Preface
This volume collects a selection of refereed papers of the more than one hundred
presented at theInternational Conference MAF 2008 – Mathematical and Statistical
Methods for Actuarial Sciences and Finance.
The conference was organised by the Department of Applied Mathematics and
the Department of Statistics of the University Ca’ Foscari Venice (Italy), with the col-
laboration of the Department of Economics and Statistical Sciences of the University
of Salerno (Italy). It was held in Venice, from March 26 to 28, 2008, at the prestigious
Cavalli Franchetti palace, along Grand Canal, of theIstituto Veneto di Scienze, Lettere
ed Arti.
This conference was the first international edition of a biennial national series
begun in 2004, which was born of the brilliant belief of the colleagues – and friends –
of the Department of Economics and Statistical Sciences of the University of Salerno:
the idea following which the cooperation between mathematicians and statisticians
in working in actuarial sciences, in insurance and in finance can improve research on
these topics. The proof of this consists in the wide participation in these events. In
particular, with reference to the 2008 international edition:
- More than 150 attendants, both academicians and practitioners;
- More than 100 accepted communications, organised in 26 parallel sessions, from
authors coming from about twenty countries (namely: Canada, Colombia, Czech
Republic, France, Germany, Great Britain, Greece, Hungary, Ireland, Israel, Italy,
Japan, Poland, Spain, Sweden, Switzerland, Taiwan, USA); - two plenary guest-organised sessions; and
- a prestigious keynote lecture delivered by Professor Wolfgang H ̈ardle of the Hum-
boldt University of Berlin (Germany).
The papers published in this volume cover awide variety of subjects: actuarial mod-
els; ARCH and GARCH modelling; artificial neural networks in finance; copulæ;
corporate finance; demographic risk; energy markets; insurance and reinsurance;
interest rate risk; longevity risk; Monte Carlo approaches; mutual fund analysis;
non-parametric testing; option pricing models; ordinal models; probability distribu-
tions and stochastic processes in finance; risk measures; robust estimation in finance;