers |
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| 9 S. Bonini and G. Caivano: Probability of default: a modern calibration approach |
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| 10 S. Bonini and G. Caivano: Development of a LGD model Basel2 compliant: a case study |
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| 11 S. Capecchi and D. Piccolo: Modelling the latent components of personal happiness |
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| 12 M. Caporin, L. Corazzini and M. Costola: Measuring the impact of behavioural choices on the market prices |
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| 13 M. Cardin: A note on natural risk statistics, OWA operators and generalized Gini functions |
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| 14 R. Cerchiara and V. Magatti: The estimation of standard deviation of premium risk under solvency 2. - 15 M. Coppola and V. D'Amato: The solvency capital requirement management for an insurance company |
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| 16 M. Corduas: Direct multi-step estimation and time series classification. - 17 V. D'Amato, S. Haberman, G. Piscopo and M. Russolillo: Alternative Assessments of the Longevity Trends |
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| 18 G. H. Dash, Jr. and N. Kajiji: Combinatorial nonlinear goal programming for ESG portfolio optimization and dynamic hedge management |
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| 19 A. Di Crescenzo, B. Martinucci and S. Zacks: On the geometric Brownian motion with alternating trend |
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| 20 E. Di Lorenzo, M. La Rocca, A. Orlando, C. Perna and M. Sibillo: Empirical evidences on predictive accuracy of survival models |
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| 21 R. Donati and M. Corazza: RedESTM, a risk measure in a Pareto-Levy stable framework with clustering |
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| 22 N. Ettore D'Ortona and G. Melisi: Run-off error in the outstanding claims reserves evaluation |
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| 23 S. Ferrando, A. Gonzalez, I. Degano, and M. Rahsepar: Trajectory based market models. Arbitrage and pricing intervals |
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| 24 G. Fig-Talamanca: A statistical test for the Heston model |
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| 25 F. Giordano, M. Niglio and C. Damiano Vitale: Threshold Random Walk structures in finance |
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| 26 J. Gogola: Stochastic mortality models. Application to CR mortality data |
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| 27 M. Harcek: Risk adjusted dynamic hedging strategies |
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| 28 A. Klani and F. Quittard-Pinon: Pricing and hedging variable annuities |
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| 29 D. G. Konstantinides and C. E. Kountzakis: Monetary risk functionals on Orlicz spaces produced by set-valued risk maps and random measures |
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| 30 N. Loperfido: A probability inequality related to Mardia's kurtosis |
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| 31 G. M. Mantovani, G. Coro, P. Gurisatti and M. Mestroni: Integrating industrial and financial analysis into a rating methodology for corporate risk detection: the case of the Vicenza manufacturing firms |
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| 32 L. Mercuri and E. Rroji: Risk measurement using the mixed tempered stable distribution |
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| 33 M. Mestroni, E. Basilico and G. Max Mantovani: Corporate finance... what else? The case of the productive chain networks in north-east Italy and the scaffolding finance adopted by their leader |
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| 34 A. Naccarato and P. Andrea: BEKK element-by-element estimation of a volatility matrix. A portfolio simulation |
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| 35 M. Nardon and P. Pianca: The effects of curvature and elevation of the probability weighting function on options prices |
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| 36 A. Ntamjokouen, S. Haberman and G. Consigli: A multivariate approach to project the long run relationship of mortality indices between Canadian provinces |
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| 37 A. Orlando, G. di Lorenzo and M. Politano: Measuring and managing the longevity risk: an empirical evidence from the Italian pension market |
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| 38 T. Paletta, A. Leccadito and R. Tunaru: Pricing and hedging basket options under shifted asymmetric jump-diffusion process |
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| 39 M. Resta: On a data mining framework for the identification of frequent pattern trends |
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| 40 D. Teneng and K. Parna: Risk processes with normal inverse gaussian claims and premiums |
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| 41 T. Uratani: A portfolio model for the risk management in public pension |
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| 42 R. Yves: Black Scholes option sensitivity using high order greeks |
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| 1 I. Albarrn, P. Alonso, A.Arribas-Gil and A. Gran: Can personal dependency paths help to estimate life expectancy free of dependency? |
|
| 2 A. Amendola and V. Candila: Evaluation of volatility forecasts in a VaR framework |
|
| 3 A. Amendola and M. Restaino: Optimal cut-off points for multiple causes of business failure models |
|
| 4 R. Baragona, F. Battaglia and D. Cucina: Maximum empirical likelihood inference for outliers in autoregressive time series |
|
| 5 A. Basso and S. Funari: The role of fund size and returns to scale in the performance of mutual funds |
|
| 6 M. Biancardi and G. Villani: A robustness analysis of least-squares monte carlo for r&d real options valuation |
|
