Mathematical and statistical methods for actuarial sciences and finance / / edited by Marco Corazza [and three others]

• Pubblicazione: Cham, Switzerland : , : Springer, , [2022]; ©2022
• Descrizione fisica: 1 online resource (456 pages)
• Disciplina: 368.01
• Soggetto topico: Finance - Statistical methods; Finance - Mathematical models; Insurance - Mathematical models; Matemàtica actuarial; Finances; Models matemàtics; Estadística matemàtica
• Soggetto genere / forma: Congressos; Llibres electrònics
• Persona (resp. second.): CorazzaMarco <1962->
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: Intro -- Preface -- Contents -- Absolute and Relative Gender Gap in Pensions: The Impact of the Transition from DB to NDC in Italy -- 1 Introduction -- 2 Data and Methodology -- 2.1 Data -- 2.2 Methodology -- 3 Preliminary Results -- 4 Remarks -- References -- TPPI: Textual Political Polarity Indices. The Case of Italian GDP -- 1 Introduction -- 2 Data -- 2.1 The Italian Senate Verbatim Reports -- 2.2 The Italian Yearly GDP Time Series -- 3 Determining Words Sentiment Polarities -- 4 Polarity Indices Time Series -- 4.1 Total Textual Political Polarity Index (TPPI-T) -- 4.2 Group Specific Textual Political Polarity Indices (TPPI-GS) -- 4.3 Polarity Divergence Indices (TPPI-D) -- 5 Evaluating Indices Configurations -- 6 Conclusion -- References -- Quantile Regression Forest for Value-at-Risk Forecasting Via Mixed-Frequency Data -- 1 Introduction -- 2 Methodology -- 3 Empirical Application -- 4 Conclusions -- References -- Gender Attitudes Toward Longevity and Retirement Planning: Theory and Evidence -- 1 Introduction -- 2 Drivers of Retirement Behaviour: the State-of-the-Art -- 3 Subjective Longevity, Gender and Economic Choices -- 4 Our Research Framework and Directions -- References -- Semiclassical Pricing of Variance Swaps in the CEV Model -- 1 Introduction -- 2 The Model -- 2.1 Variance Swap Pricing -- 3 Realized Variance Replication -- 3.1 The Semiclassical Approximation for the Log Contract -- 4 Numerical Results -- References -- Indexing Pensions to Life Expectancy: Keeping the System Fair Across Generations -- 1 Introduction -- 2 Intergenerational Fairness and Neutrality Condition -- 3 Policy Options -- 3.1 Adjusting the Contribution Rate -- 3.2 Adjusting the Retirement Age While Keeping the Replacement Rate Constant -- 3.3 Adjusting the Retirement Age While Improving Pension Adequacy. ; 3.4 Amending Entry Pensions Through a Sustainability Factor -- 4 Conclusion -- References -- Dynamic Withdrawals and Stochastic Mortality in GLWB Variable Annuities -- 1 Introduction -- 2 The Contract Structure -- 3 The Valuation Framework -- 4 Dynamic Programming -- 4.1 Bang-Bang Analysis -- 4.2 Contract Decomposition -- 5 Conclusion -- References -- A Regression Based Approach for Valuing Longevity Measures -- 1 Introduction -- 2 Life Expectancy and Computational Framework -- 2.1 Valuation Procedure -- 3 Numerical Results -- 4 Conclusion -- References -- On the Assessment of the Payment Limitation for an Health Plan -- 1 Introduction -- 2 Actuarial Framework -- 3 The Optimal Reimbursement Problem -- 4 Numerical Investigation -- 5 Conclusions -- References -- Reference Dependence in Behavioral Portfolio Selection -- 1 Introduction -- 2 Behavioral Portfolio Selection -- 3 The Reference Point -- 4 An Application -- References -- Pricing Rainfall Derivatives by Genetic Programming: A Case Study -- 1 Introduction -- 2 Genetic Programming -- 3 Rainfall Derivatives Pricing -- 4 Data and Application -- 5 Conclusion -- References -- Estimation of the Gift Probability in Fund Raising Management -- 1 Introduction -- 2 The Donor -- 3 Modeling the Gift as an Individual Risk -- 4 Poisson Regression in FR -- References -- The Estimation Risk in Credit Regulatory Capital -- 1 Introduction -- 2 The Capital Requirement in the IRB Approach -- 3 The Dataset and Parameters' Gaussian Copula -- 4 Estimation Risk in RC and Policy Implication -- References -- Actuarial Fairness in Pension Systems: An Empirical Evaluation for Italy Using an OLG Model -- 1 Introduction -- 2 Methods -- 3 Main Results -- 4 Discussion and Conclusions -- References -- Forecasting VIX with Hurst Exponent -- 1 Introduction -- 2 Model and Estimator -- 3 Empirical Analysis and Results. ; 4 Conclusions and Further Directions -- References -- Modelling H-Volatility with Fractional Brownian Bridge -- 1 Introduction -- 2 Fractional Brownian Bridge -- 3 Methodology and Application -- 4 Conclusion -- References -- Shapley Value in Partition Function Form Games: New Research Perspectives for Features Selection -- 1 Introduction -- 2 Games in Partition Function Form -- 2.1 The Shapley Value -- 3 Shapley Values for Features Contributions -- 4 Conclusions and Further Research -- References -- Nonparametric Estimation of Range Value at Risk -- 1 Introduction -- 1.1 Definitions -- 2 Nonparametric Methods for Estimating RVaR -- 2.1 Empirical Estimator -- 2.2 Brazauskas et al.'s Estimator -- 2.3 Kernel Estimator -- 2.4 Yamai and Yoshiba's Estimator -- 2.5 Filtered Historical