| Autore |
Corazza Marco
|
| Edizione | [1st ed.] |
| Pubbl/distr/stampa |
Cham : , : Springer, , 2024
|
| Descrizione fisica |
1 online resource (315 pages)
|
| Altri autori (Persone) |
Gannonédéric
LegrosFlorence
PizziClaudio
TouzéVincent
|
| ISBN |
9783031642739
9783031642722
|
| Formato |
Materiale a stampa  |
| Livello bibliografico |
Monografia |
| Lingua di pubblicazione |
eng
|
| Nota di contenuto |
Intro -- Preface -- Contents -- The Cost of Retirement Income Provision: Some Quantitative Insights in Life Insurance -- 1 Introduction -- 2 Data and Methodology -- 3 Results -- 4 Conclusions -- References -- Time Preference over the Life-Cycle: Expanding Saver's Rationality -- 1 Introduction: The Problem of a Pure and Rational Time Preference -- 2 An Existential Approach to Time Preference -- 3 Empirical Analysis: An Ordinal Time Preference Score -- 4 Conclusions -- References -- On a New Perspective in Longevity Risk Management: The Lifetime Shifting -- 1 Introduction -- 2 Chronological Lifetime in a Gompertz Framework -- 3 Shifting the Chronological Lifetime -- 4 Conclusion -- References -- An Application of Beta Binomial GAMLSS for the Estimate of Surrender Rates -- 1 Introduction -- 2 Beta Binomial Random Variable -- 3 A Brief Introduction to GAMLSS -- 4 Some Numerical Results -- References -- A Comparison of Beta Regression and Copula Regression for Partial Lapse Rate Estimate -- 1 Introduction -- 2 Methodological Approach -- 3 Numerical Application -- References -- Input Relevance in Multi-Layer Perceptron for Fundraising -- 1 Introduction -- 2 Data Collection and the FR Process -- 3 Basics on MLP and Input Relevance -- 4 Applications and Results -- 5 Concluding Remarks -- References -- Art as a Financial Asset in Portfolio Allocation -- 1 Introduction -- 2 Data and Methodology -- 3 Empirical Results -- 4 Conclusions -- References -- A Robust Sustainability Assessment for SMEs Based on Multicriteria Decision Aiding -- 1 Introduction -- 2 A Multicriteria Ranking Method for Sustainability Assessment -- 3 Application and Discussion of Results -- 4 Conclusions -- References -- Hierarchical Clustering of Time Series with Wasserstein Distance -- 1 Introduction -- 2 The Wasserstein Distance -- 3 The Methodology.
4 Illustration: Analysis of the Components of the FTSE MIB -- References -- Wind Farm Evaluation Under Real Options Approach -- 1 Introduction -- 2 Stochastic Modelling -- 2.1 Power Curve -- 3 Real Options Application on Wind Farm Projects -- 4 Numerical Example -- 5 Conclusions -- References -- Fair Volatility in the Fractional Stochastic Regularity Model -- 1 Introduction -- 2 Background and Model -- 3 Meaning and Financial Interpretation of the Relationship Between Volatility and Regularity -- References -- The Market Value of Optimal Annuitization and Bequest Motives -- 1 Introduction -- 2 Problem Formulation -- 3 Analysis of the Optimal Stopping Problem -- 4 Numerical Application -- References -- The Cost of Longevity Risk Transfer by Capital Solution De-risking Strategy -- 1 Introduction -- 2 De-risking Strategies -- 3 Numerical Application -- 4 Conclusions -- References -- Cyber Insurance and Risk Assessment: Some Insights on the Insurer Perspective -- 1 Introduction -- 2 Pricing Cyber Risk -- 3 An Illustrative Example -- 4 Results and Conclusive Remarks -- References -- Machine Learning for ESG Rating Classification: An Integrated Replicable Model with Financial and Systemic Risk Parameters -- 1 Introduction -- 2 Materials and Methods -- 3 Results and Conclusions -- References -- PSO for the Sharpe Ratio in a Financial Trading System Based on Technical Analysis -- 1 Introduction -- 2 Methodology -- 2.1 Parametrization of the Trading System -- 2.2 Constrained Optimization of the Sharpe Ratio -- 2.3 Particle Swarm Optimization -- 3 Applications -- 4 Concluding Remarks -- References -- Actuarial Gains in Life Annuities Due to Declining Health: LTC -- 1 Introduction -- 2 Measuring Economic Impact -- 3 Methodology: Actuarial Gain/Loss -- 4 Dependent Mortality Versus Overall Mortality: Discussion -- 5 Conclusion -- References.
