Mathematical and Statistical Methods for Actuarial Sciences and Finance

Corazza, Marco; Durbán, María; Grané, Aurea; Perna, Cira; Sibillo, Marilena

Mathematical and Statistical Methods for Actuarial Sciences and Finance

Edited by Marco Corazza (), María Durbán (), Aurea Grané (), Cira Perna and Marilena Sibillo ()

in Springer Books from Springer

Date: 2018
ISBN: 978-3-319-89824-7
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Chapters in this book:

The Effect of Rating Contingent Guidelines and Regulation Around Credit Rating News: Pilar Abad, Antonio Díaz, Ana Escribano and M. Dolores Robles Fernandez
Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors: Niklas Ahlgren and Paul Catani
Inference in a Non-Homogeneous Vasicek Type Model: Giuseppina Albano and Virginia Giorno
Small Sample Analysis in Diffusion Processes: A Simulation Study: Giuseppina Albano, Michele La Rocca and Cira Perna
Using Deepest Dependency Paths to Enhance Life Expectancy Estimation: Irene Albarrán-Lozano, Pablo J. Alonso-González and Aurea Grané
The Optimal Investment and Consumption for Financial Markets Generated by the Spread of Risky Assets for the Power Utility: Sahar Albosaily and Serguei Pergamenshchikov
Combining Multivariate Volatility Models: Alessandra Amendola, Manuela Braione, Vincenzo Candila and Giuseppe Storti
Automatic Detection and Imputation of Outliers in Electricity Price Time Series: Ilaria Lucrezia Amerise
Bayesian Factorization Machines for Risk Management and Robust Decision Making: Pablo Angulo, Víctor Gallego, David Gómez-Ullate and Pablo Suárez-García
Improving Lee-Carter Forecasting: Methodology and Some Results: Giovanna Apicella, Michel M. Dacorogna, Emilia Di Lorenzo and Marilena Sibillo
The Bank Tailored Integrated Rating: Daniela Arzu, Marcella Lucchetta and Guido Massimiliano Mantovani
A Single Factor Model for Constructing Dynamic Life Tables: David Atance and Eliseo Navarro
Variable Annuities with State-Dependent Fees: Anna Rita Bacinello and Ivan Zoccolan
Dynamic Policyholder Behavior and Surrender Option Evaluation for Life Insurance: Fabio Baione, Davide Biancalana, Paolo De Angelis and Ivan Granito
Classification Ratemaking via Quantile Regression and a Comparison with Generalized Linear Models: Fabio Baione, Davide Biancalana, Paolo De Angelis and Ivan Granito
An Empirical Analysis of the Lead Lag Relationship Between CDS and Stock Market: Laura Ballester, Rebeca Fernández and Ana González-Urteaga
Integration of Non-financial Criteria in Equity Investment: Diana Barro
A Generalized Moving Average Convergence/Divergence for Testing Semi-strong Market Efficiency: Francesco Bartolucci, Alessandro Cardinali and Fulvia Pennoni
Periodic Autoregressive Models with Multiple Structural Changes by Genetic Algorithms: Francesco Battaglia, Domenico Cucina and Manuel Rizzo
Mortality Projection Using Bayesian Model Averaging: Andrés Gustavo Benchimol, Juan Miguel Marín Diazaraque, Irene Albarrán Lozano and Pablo Jesús Alonso-González
Robust Time-Varying Undirected Graphs: Mauro Bernardi and Paola Stolfi
Two-Sided Skew and Shape Dynamic Conditional Score Models: Alberto Bernardi and Mauro Bernardi
Sparse Networks Through Regularised Regressions: Mauro Bernardi and Michele Costola
Approximate EM Algorithm for Sparse Estimation of Multivariate Location–Scale Mixture of Normals: Mauro Bernardi and Paola Stolfi
An Extension of Multidimensional Scaling to Several Distance Matrices, and Its Application to the Italian Banking Sector: Alessandro Berti and Nicola Loperfido
Disagreement in Signed Financial Networks: Monica Billio, Roberto Casarin, Michele Costola and Lorenzo Frattarolo
Bayesian Tensor Binary Regression: Monica Billio, Roberto Casarin and Matteo Iacopini
Bayesian Tensor Regression Models: Monica Billio, Roberto Casarin and Matteo Iacopini