Method -- 3 Simulation -- 4 Findings -- References -- A Fixed Career Length Versus a Fixed Retirement Age: An Analysis per Socio-Economic Groups -- 1 Introduction -- 2 Objective -- 3 Actuarial Fairness -- 4 Data -- 5 Policy Implications -- References -- Nonparametric Test for Financial Time Series Comparisons -- 1 Introduction -- 2 Statistical Problem -- 3 Methodological Solution -- 4 Case Study -- 5 Concluding Remarks -- References -- Innovative Parametric Weather Insurance on Satellite Data in Agribusiness -- 1 Introduction -- 2 Methodology and Satellite Data -- 3 Personalised Parametric Weather Insurance -- 4 Numerical Application -- 5 Concluding Remarks -- References -- An Application of the Tensor-Based Approach to Mortality Modeling -- 1 Introduction -- 2 Methodology and Application -- 3 Conclusions -- References -- Cyber Risk: Estimates for Malicious and Negligent Breaches Distributions -- 1 Introduction -- 2 Cyber Incidents and Data Breaches -- 3 Case Study -- 4 Concluding Remarks -- References. ; Modeling and Forecasting Natural Gas Futures Prices Dynamics: An Integrated Approach -- 1 Introduction -- 2 Data and Methods -- 3 Empirical Results -- 4 Conclusion -- A Appendix: Figures -- References -- Modelling Life Expectancy Gender Gap in a Multi-population Framework -- 1 Introduction -- 2 Materials and Methods -- 3 Results -- 4 Conclusions -- References -- Decision Making in Portfolio Optimization by Using a Tri-Objective Model and Decision Parameters -- 1 Introduction and Motivation of the Study -- 2 Study Framework and Experimental Results -- 3 Conclusions -- References -- Bitcoin Price Prediction: Mixed Integer Quadratic Programming Versus Machine Learning Approaches -- 1 Introduction -- 2 Our Problem -- 2.1 Our MIP Viewpoint vs. SVMs -- References -- Verifying the Rényi Dependence Axioms for a Non-linear Bivariate Comovement Index -- 1 Introduction -- 2 The Comovement Index and the Rényi Dependence Axioms -- 3 Is 1 , 2 a Measure of Dependence à la Rényi? -- References -- Inflation Perceptions and Expectations During the Pandemic: A Model Based Approach -- 1 Introduction -- 2 The Model -- 3 Results -- 4 Conclusions -- References -- A Proposal to Calculate the Regulatory Capital Requirements for Reverse Mortgages -- 1 Introduction -- 2 Modeling House Price Risk, Interest Rate Risk and Mortality Rate Dynamics -- 3 Calculation of Regulatory Capital Requirements -- References -- LTC of a Defined Benefit Employee Pension Scheme -- 1 Introduction -- 2 The Model -- 3 A Sample for Spain -- 3.1 Mortality Tables by State -- 3.2 Results -- 4 Conclusions -- References -- Socio-Economic Challenges at the Time of COVID-19: The Proactive Role of the Insurance Industry -- 1 Introduction -- 2 Sustainability and Impact: A Possible Conjugation -- 2.1 The Guidelines of the Scheme -- 2.2 Which Category Within Socially Responsible Investments? -- References. ; Feynman-Kac Formula for BSDEs with Jumps and Time Delayed Generators Associated to Path-Dependent Nonlinear Kolmogorov Equations -- 1 The Non-linear Path Dependent Kolmogorov Equation -- 2 The FBSDE System -- 3 Feynman-Kac Formula -- 4 Financial Applications -- 4.1 The Large Investor Problem -- 4.2 Dynamic Risk Measure for an Insurance Payment Process -- References -- The Role of Stablecoins: Cryptocurrencies Sought Stability and Found Gold and Dollars -- 1 Introduction -- 2 Methodology -- 2.1 The Portfolio Allocation Method -- 2.2 Downside Risk Measures and Backtesting -- 3 Main Results and Findings -- References -- Interbank Networks and Liquidity Risk -- 1 Introduction -- 2 A Model of Liquidity Dynamics on an Interbank Network -- 3 Numerical Simulations with Diagnostic of Network Efficiency -- 4 Conclusions and Research Perspectives -- References -- Kendall Conditional Value-at-Risk -- 1 Introduction -- 2 The Kendall CoVaR -- 3 Illustration: Analysis of the Italian banking systems -- References -- Daily Trading of the FTSE Index Using LSTM with Principal Component Analysis -- 1 Introduction -- 2 Related Work -- 2.1 Ensemble Methods -- 2.2 Hybrid Methods -- 2.3 Deep Learning Paradigms -- 3 Model Architecture -- 3.1 Overview -- 3.2 Sub-Learners -- 3.3 Meta-learners -- 4 Methods -- 4.1 Creating the Dataset -- 5 Experimental Setup and Evaluation -- 6 Results -- 7 Conclusion -- References -- A Hybrid Model Based on Stochastic Volatility and Machine Learning to Forecast Log Returns of a Risky Asset -- 1 Introduction -- 2 The Hybrid Model -- 3 Numerical Experiments -- References -- Financial Time Series Classification by Nonparametric Trend Estimation -- 1 Introduction -- 2 The Proposed Method -- 3 Real Data Application -- 4 Conclusions -- References -- Differential Pursuit-Evasion Games and Space Economy: New Research Perspectives -- 1 Introduction. ; 2 Space Economy and the Detritus Management: The Role of Differential Games.
• Titolo autorizzato: Mathematical and statistical methods for actuarial sciences and finance (MAF 2014)
• ISBN: 3-030-99638-7
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910559385503321
• Lo trovi qui: Univ. Federico II