Mathematical and Statistical Methods for Actuarial Sciences and Finance MAF 2018 /
The interaction between mathematicians, statisticians and econometricians working in actuarial sciences and finance is producing numerous meaningful scientific results. This volume introduces new ideas, in the form of four-page papers, presented at the international conference Mathematical and Stati...
| Συγγραφή απο Οργανισμό/Αρχή: | |
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| Άλλοι συγγραφείς: | , , , , |
| Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
| Γλώσσα: | English |
| Έκδοση: |
Cham :
Springer International Publishing : Imprint: Springer,
2018.
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| Έκδοση: | 1st ed. 2018. |
| Θέματα: | |
| Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- 1 M. Caporin, G. Bonaccolto and S. Paterlini, Conditional Autoregressive Quantile-Located Value-at-Risk
- 2 M. Galeotti, G. Rabitti and E. Vannucci, The Rearrangement algorithm of Puccetti and Rüschendorf: proving the convergence
- 3 R. Cesari and V. Mosco, Optimal Management of Immunized Portfolios
- 4 E. Russo, M. Costabile and I. Massabo, Evaluating variable annuities with GMWB when exogenous factors influence the policy-holder withdrawals
- 5 A. Jokiel-Rokita and R. Magiera, Estimation and prediction for the modulated power law process
- 6 M. De La O González and F. Jareño, Extensions of Fama and French models
- 7 A. Hitaj, L. Mercuri and E. Rroji, Stochastic mortality modelling: some extensions based on Lévy CARMA models
- 8 L. Ballester, R. Fernández and A. González-Urteaga, An empirical analysis of the lead lag relationship between the CDS and stock market: Evidence in Europe and US
- 9 I.L. Amerise, Automatic detection and imputation of outliers in electricity price time series
- 10 F. Giordano, M. Niglio and M. Restaino, Variable selection in estimating bank default
- 11 F. Jareño, M.Á. Medina, M. Tolentino and M. De La O González, European Insurers: Interest Rate Risk Management
- 12 M. Corazza and C. Nardelli, Comparing possibilistic portfolios to probabilistic ones
- 13 M. Maggi and P. Uberti, Google searches for portfolio management: a risk and return analysis
- 14 M.C. Schisani, M.P. Vitale and G. Ragozini, Financial Networks and Mechanisms of Business Capture in Southern Italy over the First Global Wave (1812-1913). A Network Approach
- 15 H. Gzyl, S. Mayoral and E. P. Gomes, Loss data analysis with maximum entropy
- 16 I.D.Fabián, P. Devolder, J. A. Herce and F. Del Olmo, A two-steps mixed pension system: An aggregate analysis
- 17 D. Atance and E. Navarro, A Single Factor Model for Constructing Dynamic Life Tables
- 18 L. Sanchis, J.M. Montero and G. Fernández-Avilés, Downside risk co-movement in commodity markets during distress periods. A Multidimensional scaling approach
- 19 G. Caivano and S. Bonini, Probability of Default Modeling: A Machine Learning Approach
- 20 S. Corsaro, V. De Simone, Z. Marino and F. Perla, Numerical solution of the regularized portfolio selection problem
- 21 N. Ahlgren and P. Catani, Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors
- 22 M. De La O Gonzalez, F. Jareño and C. El Haddouti Ben Ali, The Islamic Financial Industry. Performance of Islamic vs. conventional sector portfolios
- 23 L. Invernizzi and V. Magatti, Could Machine Learning predict the Conversion in Motor Business?
- 24 S. Albosaily and S. Pergamenshchikov, The optimal investment and consumption for financial markets generated by the spread of risky assets for the power utility
- 25 M.E. De Giuli, M. Neffelli and M. Resta, An Integrated Approach to Explore the Complexity of Interest Rates Network Structure
- 26 I. Fuente, E. Navarro and G. Serna, Estimating regulatory capital requirements for reverse mortgages. An international comparison
- 27 L. Gómez-Valle and J. Martínez-Rodríguez, Real-world versus neutral risk measures in the estimation of an interest rate model with stochastic volatility
- 28 G. Apicella, M. Dacorogna, E. Di Lorenzo and M. Sibillo, Improving Lee-Carter forecasting: methodology and some results
- 29 V. D'amato, A. Diaz, E. Di Lorenzo, E. Navarro and M. Sibillo, What if two different interest rates datasets allow for discribing the same financial product?
- 30 V. D'Amato, E. Di Lorenzo, M. Sibillo and R. Tizzano, Money purchase" pensions: contract proposals and risk analysis
- 31 K. Colaneri, S. Herzel and M. Nicolosi, The value of information for optimal portfolio management
- 32 N. Loperfido, Kurtosis Maximization for Outlier Detection in GARCH Models
- 33 A. Berti and N. Loperfido, An Extension of Multidimensional Scaling to Several Distance Matrices, and its Application to the Italian Banking Sector
- 34 C. Franceschini, Exploratory Projection Pursuit for Multivariate Financial Data
- 35 I. Albarrán Lozano, P. J. Alonso-González and A. Grané, Using deepest dependency paths to enhance life expectancy estimation
- 36 L. Rossini, M. Billio and R. Casarin, Bayesian nonparametric sparse Vector Autoregressive models
- 37 P. Angulo, V. Gallego, D. Gómez Ullate and P. Suárez, Bayesian Factorization Machines for Risk Management and Robust Decision Making
- 38 M. Coppola, M. Russolillo and R. Simone, Risk and Uncertainty for Flexible Retirement Schemes
- 39 G. Giordano, S. Haberman and M. Russolillo, Empirical Evidence from the Three-way LC model
- 40 A. Diaz and G. Garrido Sanchez, Socially Responsible Ratings and Financial Performance
- 41 M. Bernardi and M. Costola, Sparse causality networks through regularised regressions
- 42 J. Iñaki De La Peña and N. Peña-Miguel, A Basic Social Pension for Everyone?
