Università degli Studi di Salerno
Dipartimento di Scienze Economiche e Statistiche

Convegno MAF 2006

Metodi Matematici e Statistici per le Assicurazioni e la Finanza

11, 12, 13 Ottobre 2006
Università degli Studi di Salerno


Logo MAF 2006
Home
Programma
Eventi Sociali
Alberghi
Contatti

Organizzazione
Informazioni Generali
Info per gli autori
Registrazione
News



Level A conformance icon, W3C-WAI Web Content Accessibility Guidelines 1.0
Programma del Convegno

Wednesday, October 11th

9.30 - 11.00 Registration and welcome
11.00 – 11.30 Opening
11.30 – 12.45 ORGANIZED SESSION 1
(Multi)fractional models for financial dynamics
Chair and Guest Organizer: Bianchi S.

Bianchi S., Pianese A.
Scaling Laws in Stock Markets.An analysis of prices and volumes

Cerqueti R., Rotundo G.
Dynamics of financial time series in an inhomogeneous aggregation framework

Corazza M., Nardelli C.
A fractional differo-integral approach for fractal compound financial laws

Resta M.
On the informative content of dynamic Hurst exponents: a comparison among different techniques
12.45 – 14.00 Lunch
14.00 – 14.45 Keynote lecture
Chairman: Sibillo M.

Barone Adesi G.
Università della Svizzera Italiana
GARCH options in incomplete markets
14.45 – 16.00 CONTRIBUTED SESSION 1
Financial duration and immunization strategy
Chair: Bacinello A.

De La O Gonzalez M., Diaz A., Navarro E.
Testing contingent immunization: evidence from the Spanish treasury market

De Luca G., Rivieccio G., Zuccolotto P.
Exploring the copula approach for the analysis of financial durations

Díaz A., Tolentino M.
Risk measures for bonds with embedded options from different consistent term structure of interest rates models

Jareño F., Navarro E.
Stock Duration and Inflation Shocks
16.00-17.00 ORGANIZED SESSION 2
Tecniche parametriche e non parametriche nell'analisi di dati finanziari
Chair and Organizer: Pizzi C.

Bonollo M., Provedel A., Bissaro A.
The Market Parameters Management from Front Office to Back Office Software Systems: Methodology, Application features, Solutions

Cavaliere G.
Volatility breaks and persistence in financial time series

Mancuso D.
Support vector machines per la regressione: una applicazione al mercato mobiliare italiano
17.00 – 17.15 Coffee break
17.15 - 18.30 CONTRIBUTED SESSION 2
Time series models in finance
Chair: Battaglia F.

Amendola A., Niglio M., Vitale C.
Least square predictors for threshold models: properties and forecast evaluation

Bordignon S., Raggi D.
Inference for Stochastic Volatility models: a sequential approach

Starica C., Ferulano R.
Previsione di volatilità: un nuovo approccio non-parametrico

Zirilli F.
Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices
20.00 Jazz Orchestra of the University of Salerno in concert

Thursday, October 12th

9.00 – 9.45 Keynote lecture
Chairman: La Rocca M.

Wolf M.
University of Zurich
Multiple Testing Based on Generalized Error Rates with an Application to Hedge Fund Evaluation
9.45 – 10.00 Coffee break
10.00 – 11.15 ORGANIZED SESSION 3
Actuarial models for valuation and management of insurance risk
Chair and Guest Organizer: De Angelis P.

Fortunati A.
Metodi numerici per la solvibilità dei Fondi Pensione

Baione F.
Obbligazioni strutturate collegate allo smontamento delle riserve sinistri

Levantesi S., Menzietti M.
A biometric risks analysis in Long Term Care Insurance

Campana C., Ferretti P.
On Bounds for Concave Distortion Risk Measures for Sums of Risks
11.15– 12.45 CONTRIBUTED SESSION 3
Quantitative tools in economics
Chair: Canestrelli E.

