Financial Metrics Of

Iterated Function Systems IFS are a very nice way to formalize the notion of self-similarity or scale invariance of some mathematical objects. Hutchinson Hu81 and Barnsley and Demko Ba85, Ba89 and Ba97 showed how systems of contractive maps with associated probabilities can be used to construct fractal sets and measures. Many models in decision theory, economics, finance, image processing and statistics, involve these types of dynamic systems see Ia05, Ia051, Ia06, La06, La061 and Vr99 . The...

Liability Adequacy Test and Contingency Reserve

The International Financial Reporting Standard 4 IFRS4 for insurance contracts requires a liability adequacy test, whose essentials are given in IFRS4.15, which states an insurer sha11 assess at each reporting date whether its recognized insurance 1ia-bi1ities are adequate, using current estimates of future cash flow under its insurance contracts. If that assessment shows that the carrying amount of its insurance 1iabi1-ities 1ess re1ated deferred acquisition costs and re1ated intangib1e assets...

Introduction

Since the pioneering work by MAN63 , the scaling properties of financial returns have become the subject of a growing number of contributions for both theoretical and practical reasons. From a theoretical viewpoint, scaling invariance implies the absence of preferred investment time horizons and the consequent universality and parsimony of the model practical advantages concern the possibility of building models stable under aggregation, analytically simple and governed by a small number of...

Spatial Aggregation Method for Scenario Tree Reduction

The reduction in the dimension of the scenario tree, used to describe the random data in a stochastic programming problem, is often required in order to be able to solve numerically the resulting optimization problem. In this contribution we focus on a spatial reduction approach proposed by GKHR03 which is based on the use of probability metrics. We consider a given scenario tree which describes or even approximates the stochastic component of the problem and we purpose to reduce the dimension...

List of Contributors

University of Naples attardi unina.it University of Trieste bacinel units.it University of Venice d.barro unive.it University of Molise campana unimol.it University of Venice canestre unive.it University of Venice mcardin unive.it Rocco Roberto Cerchiara University of Calabria University of Rome La Sapienza roy.cerqueti uniroma1.it University of Venice ciurlia unive.it University of Naples Federico II rosa.cocozza unina.it University of Milan cinzia.colapinto unimi.it University of Naples...