Mathematical and Statistical Methods for Actuarial Sciences and Finance

Edited by Marco Corazza (), Florence Legros (), Cira Perna and Marilena Sibillo ()

in Springer Books from Springer

Date: 2017
ISBN: 978-3-319-50234-2
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Chapters in this book:

The Effects of Credit Rating Announcements on Bond Liquidity: An Event Study

Pilar Abad, Antonio Diaz, Ana Escribano and M. Dolores Robles Fernandez

The Effect of Credit Rating Events on the Emerging CDS Market

Laura Ballester and Ana González-Urteaga

A Generalised Linear Model Approach to Predict the Result of Research Evaluation

Antonella Basso and Giacomo di Tollo

Projecting Dynamic Life Tables Using Data Cloning

Andrés Benchimol, Irene Albarrán, Juan Miguel Marín and Pablo Alonso-González

Markov Switching GARCH Models: Filtering, Approximations and Duality

Monica Billio and Maddalena Cavicchioli

A Network Approach to Risk Theory and Portfolio Selection

Roy Cerqueti and Claudio Lupi

An Evolutionary Approach to Improve a Simple Trading System

Marco Corazza, Francesca Parpinel and Claudio Pizzi

Provisions for Outstanding Claims with Distance-Based Generalized Linear Models

Teresa Costa and Eva Boj

Profitability vs. Attractiveness Within a Performance Analysis of a Life Annuity Business

Emilia Di Lorenzo, Albina Orlando and Marilena Sibillo

Uncertainty in Historical Value-at-Risk: An Alternative Quantile-Based Risk Measure

Dominique Guégan, Bertrand Hassani and Kehan Li

Modeling Variance Risk Premium

Kossi Gnameho, Juho Kanniainen and Ye Yue

Covered Call Writing and Framing: A Cumulative Prospect Theory Approach

Martina Nardon and Paolo Pianca

Optimal Portfolio Selection for an Investor with Asymmetric Attitude to Gains and Losses

Sergei Sidorov, Andrew Khomchenko and Sergei Mironov

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DOI: 10.1007/978-3-319-50234-2

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