Mathematical and Statistical Methods for Actuarial Sciences and Finance MAF 2016 /

• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Άλλοι συγγραφείς: Corazza, Marco (Επιμελητής έκδοσης), Legros, Florence (Επιμελητής έκδοσης), Perna, Cira (Επιμελητής έκδοσης), Sibillo, Marilena (Επιμελητής έκδοσης)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2017.
• Θέματα: Mathematics.; Finance.; Economics, Mathematical.; Actuarial science.; Statistics.; Macroeconomics.; Actuarial Sciences.; Quantitative Finance.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Macroeconomics/Monetary Economics//Financial Economics.; Finance, general.

This volume gathers selected peer-reviewed papers presented at the international conference "MAF 2016 – Mathematical and Statistical Methods for Actuarial Sciences and Finance”, held in Paris (France) at the Université Paris-Dauphine from March 30 to April 1, 2016. The contributions highlight n...

Πίνακας περιεχομένων:

• 1 The effects of credit rating announcements on bond liquidity: An event study
• 2 The effect of credit rating events on the emerging CDS market
• 3 A generalised linear model approach to predict the result of research evaluation
• 4 Projecting dynamic life tables using Data Cloning
• 5 Markov switching GARCH models: Filtering, approximations and duality
• 6 A network approach to risk theory and portfolio selection
• 7 A PSO-based approach for improving simple trading systems
• 8 Provisions for outstanding claims with distance-based generalized linear models
• 9 Profitability vs. attractiveness within a performance analysis of a life annuity business
• 10 Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure
• 11 Modeling volatility risk premium
• 12 Covered call writing and framing: A cumulative prospect theory approach
• 13 Optimal portfolio selection for an investor with asymmetric attitude to gains and losses.