Solvency and Sustainability: Evidence from the Insurance Industry -- 1 Introduction -- 2 The Model -- 3 Numerical Application -- 4 Concluding Remarks -- References -- The Environmental Score and the Financial Statement: A Machine Learning Analysis for Four European Stock Indexes -- 1 Introduction -- 2 The Model -- 3 Numerical Application and Concluding Remarks -- References -- A Combination of NLP and Monte Carlo Technique to Improve Wind Investment Decisions -- 1 Introduction -- 2 NLP and Sentiment Analysis -- 3 Monte Carlo Option Pricing Model -- 4 Conclusions -- References -- Meeting the Challenges of Longevity: Lifetime Income from Real Estate -- 1 The Reverse Mortgage: The New Way to View Your Home as an Asset -- 2 The Contractual Model -- 3 The Main Risk Driver in a Reverse Mortgage -- 4 RM Risk Sources and Related Indexes -- 5 Conclusions -- References -- Statistical Approach to Implied Market Inefficiency Estimation -- 1 Introduction -- 2 Statistical Models -- 2.1 ADL -- 2.2 Polynomial Regression -- 2.3 Support Vector Regression (SVR) -- 2.4 Decision Tree Regression, Bagging and Boosting -- 2.5 Ensemble Stacking Method -- 3 Models Results -- 4 Conclusions and Further Directions -- References -- A Tweet Data Analysis for Detecting Emerging Operational Risks -- 1 Introduction -- 2 Tweets Data -- 3 Workflow for Tweet Data Analysis -- 3.1 Tweet Cleaning -- 3.2 Tweet Vectorization and Semantic Adjustment -- 3.3 Dimensionality Reduction, Cluster Selection, Topic Analysis, and Emerging Topics Detection -- 4 Application to Tweet Data -- 5 Conclusion -- References -- Multipopulation Mortality Modeling with Economic, Environmental and Lifestyle Variables -- 1 Introduction -- 1.1 Literature Review -- 2 Methodology -- 3 Results -- 3.1 Goodness of Fit -- 3.2 Stationarity and Cointegration -- 4 Discussion -- References.
Bayesian Modeling of Mortality in Italian Regions: A Three-Component Approach Incorporating Cohort Effects -- 1 Introduction -- 1.1 Literature Review -- 2 Model and Data -- 3 Results -- 3.1 Goodness of Fit -- 3.2 Convergence -- 4 Discussion -- References -- Forecast Model of the Price of a Product with a Cold Start -- 1 Introduction -- 2 Preliminary Theoretical Base -- 2.1 LightGBM -- 3 Practical Implementation -- 3.1 EDA and Pre-processing -- 3.2 Model Training -- 3.3 Evaluation -- 4 Conclusion -- References -- Clustering and Testing Financial Asset Returns Using the Spatial Dynamic Panel Data Model -- 1 The Clusterized SDPD Model -- 2 A Simulation Study to Investigate the Performance of the Testing Procedure for the Cluster Partition -- 3 Application of the Method to Test the Cluster Partition of Financial Asset Returns -- References -- Assessing the Impact of Climate and Environmental News on Financial Markets -- 1 Climate and Environmental News Semantic Importance -- 2 Model Specification -- 3 Empirical Results -- References -- The Sparsity-Constrained Graphical Lasso -- 1 Introduction -- 2 Sparisity-Constrained Glasso - SCGlasso -- 3 Simulations -- 3.1 Simulation Results -- 4 Conclusion -- References -- Cliometrics and Actuarial Science: New Avenues for Enriching Prospective Mortality Table Construction Models -- 1 Introduction -- 2 Issues and Methodological Contributions -- 3 Empirical Results and Sensitivity Tests -- 4 Conclusion -- References -- How Does Covid-19 Shock Financially Impact the US PAYG Pension Scheme? An Automatic Balance Mechanism Approach -- 1 Introduction -- 2 Financial Impact of COVID 19: Modelling the Deviation from a Benchmark Scenario -- 3 COVID 19 Impact: Deviation from the Benchmark Scenario -- 4 Sensitivity to Deviation Parameters -- 5 Conclusion -- References.
The Risk of War: An Analysis Combining Real Options and Games -- 1 Introduction -- 2 A Real Option Model for Resource Appropriation -- 3 The Option of War in a Strategic Setting -- 3.1 Impact of Conflict -- 3.2 Game-Theoretical Equilibrium -- References -- Variable Selection and Asymmetric Links to Predict Credit Card Fraud -- 1 Introduction -- 2 Imbalanced Data -- 3 Variable Selection -- 4 Credit Card Fraud Detection -- References -- Partial Hedging of Spread Options with a Given Probability -- 1 Partial Hedging Problem -- 1.1 Financial Setting -- 1.2 Construction of Hedge for General Models on European Options -- 1.3 Extend to Two-Factor Diffusion Model -- 2 Application to Life Insurance -- References -- Four Parameter Beta Generalized Mixed Effect Tree and Random Forest for Area Yield Crop Insurance -- 1 Introduction -- 2 Developing B4P-GMET and B4P-GMET for Area Yield Index Policy -- 3 Result and Discussion -- 4 Conclusion -- References -- Evaluating Forecast Distributions in Neural Network Lee-Carter Type Model for Mortality Rate -- 1 Introduction -- 2 The Lee Carter Model: Recalls and Remarks -- 3 Feed-Forward Neural Networks -- 4 Application to Real Data and Concluding Remarks -- References -- Some Evidence Regarding Stock Markets and the Brexit -- 1 Introduction -- 2 Time Series Analysis -- 2.1 Volatility -- 2.2 Stock Market Correlations -- 3 Conclusions -- Portfolio Volatility Contributions of Risk Factors in the Presence of Risk Factors Multi-collinearity -- 1 Motivation -- 2 Methodology -- 2.1 Risk Factors Volatility Contributions -- 2.2 Orthogonalisation Procedure -- 3 Case Study -- 3.1 Data Retrieval -- 3.2 Empirical Results -- 3.3 Results Interpretability -- 4 Conclusions -- References -- Insurance Premium Implied by Rank Dependence and Probability Distortion -- 1 Introduction -- 2 Behavioral Premium Principles.
2.1 Premium Principle Implied by CPT.
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| Record Nr. | UNINA-9910878992503321 |
Info
Mathematical and Statistical Methods for Actuarial Sciences and Finance : Maf2024
