Mathematical and Statistical Methods for Actuarial Sciences and Finance

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A financial analysis of surplus dynamics for deferred life schemes∗ Rosa Cocozza, Emilia Di Lorenzo, Albina Orlando, and Marilen ...

86 R. Cocozza et al. order to exemplify the potential of the model. In this paper deferred schemes are selected considering that ...

A financial analysis of surplus dynamics for deferred life schemes 87 the ratio of the CVaR ofStminusSt− 1 to thet−1 result can ...

88 R. Cocozza et al. The value of the business at timetis expressed by the portfolio surplusStat that time, that is the stochast ...

A financial analysis of surplus dynamics for deferred life schemes 89 We focus on capturing the impact on the financial position ...

90 R. Cocozza et al. are independent and identically distributed. As far as the premiums are concerned, we build up the cash flo ...

A financial analysis of surplus dynamics for deferred life schemes 91 Ta b le 1 .Surplus behaviour and related parameters Time E ...

92 R. Cocozza et al. the financial dynamics, the first extension could be the inclusion of a demographic component and the model ...

Checking financial markets via Benford’s law: the S&P 500 case Marco Corazza, Andrea Ellero and Alberto Zorzi Abstract.In ge ...

94 M. Corazza, A. Ellero and A. Zorzi guess that the first significant digit of financial prices/returns follows Benford’s law i ...

Checking financial markets via Benford’s law: the S&P 500 case 95 digit of such prices/returns should follow the Benford dis ...

96 M. Corazza, A. Ellero and A. Zorzi 4.1 Overall analysis Here we compare the overall probability distributions of the first si ...

Checking financial markets via Benford’s law: the S&P 500 case 97 looking at chi-square as a distance, the empirical probabi ...

98 M. Corazza, A. Ellero and A. Zorzi We deepen our analysis taking into account also a confidence levelαequal to 1% (we recall ...

Checking financial markets via Benford’s law: the S&P 500 case 99 Ta b le 2 .Most rejected days and related calculated chi-s ...

100 M. Corazza, A. Ellero and A. Zorzi These results show that the S&P 500 stock market was subject to anomalous activities ...

Checking financial markets via Benford’s law: the S&P 500 case 101 5 Conclusions To the best of our knowledge, several aspec ...

102 M. Corazza, A. Ellero and A. Zorzi Newcomb, S.: Note on the frequency of use of the different digits in natural numbers. Am ...

Empirical likelihood based nonparametric testing for CAPM Pietro Coretto and Maria Lucia Parrella Abstract.The Capital Asset Pri ...