Bayesian Nonparametric Sparse Vector Autoregressive Models: Monica Billio, Roberto Casarin and Luca Rossini
Logistic Classification for New Policyholders Taking into Account Prediction Error: Eva Boj and Teresa Costa
Conditional Quantile-Located VaR: Giovanni Bonaccolto, Massimiliano Caporin and Sandra Paterlini
Probability of Default Modeling: A Machine Learning Approach: Stefano Bonini and Giuliana Caivano
Risk/Return Analysis on Credit Exposure: Do Small Banks Really Apply a Pricing Risk-Based on Their Loans?: Stefano Bonini and Giuliana Caivano
Life Insurers’ Asset-Liability Dependency and Low-Interest Rate Environment: Nicola Borri, Rosaria Cerrone, Rosa Cocozza and Domenico Curcio
Modelling the Australian Electricity Spot Prices: A VAR-BEKK Approach: Manuela Braione and Davide De Gaetano
Cyber Risk Management: A New Challenge for Actuarial Mathematics: Maria Francesca Carfora, Fabio Martinelli, Francesco Mercaldo, Albina Orlando and Artsiom Yautsiukhin
Predicting the Volatility of Cryptocurrency Time-Series: Leopoldo Catania, Stefano Grassi and Francesco Ravazzolo
A Generalized Error Distribution-Based Method for Conditional Value-at-Risk Evaluation: Roy Cerqueti, Massimiliano Giacalone and Demetrio Panarello
Risk-Return Optimization for Life Insurance Portfolios: Riccardo Cesari and Vieri Mosco
When Is Utilitarian Welfare Higher Under Insurance Risk Pooling?: Indradeb Chatterjee, Angus S. Macdonald, Pradip Tapadar and R. Guy Thomas
The Value of Information for Optimal Portfolio Management: Katia Colaneri, Stefano Herzel and Marco Nicolosi
Risk and Uncertainty for Flexible Retirement Schemes: Mariarosaria Coppola, Maria Russolillo and Rosaria Simone
Comparing Possibilistic Portfolios to Probabilistic Ones: Marco Corazza and Carla Nardelli
Some Critical Insights on the Unbiased Efficient Frontier à la Bodnar&Bodnar: Marco Corazza and Claudio Pizzi
Numerical Solution of the Regularized Portfolio Selection Problem: Stefania Corsaro, Valentina De Simone, Zelda Marino and Francesca Perla
Forecasting the Equity Risk Premium in the European Monetary Union: David Cortés-Sánchez and Pilar Soriano-Felipe
Statistical Learning Algorithms to Forecast the Equity Risk Premium in the European Union: David Cortés-Sánchez and Pilar Soriano-Felipe
Evaluating Variable Annuities with GMWB When Exogenous Factors Influence the Policy-Holder Withdrawals: Massimo Costabile, Ivar Massabó and Emilio Russo
A Continuous Time Model for Bitcoin Price Dynamics: Alessandra Cretarola, Gianna Figà-Talamanca and Marco Patacca
Forecasting the Volatility of Electricity Prices by Robust Estimation: An Application to the Italian Market: Lisa Crosato, Luigi Grossi and Fany Nan
“Money Purchase” Pensions: Contract Proposals and Risk Analysis: Valeria D’Amato, Emilia Di Lorenzo, Marilena Sibillo and Roberto Tizzano
What If Two Different Interest Rates Datasets Allow for Describing the Same Financial Product?: Valeria D’Amato, Antonio Díaz, Emilia Di Lorenzo, Eliseo Navarro and Marilena Sibillo
An Integrated Approach to Explore the Complexity of Interest Rates Network Structure: Maria Elena De Giuli, Marco Neffelli and Marina Resta
Estimating Regulatory Capital Requirements for Reverse Mortgages: An International Comparison: Iván de la Fuente, Eliseo Navarro and Gregorio Serna
A Basic Social Pension for Everyone?: Joseba Iñaki De La Peña and Noemí Peña-Miguel
A Copula-Based Quantile Model: Giovanni De Luca, Giorgia Rivieccio and Stefania Corsaro
International Longevity Risk Pooling: Clemente De Rosa, Elisa Luciano and Luca Regis
A Two-Steps Mixed Pension System: An Aggregate Analysis: Pierre Devolder, Inmaculada Domínguez-Fabián, Francisco del Olmo-García and José A. Herce
The Influence of Dynamic Risk Aversion in the Optimal Portfolio Context: Antonio Díaz and Carlos Esparcia
Socially Responsible Investment, Should You Bother?: Antonio Díaz and Gloria Garrido
