Mathematical and Statistical Methods for Actuarial Sciences and Finance

Corazza, Marco; Perna, Cira; Pizzi, Claudio; Sibillo, Marilena

Mathematical and Statistical Methods for Actuarial Sciences and Finance

Edited by Marco Corazza (), Cira Perna, Claudio Pizzi () and Marilena Sibillo ()

in Springer Books from Springer

Date: 2022
ISBN: 978-3-030-99638-3
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Chapters in this book:

Absolute and Relative Gender Gap in Pensions: The Impact of the Transition from DB to NDC in Italy: Antonio Abatemarco and Maria Russolillo
TPPI: Textual Political Polarity Indices. The Case of Italian GDP: Alessandra Amendola, Walter Distaso and Alessandro Grimaldi
Quantile Regression Forest for Value-at-Risk Forecasting Via Mixed-Frequency Data: Mila Andreani, Vincenzo Candila and Lea Petrella
Gender Attitudes Toward Longevity and Retirement Planning: Theory and Evidence: Giovanna Apicella and Enrico De Giorgi
Semiclassical Pricing of Variance Swaps in the CEV Model: Axel A. Araneda and Marcelo J. Villena
Indexing Pensions to Life Expectancy: Keeping the System Fair Across Generations: Mercedes Ayuso and Jorge Miguel Bravo
Dynamic Withdrawals and Stochastic Mortality in GLWB Variable Annuities: Anna Rita Bacinello, Rosario Maggistro and Ivan Zoccolan
A Regression Based Approach for Valuing Longevity Measures: Anna Rita Bacinello, Pietro Millossovich and Fabio Viviano
On the Assessment of the Payment Limitation for an Health Plan: Fabio Baione, Davide Biancalana and Paolo De Angelis
Reference Dependence in Behavioral Portfolio Selection: Diana Barro, Marco Corazza and Martina Nardon
Pricing Rainfall Derivatives by Genetic Programming: A Case Study: Diana Barro, Francesca Parpinel and Claudio Pizzi
Estimation of the Gift Probability in Fund Raising Management: Luca Barzanti and Martina Nardon
The Estimation Risk in Credit Regulatory Capital: Roberto Baviera
Actuarial Fairness in Pension Systems: An Empirical Evaluation for Italy Using an OLG Model: Michele Belloni and Magdalena Zachlod-Jelec
Forecasting VIX with Hurst Exponent: Sergio Bianchi, Fabrizio Di Sciorio and Raffaele Mattera
Modelling H-Volatility with Fractional Brownian Bridge: Sergio Bianchi, Massimiliano Frezza, Augusto Pianese and Anna Maria Palazzo
Shapley Value in Partition Function Form Games: New Research Perspectives for Features Selection: Giovanna Bimonte and Luigi Senatore
Nonparametric Estimation of Range Value at Risk: Suparna Biswas and Rituparna Sen
A Fixed Career Length Versus a Fixed Retirement Age: An Analysis per Socio-Economic Groups: M. Carmen Boado-Penas, Pierre Devolver, Şule Şahin and Carlos Sunyer
Nonparametric Test for Financial Time Series Comparisons: Stefano Bonnini and Michela Borghesi
Innovative Parametric Weather Insurance on Satellite Data in Agribusiness: Maria Carannante, Valeria D’Amato, Paola Fersini and Salvatore Forte
An Application of the Tensor-Based Approach to Mortality Modeling: Giovanni Cardillo, Paolo Giordani, Susanna Levantesi and Andrea Nigri
Cyber Risk: Estimates for Malicious and Negligent Breaches Distributions: Maria Francesca Carfora and Albina Orlando
Modeling and Forecasting Natural Gas Futures Prices Dynamics: An Integrated Approach: Oleksandr Castello and Marina Resta
Modelling Life Expectancy Gender Gap in a Multi-population Framework: Leonardo Cefalo, Susanna Levantesi and Andrea Nigri
Decision Making in Portfolio Optimization by Using a Tri-Objective Model and Decision Parameters: Tiziana Ciano and Massimiliano Ferrara
Bitcoin Price Prediction: Mixed Integer Quadratic Programming Versus Machine Learning Approaches: Marco Corazza and Giovanni Fasano
Verifying the Rényi Dependence Axioms for a Non-linear Bivariate Comovement Index: Marco Corazza, Elisa Scalco and Claudio Pizzi
Inflation Perceptions and Expectations During the Pandemic: A Model Based Approach: Marcella Corduas and Domenico Piccolo
A Proposal to Calculate the Regulatory Capital Requirements for Reverse Mortgages: Iván de la Fuente, Eliseo Navarro and Gregorio Serna
LTC of a Defined Benefit Employee Pension Scheme: J. Iñaki De La Peña, M. Cristina Fernández-Ramos, Asier Garayeta and Iratxe D. Martín
Socio-Economic Challenges at the Time of COVID-19: The Proactive Role of the Insurance Industry: Emilia Di Lorenzo, Elisabetta Scognamiglio, Marilena Sibillo and Roberto Tizzano