Acciaio B.
Optimal Risk Sharing with Non-Monotone Monetary Functions

Cerqueti R., Costantini M.
Speculative bubbles under cross sectional dependence

Faggini M.
Analysis of Economic Fluctuations: a contributions from Chaos Theory

La Torre D.
Approximating by iterated function systems and iterated multifunction systems

Salzano M.
Large events analysis and tools for economic policy
12.45 – 14.00 Lunch
14.00 – 15.15 CONTRIBUTED SESSION 4
Mathematical and statistical methods for financial choices
Chair: Pianca P.

Barro D., Canestrelli E., Ciurlia P.
Optimal scenario tree reduction for financial optimization problems

Fini M., La Torre D.
Robustness by generalized Influence Functions: a new approach

Nardon M., Pianca P.
Monte Carlo simulation of generalized Gaussian densities

Vistocco D.
On the Use of Quantile Regression for Financial Portfolios’ Style Analysis
15.15 – 16.15 CONTRIBUTED SESSION 5
Multivariate analysis in finance and insurance
Chair: Amendola A.

Baragona R., Battaglia F.
New proposals in multivariate outliers identification

Giordano G., Russolillo M., Haberman S.
Comparing mortality trends via Lee Carter method in the framework of multidimensional data analysis

Grilli L., Russo M.A.
Decision Making in Financial Markets by Means of a Multivariate Ordering Procedure
16.15 – 16.30 Coffee break
16.30 – 17.45 CONTRIBUTED SESSION 6
Premiums and reserves
Chair: Di Lorenzo E.

Cardin M., Pacelli G.
On characterization of convex premium principles

Cerchiara R.R.
Fast fourier transform, extreme value theory e simulazione nell’analisi della dipendenza tra normal e large claims di una compagnia di assicurazioni danni

Coppola M., D’Amato V., Sibillo M.
The fair value of the insured loan portfolio scheduled at variable interest rates

D’Ortona N.E.
Il metodo di Fisher e Lange per la stima della riserva sinistri
20.30 Social Dinner

Friday, October 13th

9.00 – 10.00 ORGANIZED SESSION 4
Options and choices for the beneficiaries of pension and insurance products
Chair and Guest Organizer: Olivieri A.

Bacinello A.R.
A full Monte Carlo approach to the valuation of the surrender option embedded in life insurance contracts

Belloni M.
Retirement choices in Italy: what an option value model can tell us

Pitacco E.
Funding post-retirement income
10.00 – 10.15 Coffee break
10.15 – 11.15 CONTRIBUTED SESSION 7
Financial and pension funds
Chair: Pitacco E.

Lisi F., Corazza M., Bernardi D.
Metodi quantitativi per la gestione automatica di fondi comuni

Martinelli F., Astolfi G., Marafin S.
Fixed Income Performance Attribution Models

Otranto E., Trudda A.
Classifying the Italian pension funds via GARCH distance
11.15 – 12.45 CONTRIBUTED SESSION 8
Financial markets
Chair: Navarro E.

Centanni S., Minozzo M.
Modeling ultra-high-frequency data: the S&P 500 future index

Corazza M., Malliaris A.G., Scalco E.
Non-linear modellization of bivariate asset prices comovements and applications

Díaz A., Jareño F.
Inflation news and stock returns: a sectorial analysis of the Spanish case

Ferrer R., Gonzalez C., Jorda P.
Financial Integration of the Spanish Mortgage Market and Capital Markets

Giordano F., Parrella M.L.
Le reti neurali per la scelta della finestra nella stima nonparametrica di derivate
12.45 – 14.00 Lunch
14.00 – 15.15 CONTRIBUTED SESSION 9
Capital management in insurance business
Chair: Corazza M.

Bisignani R., Masala G., Micocci M.
Economic capital management for insurance companies using conditional value at risk and a copula approach

Cerrone R., Di Tommasi E.
Adeguatezza patrimoniale e controllo dei rischi nelle compagnie di assicurazione:il progetto Solvency II

Cocozza R., Di Lorenzo E., Orlando A., Sibillo M.
A liability adequacy test for mathematical provision

Orlando A., Politano M.
Further Remarks on Risk Profiles for Life Insurance Participating Policies.
15.15 Closing


Scarica Programma MAF2006