- 43 M.C. Fernandez-Ramos, J. Iñaki De La Peña, A. T. Herrera, I. Iturricastillo and N.Peña-Miguel, Helping Long Term Care coverage via differential on mortality?
- 44 N. Peña-Miguel, M.C. Fernández-Ramos and J. Iñaki De La Peña, A minimum pension for older people via expenses rate
- 45 S. Bonini and G. Caivano, Risk/Return analysis on credit exposure: do small banks really apply a pricing risk-based on their loans?
- 46 M. Pacella, F. Giordano and M.L. Parrella, Multiple testing for different structures of Spatial Dynamic Panel Data models
- 47 M. Billio, R. Casarin, M. Costola and L. Frattarolo, Disagreement in Signed Financial Networks
- 48 M. González-Fernández and C. González-Velasco, Do Google trends help to forecast sovereign risk in Europe?
- 49 F. Battaglia, D. Cucina and M.l Rizzo, Periodic autoregressive models with multiple structural changes by genetic algorithms
- 50 G. Albano, M. La Rocca and C. Perna, Small Sample Analysis in Diffusion Processes: a Simulation Study
- 51 M. Corazza and C. Pizzi, Some critical insights on the unbiased efficient frontier à la Bodnar & Bodnar
- 52 G. De Luca, G. Rivieccio and S. Corsaro, A copula-based quantile model
- 53 M. Billio, R. Casarin and M. Iacopini, Bayesian Tensor Binary Regression
- 54 F. Baione, D. Biancalana, P. De Angelis and I. Granito, Dynamic policyholder behaviour and surrender option evaluation for life insurance
- 55 A. Amendola, M. Braione, V. Candila and G. Storti, Combining multivariate volatility models
- 56 A. Bernardi and M. Bernardi, Two-Sided Skew and Shape Dynamic Conditional Score Models
- 57 F. Baione, D. Biancalana, P. De Angelis and I. Granito, An individual risk model for premium calculation based on quantile: a comparison between Generalized Linear Models and Quantile Regression
- 58 A. Díaz and C. Esparcia, Time-varying risk aversion. An application to European optimal portfolios
- 59 E. Boj Del Val and T. Costa Cor, Logistic classification for new policyholders taking into account prediction error
- 60 A. Caner Turkmen and A. Taylan Cemgil, Modeling High-Frequency Price Data with Bounded-Delay Hawkes Processes
- 61 F. Bartolucci, A. Cardinali and F. Pennoni, A generalized moving average convergence/divergence for testing semi-strong market efficiency
- 62 L. Crosato, L. Grossi and F. Nan, Forecasting the volatility of electricity prices by robust estimators: an application to the Italian market
- 63 D. Curcio, N. Borri, R. Cerrone and R. Cocozza, Life insurers' asset-liability dependency and low-interest-rate environment
- 64 M. Guillen and A. M. Pérez-Marín, The Contribution of Usage-based Data Analytics to benchmark Semi-autonomous Vehicle Insurance
- 65 P. Abad, A. Díaz, A. Escribano and M.D. Robles, The effect of rating contingent guidelines and regulation around credit rating news
- 66 P. Peinado, Disability Pensions in Spain: A Factor to Compensate Life-Time Losses
- 67 D. De Gaetano and M. Braione, Transmission of prices and price volatility in Australian electricity spot markets: A MGARCH-based forecast comparison
- 68 D. Barro, Optimal portfolio selection integrating non-financial criteria
- 69 R. Cerqueti, M. Giacalone and D. Panarello, A Generalized Error Distribution-based method for Conditional Value-at-Risk evaluation
- 70 M. Bernardi and P. Stolfi, Robust time-varying undirected graphs
- 71 J.L. Vilar-Zanón and O.
- Peraita-Ezcurra, Pricing illiquid assets by entropy maximization through linear goal programming
- 72 R. Casarin, M. Billio and M.
- Iacopini, Bayesian Tensor Regression Models
- 73 M. Bernardi and P. Stolfi, Approximate EM algorithm for sparse estimation of multivariate location--scale mixture of normal. 74 I. Albarrán Lozano, P. J. Alonso-González and J. De Vicente Maldonado, Links between mortality rates and economic activity: a DFM approach
- 75 C. De Rosa, E. Luciano and L. Regis, Geographic diversification in annuity portfolios
- 76 U. Fiore, Z. Marino, F. Perla, S. Scognamiglio and P. Zanetti, Tuning a Deep Learning Network on Solvency II: Preliminary Results
- 77 G. Albano and V. Giorno, Inference in a Non-Homogeneous Vasicek-Type Model
- 78 D. Arzu and G M. Mantovani, Research Project MAF: A Bank Specific Integrated Rating
- 79 G. Piscopo, A comparative analysis of neuro fuzzy infer-ence systems for mortality prediction
- 80 F. Gannon, F. Legros and V. Touze, Automatic Balancing Mechanisms in Practice: What lessons for pension policy makers?
- 81 A.R. Bacinello and I. Zoccolan, Variable Annuities with State-Dependent Fees
- 82 A. Masson, The challenges of wealth and its intergenerational transmission in an aging society
- 83 L. Catania, F. Ravazzolo and S. Grassi, Quantitative Risk Management for Cryptocurrencies
- 84 J. Lledo Benito, J. M. Pavía Miralles and F. G. Morillas Jurado, The Level Mortality in Insured Population
- 85 I. Chatterjee, M. Hao, A. Macdonald, P. Tapadar and R. Guy Thomas, When is utilitarian welfare higher under insurance risk pooling?
- 86 D. Cortes-.