Feynman-Kac Formula for BSDEs with Jumps and Time Delayed Generators Associated to Path-Dependent Nonlinear Kolmogorov Equations: Luca Di Persio, Matteo Garbelli and Adrian Zalinescu
The Role of Stablecoins: Cryptocurrencies Sought Stability and Found Gold and Dollars: Antonio Díaz, Carlos Esparcia and Diego Huélamo
Interbank Networks and Liquidity Risk: Marina Dolfin, Leone Leonida and Eleonora Muzzupappa
Kendall Conditional Value-at-Risk: Fabrizio Durante, Aurora Gatto and Elisa Perrone
Daily Trading of the FTSE Index Using LSTM with Principal Component Analysis: David Edelman and David Mannion
A Hybrid Model Based on Stochastic Volatility and Machine Learning to Forecast Log Returns of a Risky Asset: Lorella Fatone, Francesca Mariani and Francesco Zirilli
Financial Time Series Classification by Nonparametric Trend Estimation: Giuseppe Feo, Francesco Giordano, Marcella Niglio and Maria Lucia Parrella
Differential Pursuit-Evasion Games and Space Economy: New Research Perspectives: Massimiliano Ferrara, Gafurjan Ibragimov and Bruno Antonio Pansera
Graphical Models for Commodities: A Quantile Approach: Beatrice Foroni, Luca Merlo and Lea Petrella
The Mardia’s Kurtosis of a Multivariate GARCH Model: Cinzia Franceschini and Nicola Loperfido
Automatic Balance Mechanisms in an NDC Pension System with Disability Benefits: Lorenzo Fratoni, Susanna Levantesi and Massimiliano Menzietti
Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance Mathematics: Rüdiger Frey and Verena Köck
Ergodic Behavior of Returns in a Buy Low and Sell High Type Trading Strategy: Hedvig Gál and Attila Lovas
Improving Decision Making Information: “Table 29” to an Actuarial Balance Sheet: Anne M. Garvey, Juan Manuel Pérez-Salamero González, Manuel Ventura-Marco and Carlos Vidal-Melia
Revisiting Risk Premia in Electricity Markets: Angelica Gianfreda and Giacomo Scandolo
A Semi-Markov Model for Stock Returns with Momentum and Mean-Reversion: Javier Giner and Valeriy Zakamulin
A Variable Selection Method for High-Dimensional Survival Data: Francesco Giordano, Sara Milito and Marialuisa Restaino
Ranking-Based Variable Selection for the Default Risk of Bank Loan Holders: Francesco Giordano, Marcella Niglio and Marialuisa Restaino
Exploring Non Linear Structures in Range-Based Volatility Time Series: Michele La Rocca and Cira Perna
Mortality Risk. Incorporating the New Seasonal-Ageing Index (SAI) into a Pricing Strategy: Josep Lledó and Jose M. Pavía
Credit Spreads, Leverage and Volatility: A Cointegration Approach: Federico Maglione
Business Intelligence Modelling for Studying Science Parks Externalities: Valentina Mallamaci and Massimiliano Ferrara
Surrender and Path-Dependent Guarantees in Variable Annuities: Integral Equation Solutions and Benchmark Methods: Antonio L. Martire, Emilio Russo and Alessandro Staino
Weather Index-Based Insurance in Agricultural Risk Management: Massimiliano Menzietti and Marco Pirra
Lattice Cryptalization and Cybersecurity: New Findings in Analyzing Cryptovalues Dynamics: Domenica Stefania Merenda and Massimiliano Ferrara
The Impact of Newspaper-Based Uncertainty Indices on Tail Risk Forecasting: Antonio Naimoli and Giuseppe Storti
The Impact of Collateralization on Longevity Swap Transactions: Selin Özen and Şule Şahin
Time-Varying Assets Clustering via Identity-Link Latent-Space Infinite Mixture: An Application on DAX Components: Antonio Peruzzi and Roberto Casarin
Demographic Risks Associated with a Tontine Investment: Peter Pflaumer
A Geographical Analysis of the Systemic Risk by a Compositional Data (CoDa) Approach: Francesco Porro
Jump-Telegraph Market Model: Barrier Binary Options: Nikita Ratanov
Estimating Recovery Curve for NPLs: Roberto Rocci, Alessandra Carleo and Maria Sole Staffa
An Application of the Pair-Copula Construction to a Non-life Dataset: Mariagrazia Rositano and Fabio Baione
New Insights on Loss Given Default for Shipping Finance: Parametric and Non-parametric Estimations: Aida Salko and Rita D’Ecclesia
Real R&D Options Under Sentimental Information Analysis: Domenico Santoro and Giovanni Villani
A Multi-population Locally-Coherent Mortality Model: Salvatore Scognamiglio
RVaR Hedging and Market Completions: Ilia Vasilev and Alexander Melnikov
External Spillover Index and Its Relation with GDP per Capita on European Countries: Xenxo Vidal-Llana, Jorge Uribe and Montserrat Guillen

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DOI: 10.1007/978-3-030-99638-3

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