Mathematical and Statistical Methods for Actuarial Sciences and Finance [electronic resource] : MAF 2018 /
Corazza, Marco.editor.
Durbán, María.editor.
Grané, Aurea.editor.
Perna, Cira.editor.
Sibillo, Marilena.editor.
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 Statistical Methods for Actuarial Sciences and Finance (MAF), held at Universidad Carlos III de Madrid (Spain), 4th-6th April 2018. The book covers a wide variety of subjects in actuarial science and financial fields, all discussed in the context of the cooperation between the three quantitative approaches. The topics include: actuarial models; analysis of high frequency financial data; behavioural finance; carbon and green finance; credit risk methods and models; dynamic optimization in finance; financial econometrics; forecasting of dynamical actuarial and financial phenomena; fund performance evaluation; insurance portfolio risk analysis; interest rate models; longevity risk; machine learning and soft-computing in finance; management in insurance business; models and methods for financial time series analysis, models for financial derivatives; multivariate techniques for financial markets analysis; optimization in insurance; pricing; probability in actuarial sciences, insurance and finance; real world finance; risk management; solvency analysis; sovereign risk; static and dynamic portfolio selection and management; trading systems. This book is a valuable resource for academics, PhD students, practitioners, professionals and researchers, and is also of interest to other readers with quantitative background knowledge.
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-.
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 Statistical Methods for Actuarial Sciences and Finance (MAF), held at Universidad Carlos III de Madrid (Spain), 4th-6th April 2018. The book covers a wide variety of subjects in actuarial science and financial fields, all discussed in the context of the cooperation between the three quantitative approaches. The topics include: actuarial models; analysis of high frequency financial data; behavioural finance; carbon and green finance; credit risk methods and models; dynamic optimization in finance; financial econometrics; forecasting of dynamical actuarial and financial phenomena; fund performance evaluation; insurance portfolio risk analysis; interest rate models; longevity risk; machine learning and soft-computing in finance; management in insurance business; models and methods for financial time series analysis, models for financial derivatives; multivariate techniques for financial markets analysis; optimization in insurance; pricing; probability in actuarial sciences, insurance and finance; real world finance; risk management; solvency analysis; sovereign risk; static and dynamic portfolio selection and management; trading systems. This book is a valuable resource for academics, PhD students, practitioners, professionals and researchers, and is also of interest to other readers with quantitative background knowledge.
Statistics .
Econometrics.
Probabilities.
Mathematical optimization.
Statistics for Business, Management, Economics, Finance, Insurance.
Econometrics.
Probability Theory and Stochastic Processes.
Optimization.