Mathematical and Statistical Methods for Actuarial Sciences and Finance

104 P. Coretto and M.L. Parrella The famous Fama-MacBeth contribution (and the following) tests the linear spec- ification again ...

Empirical likelihood based nonparametric testing for CAPM 105 On the basis of these assumptions we can derive a model that relat ...

106 P. Coretto and M.L. Parrella 2.3 The parametric step We complete the first step by using the same methodology developed by F ...

Empirical likelihood based nonparametric testing for CAPM 107 where{ξjA,p}j= 1 , 2 ,...,Sis an i.i.d. sequence of random variabl ...

108 P. Coretto and M.L. Parrella The Nadaraya-Watson estimator of the regression functionm(x)is given by mˆh(x)= ∑S j= 1 Rj,p+^1 ...

Empirical likelihood based nonparametric testing for CAPM 109 As shown in theorem 1, the empirical log-likehood ratio is asympto ...

110 P. Coretto and M.L. Parrella Ta b le 1 .Percentage of testing periods for each specified model and window when cases 1–4 occ ...

Empirical likelihood based nonparametric testing for CAPM 111 periods we validate the linearity of the regression function, but ...

112 P. Coretto and M.L. Parrella Chen, S., Qin, Y.S.: Empirical likelihood confidence intervals for local linear smoothers. Bio ...

Lee-Carter error matrix simulation: heteroschedasticity impact on actuarial valuations Valeria D’Amato and Maria Russolillo Abst ...

114 V. D’Amato and M. Russolillo describing the log of a time series of age-specific death ratesmx,tas the sum of an age-specifi ...

Lee-Carter error matrix simulation 115 in each age group. In particular, we wish to determine the hypothetical pattern of κtby i ...

116 V. D’Amato and M. Russolillo Ta b le 1 .Different dispersion indices to analyse the residuals’ variability Age IQ Range MAD ...

Lee-Carter error matrix simulation 117 Fig. 2.κtresulting from different experimental conditions: the age group (on the rows) an ...

118 V. D’Amato and M. Russolillo In Figure 3, where on thex-axis there are the years from 1950 to 2000 and on the y-axis there a ...

Lee-Carter error matrix simulation 119 As regards the former, we assume that the deposited portfolio funds earn at the finan- ci ...

120 V. D’Amato and M. Russolillo Fig. 5.Portfolio of 1000 pension annuities,x=45,t=20,r=100. Fixed rate at 3% description, in th ...

Lee-Carter error matrix simulation 121 better survival probabilities. In particular, in this figure is represented the portfolio ...

122 V. D’Amato and M. Russolillo References Box, G.E.P., Draper, N.R.: Empirical Model Building and Response Surfaces. Wiley, N ...

Estimating the volatility term structure Antonio D ́ıaz, Francisco Jareno, and Eliseo Navarro ̃ Abstract.In this paper, we proce ...