Mathematical and Statistical Methods for Actuarial Sciences and Finance

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

Mathematical and Statistical Methods for Actuarial Sciences and Finance

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

in Springer Books from Springer

Date: 2021
ISBN: 978-3-030-78965-7
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Chapters in this book:

A Comparison Among Alternative Parameters Estimators in the Vasicek Process: A Small Sample Analysis: Giuseppina Albano, Michele La Rocca and Cira Perna
On the Use of Mixed Sampling in Modelling Realized Volatility: The MEM–MIDAS: Alessandra Amendola, Vincenzo Candila, Fabrizio Cipollini and Giampiero Gallo
Simultaneous Prediction Intervals for Forecasting EUR/USD Exchange Rate: Ilaria Lucrezia Amerise and Agostino Tarsitano
An Empirical Investigation of Heavy Tails in Emerging Markets and Robust Estimation of the Pareto Tail Index: Joseph Andria and Giacomo di Tollo
Potential of Reducing Crop Insurance Subsidy Based on Willingness to Pay and Random Forest Analysis: Rahma Anisa, Dian Kusumaningrum, Valantino Agus Sutomo and Ken Seng Tan
A Stochastic Volatility Model for Optimal Market-Making: Zubier Arfan and Paul Johnson
Method for Forecasting Mortality Based on Key Rates: David Atancd, Alejandro Balbas and Eliseo Navarro
Resampling Methods to Assess the Forecasting Ability of Mortality Models: David Atance, Ana Debón and Eliseo Navarro
Portfolio Optimization with Nonlinear Loss Aversion and Transaction Costs: Alessandro Avellone, Anna Maria Fiori and Ilaria Foroni
Monte Carlo Valuation of Future Annuity Contracts: Anna Rita Bacinello, Pietro Millossovich and Fabio Viviano
A Risk Based Approach for the Solvency Capital Requirement for Health Plans: Fabio Baione, Davide Biancalana and Paolo De Angelis
An Application of Zero-One Inflated Beta Regression Models for Predicting Health Insurance Reimbursement: Fabio Baione, Davide Biancalana and Paolo De Angelis
Periodic Autoregressive Models for Stochastic Seasonality: Roberto Baragona, Francesco Battaglia and Domenico Cucina
Behavioral Aspects in Portfolio Selection: Diana Barro, Marco Corazza and Martina Nardon
Stochastic Dominance in the Outer Distributions of the $$\alpha $$ α -Efficiency Domain: Sergio Bianchi, Augusto Pianese, Massimiliano Frezza and Anna Maria Palazzo
Formal and Informal Microfinance in Nigeria. Which of Them Works?: Marinella Boccia
Conditional Quantile Estimation for Linear ARCH Models with MIDAS Components: Vincenzo Candila and Lea Petrella
Modelling Topics of Car Accidents Events: A Text Mining Approach: Gabriele Cantaluppi and Diego Zappa
A Bayesian Generalized Poisson Model for Cyber Risk Analysis: Giulia Carallo, Roberto Casarin and Christian P. Robert
Implementation in R and Matlab of Econometric Models Applied to Ages After Retirement in Europe: Patricia Carracedo and Ana Debón
Machine Learning in Nested Simulations Under Actuarial Uncertainty: Gilberto Castellani, Ugo Fiore, Zelda Marino, Luca Passalacqua, Francesca Perla, Salvatore Scognamiglio and Paolo Zanetti
Comparing RL Approaches for Applications to Financial Trading Systems: Marco Corazza, Giovanni Fasano, Riccardo Gusso and Raffaele Pesenti
MFG-Based Trading Model with Information Costs: Marco Corazza, Rosario Maggistro and Raffaele Pesenti
Trading System Mixed-Integer Optimization by PSO: Marco Corazza, Francesca Parpinel and Claudio Pizzi
A GARCH-Type Model with Cross-Sectional Volatility Clusters: Pietro Coretto, Michele La Rocca and Giuseppe Storti
A Lattice Approach to Evaluate Participating Policies in a Stochastic Interest Rate Framework: Massimo Costabile, Ivar Massabó, Emilio Russo and Alessandro Staino
Multidimensional Visibility for Describing the Market Dynamics Around Brexit Announcements: Elena Giuli, Andrea Flori, Daniela Lazzari and Alessandro Spelta
