Contents
Impact of interest rate risk on the Spanish banking sector
Laura Ballester, Rom ́an Ferrer, and Crist ́obal Gonz ́alez................... 1
Tracking error with minimum guarantee constraints
Diana Barro and Elio Canestrelli..................................... 13
Energy markets: crucial relationship between prices
Cristina Bencivenga, Giulia Sargenti, and Rita L. D’Ecclesia.............. 23
Tempered stable distributions and processes in finance:
numerical analysis
Michele Leonardo Bianchi, Svetlozar T. Rachev, Young Shin Kim,
and Frank J. Fabozzi............................................... 33
Transformation kernel estimation of insurance claim cost distributions
Catalina Bolanc ́e, Montserrat Guill ́en, and Jens Perch Nielsen............. 43
What do distortion risk measures tell us on excess of loss reinsurance
with reinstatements?
Antonella Campana and Paola Ferretti................................ 53
Some classes of multivariate risk measures
Marta Cardin and Elisa Pagani...................................... 63
Assessing risk perception by means of ordinal models
Paola Cerchiello, Maria Iannario, and Domenico Piccolo................. 75
A financial analysis of surplus dynamics for deferred life schemes
Rosa Cocozza, Emilia Di Lorenzo, Albina Orlando, and Marilena Sibillo..... 85
Checking financial markets via Benford’s law: the S&P 500 case
Marco Corazza, Andrea Ellero and Alberto Zorzi........................ 93