Measuring Financial Risk Co-movement in Commodity Markets: Gema Fernández-Avilés, Jose-María Montero and Lidia Sanchis-Marco
Helping Long Term Care Coverage via Differential on Mortality?: María Cristina Fernández-Ramos, Joseba Iñaki De La Peña, Ana Teresa Herrera, Iván Iturricastillo and Noemí Peña-Miguel
Tuning a Deep Learning Network for Solvency II: Preliminary Results: Ugo Fiore, Zelda Marino, Luca Passalacqua, Francesca Perla, Salvatore Scognamiglio and Paolo Zanetti
Exploratory Projection Pursuit for Multivariate Financial Data: Cinzia Franceschini
The Rearrangement Algorithm of Puccetti and Rüschendorf: Proving the Convergence: Marcello Galeotti, Giovanni Rabitti and Emanuele Vannucci
Automatic Balancing Mechanisms in Practice: What Lessons for Pension Policy Makers?: Frederic Gannon, Florence Legros and Vincent Touzé
Empirical Evidence from the Three-Way LC Model: Giuseppe Giordano, Steven Haberman and Maria Russolillo
Variable Selection in Estimating Bank Default: Francesco Giordano, Marcella Niglio and Marialuisa Restaino
Multiple Testing for Different Structures of Spatial Dynamic Panel Data Models: Francesco Giordano, Massimo Pacella and Maria Lucia Parrella
Loss Data Analysis with Maximum Entropy: Erika Gomes-Gonçalves, Henryk Gzyl and Silvia Mayoral
Real-World Versus Risk-Neutral Measures in the Estimation of an Interest Rate Model with Stochastic Volatility: Lourdes Gómez-Valle and Julia Martínez-Rodríguez
Extensions of Fama and French Models: María de la O González and Francisco Jareño
The Islamic Financial Industry: Performance of Islamic vs. Conventional Sector Portfolios: María de la O González, Francisco Jareño and Camalea El Haddouti
Do Google Trends Help to Forecast Sovereign Risk in Europe?: Marcos González-Fernández and Carmen González-Velasco
The Contribution of Usage-Based Data Analytics to Benchmark Semi-autonomous Vehicle Insurance: Montserrat Guillen and Ana M. Pérez-Marín
Some Empirical Evidence on the Need of More Advanced Approaches in Mortality Modeling: Asmerilda Hitaj, Lorenzo Mercuri and Edit Rroji
Could Machine Learning Predict the Conversion in Motor Business?: Lorenzo Invernizzi and Vittorio Magatti
European Insurers: Interest Rate Risk Management: Francisco Jareño, Marta Tolentino, María de la O González and María Ángeles Medina
Estimation and Prediction for the Modulated Power Law Process: Alicja Jokiel-Rokita and Ryszard Magiera
The Level of Mortality in Insured Populations: Josep Lledó, Jose M. Pavía and Francisco G. Morillas
Kurtosis Maximization for Outlier Detection in GARCH Models: Nicola Loperfido
Google Searches for Portfolio Management: A Risk and Return Analysis: Mario Maggi and Pierpaolo Uberti
The Challenges of Wealth and Its Intergenerational Transmission in an Aging Society: André Masson
Bivariate Functional Archetypoid Analysis: An Application to Financial Time Series: Jesús Moliner and Irene Epifanio
A Note on the Shape of the Probability Weighting Function: Martina Nardon and Paolo Pianca
Disability Pensions in Spain: A Factor to Compensate Lifetime Losses: Patricia Peinado
A Minimum Pension for Older People via Expenses Rate: Noemí Peña-Miguel, María Cristina Fernández-Ramos and Joseba Iñaki De La Peña
A Comparative Analysis of Neuro Fuzzy Inference Systems for Mortality Prediction: Gabriella Piscopo
Financial Networks and Mechanisms of Business Capture in Southern Italy over the First Global Wave (1812–1913): A Network Analysis Approach: Maria Carmela Schisani, Maria Prosperina Vitale and Giancarlo Ragozini
Modeling High-Frequency Price Data with Bounded-Delay Hawkes Processes: Ali Caner Türkmen and Ali Taylan Cemgil
Pricing Illiquid Assets by Entropy Maximization Through Linear Goal Programming: José Luis Vilar-Zanón and Olivia Peraita-Ezcurra

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DOI: 10.1007/978-3-319-89824-7

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