Risk Assessment in the Reverse Mortgage Contract: Emilia Lorenzo, Gabriella Piscopo, Marilena Sibillo and Roberto Tizzano
Neural Networks to Determine the Relationships Between Business Innovation and Gender Aspects: Giacomo Tollo, Joseph Andria and Stoyan Tanev
Robomanagement $$^\mathrm{{TM}}$$ TM: Virtualizing the Asset Management Team Through Software Objects: Riccardo Donati and Marco Corazza
Numerical Stability of Optimal Mean Variance Portfolios: Claudia Fassino, Maria-Laura Torrente and Pierpaolo Uberti
Pairs-Trading Strategies with Recurrent Neural Networks Market Predictions: Andrea Flori and Daniele Regoli
Automatic Balancing Mechanism and Discount Rate: Towards an Optimal Transition to Balance Pay-As-You-Go Pension Scheme Without Intertemporal Dictatorship?: Frédéric Gannon, Florence Legros and Vincent Touzé
The Importance of Reporting a Pension System’s Income Statement and Budgeted Variances in a Fair and Sustainable Scheme: Anne Marie Garvey, Manuel Ventura-Marco and Carlos Vidal-Melia
Improved Precision in Calibrating CreditRisk $${^+}$$ + Model for Credit Insurance Applications: J. Giacomelli and L. Passalacqua
A Model-Free Screening Selection Approach by Local Derivative Estimation: Francesco Giordano, Sara Milito and Maria Lucia Parrella
Markov Switching Predictors Under Asymmetric Loss Functions: Francesco Giordano and Marcella Niglio
Screening Covariates in Presence of Unbalanced Binary Dependent Variable: Francesco Giordano, Marcella Niglio and Marialuisa Restaino
Health and Wellbeing Profiles Across Europe: Aurea Grané, Irene Albarrán and Roger Lumley
On Modelling of Crude Oil Futures in a Bivariate State-Space Framework: Peilun He, Karol Binkowski, Nino Kordzakhia and Pavel Shevchenko
A General Comovement Measure for Time Series: Agnieszka Jach
Alternative Area Yield Index Based Crop Insurance Policies in Indonesia: Dian Kusumaningrum, Rahma Anisa, Valantino Agus Sutomo and Ken Seng Tan
Clustering Time Series by Nonlinear Dependence: Michele La Rocca and Luca Vitale
Quantile Regression Neural Network for Quantile Claim Amount Estimation: Alessandro G. Laporta, Susanna Levantesi and Lea Petrella
Modelling Health Transitions in Italy: A Generalized Linear Model with Disability Duration: Susanna Levantesi and Massimiliano Menzietti
Mid-Year Estimators in Life Table Construction: Josep Lledó, Jose M. Pavía and Natalia Salazar
Representing Koziol’s Kurtoses: Nicola Loperfido
Optimal Portfolio for Basic DAGs: Diego Attilio Mancuso and Diego Zappa
The Neural Network Lee–Carter Model with Parameter Uncertainty: The Case of Italy: Mario Marino and Susanna Levantesi
Pricing of Futures with a CARMA(p, q) Model Driven by a Time Changed Brownian Motion: Lorenzo Mercuri, Andrea Perchiazzo and Edit Rroji
Forecasting Multiple VaR and ES Using a Dynamic Joint Quantile Regression with an Application to Portfolio Optimization: Merlo Luca, Lea Petrella and Raponi Valentina
Financial Market Crash Prediction Through Analysis of Stable and Pareto Distributions: Jesus-Enrique Molina, Andrés Mora-Valencia and Javier Perote
Precision Matrix Estimation for the Global Minimum Variance Portfolio: Marco Neffelli, Maria Elena Giuli and Marina Resta
Deconstructing Systemic Risk: A Reverse Stress Testing Approach: Javier Ojea-Ferreiro
Stochastic Dominance and Portfolio Performance Under Heuristic Optimization: Adeola Oyenubi
Big-Data for High-Frequency Volatility Analysis with Time-Deformed Observations: António A. F. Santos
Parametric Bootstrap Estimation of Standard Errors in Survival Models When Covariates are Missing: Francesco Ungolo, Torsten Kleinow and Angus S. Macdonald
The Role of Correlation in Systemic Risk: Mechanisms, Effects, and Policy Implications: Stefano Zedda, Michele Patanè and Luana Miggiano

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DOI: 10.1007/978-3-030-78965-7

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