Contents
Least Squares Predictors for Threshold Models: Properties and Forecast
Evaluation
Alessandra Amendola, Marcella Niglio and Cosimo Vitale . ... .. ... ... ... .. 1
Estimating Portfolio Conditional Returns Distribution Through Style
Analysis Models
Laura Attardi and Domenico Vistocco ... ... .. ... ... ... ... .. ... ... ... ..    11
A Full Monte Carlo Approach to the Valuation of the Surrender Option
Embedded in Life Insurance Contracts
Anna Rita Bacinello  ... ... ... .. ... ... ... .. ... ... ... ... .. ... ... ... ..    19
Spatial Aggregation in Scenario Tree Reduction
Diana Barro, Elio Canestrelli and Pierangelo Ciurlia  . ... ... .. ... ... ... ..    27
Scaling Laws in Stock Markets. An Analysis of Prices and Volumes
Sergio Bianchi and Augusto Pianese  . ... ... .. ... ... ... ... .. ... ... ... ..    35
Bounds for Concave Distortion Risk Measures for Sums of Risks
Antonella Campana and Paola Ferretti  .. ... .. ... ... ... ... .. ... ... ... ..    43
Characterization of Convex Premium Principles
Marta Cardin and Graziella Pacelli .. ... ... .. ... ... ... ... .. ... ... ... ..    53
FFT, Extreme Value Theory and Simulation to Model Non-Life
Insurance Claims Dependences
Rocco Roberto Cerchiara .. ... .. ... ... ... .. ... ... ... ... .. ... ... ... ..    61
Dynamics of Financial Time Series in an Inhomogeneous Aggregation
Framework
Roy Cerqueti and Giulia Rotundo  ... ... ... .. ... ... ... ... .. ... ... ... ..    67
 VIII Contents
A Liability Adequacy Test for Mathematical Provision
Rosa Cocozza, Emilia Di Lorenzo, Abina Orlando and Marilena Sibillo . ... ..    75
Iterated Function Systems, Iterated Multifunction Systems, and
Applications
Cinzia Colapinto and Davide La Torre  .. ... .. ... ... ... ... .. ... ... ... ..    83
Remarks on Insured Loan Valuations
Mariarosaria Coppola, Valeria D’Amato and Marilena Sibillo  .. ... ... ... ..    91
Exploring the Copula Approach for the Analysis of Financial Durations
Giovanni De Luca, Giorgia Rivieccio and Paola Zuccolotto . .. .. ... ... ... ..    99
Analysis of Economic Fluctuations: A Contribution from Chaos Theory
Marisa Faggini . ... ... ... ... .. ... ... ... .. ... ... ... ... .. ... ... ... .. 107
Generalized Influence Functions and Robustness Analysis
Matteo Fini and Davide La Torre . ... ... ... .. ... ... ... ... .. ... ... ... .. 113
Neural Networks for Bandwidth Selection in Non-Parametric Derivative
Estimation
Francesco Giordano and Maria Lucia Parrella . ... ... ... ... .. ... ... ... .. 121
Comparing Mortality Trends via Lee-Carter Method in the Framework of Multidimensional Data Analysis
Giuseppe Giordano, Maria Russolillo and Steven Haberman   . .. ... ... ... .. 131
Decision Making in Financial Markets Through Multivariate Ordering
Procedure
Luca Grilli and Massimo Alfonso Russo  . ... .. ... ... ... ... .. ... ... ... .. 139
A Biometric Risks Analysis in Long Term Care Insurance
Susanna Levantesi and Massimiliano Menzietti . ... ... ... ... .. ... ... ... .. 149
Clustering Financial Data for Mutual Fund Management
Francesco Lisi and Marco Corazza  .. ... ... .. ... ... ... ... .. ... ... ... .. 157
Modeling Ultra-High-Frequency Data: The S&P 500 Index Future
Marco Minozzo and Silvia Centanni  . ... ... .. ... ... ... ... .. ... ... ... .. 165
Simulating a Generalized Gaussian Noise with Shape Parameter 1/2
Martina Nardon and Paolo Pianca  .. ... ... .. ... ... ... ... .. ... ... ... .. 173
Further Remarks on Risk Profiles for Life Insurance Participating
Policies
Albina Orlando and Massimiliano Politano . . .. ... ... ... ... .. ... ... ... .. 181
Classifying Italian Pension Funds via GARCH Distance
Edoardo Otranto and Alessandro Trudda  ... .. ... ... ... ... .. ... ... ... .. 189
 Contents IX
The Analysis of Extreme Events – Some Forecasting Approaches
Massimo Salzano  .. ... ... ... .. ... ... ... .. ... ... ... ... .. ... ... ... .. 199
Subject Index ... .. ... .. ... .. ... .. ... .. ... .. ... .. ... .. ... .. ... .. ... .  207
Author Index  ... .. ... .. ... .. ... .. ... .. ... .. ... .. ... .. ... .. ... .. ... .  209