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Mathematical and Statistical Methods for Actuarial Sciences and Finance : MAF 2018 / / edited by Marco Corazza, María Durbán, Aurea Grané, Cira Perna, Marilena Sibillo
| Mathematical and Statistical Methods for Actuarial Sciences and Finance : MAF 2018 / / edited by Marco Corazza, María Durbán, Aurea Grané, Cira Perna, Marilena Sibillo |
| Edizione | [1st ed. 2018.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018 |
| Descrizione fisica | 1 online resource (XVI, 518 p.) |
| Disciplina | 510 |
| Soggetto topico |
Statistics
Econometrics Probabilities Mathematical optimization Statistics for Business, Management, Economics, Finance, Insurance Probability Theory and Stochastic Processes Optimization |
| ISBN | 3-319-89824-8 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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-. |
| Record Nr. | UNINA-9910300133903321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematical and Statistical Methods for Actuarial Sciences and Finance : MAF 2016 / / edited by Marco Corazza, Florence Legros, Cira Perna, Marilena Sibillo
| Mathematical and Statistical Methods for Actuarial Sciences and Finance : MAF 2016 / / edited by Marco Corazza, Florence Legros, Cira Perna, Marilena Sibillo |
| Edizione | [1st ed. 2017.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017 |
| Descrizione fisica | 1 online resource (VIII, 169 p. 19 illus., 8 illus. in color.) |
| Disciplina | 368.01 |
| Soggetto topico |
Actuarial science
Economics, Mathematical Statistics Macroeconomics Finance Actuarial Sciences Quantitative Finance Statistics for Business, Management, Economics, Finance, Insurance Macroeconomics/Monetary Economics//Financial Economics Finance, general |
| ISBN | 3-319-50234-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1 The effects of credit rating announcements on bond liquidity: An event study -- 2 The effect of credit rating events on the emerging CDS market -- 3 A generalised linear model approach to predict the result of research evaluation -- 4 Projecting dynamic life tables using Data Cloning -- 5 Markov switching GARCH models: Filtering, approximations and duality -- 6 A network approach to risk theory and portfolio selection -- 7 A PSO-based approach for improving simple trading systems -- 8 Provisions for outstanding claims with distance-based generalized linear models -- 9 Profitability vs. attractiveness within a performance analysis of a life annuity business -- 10 Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure -- 11 Modeling volatility risk premium -- 12 Covered call writing and framing: A cumulative prospect theory approach -- 13 Optimal portfolio selection for an investor with asymmetric attitude to gains and losses. |
| Record Nr. | UNINA-9910254306103321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematical and Statistical Methods for Actuarial Sciences and Finance / / edited by Marco Corazza, Claudio Pizzi
| Mathematical and Statistical Methods for Actuarial Sciences and Finance / / edited by Marco Corazza, Claudio Pizzi |
| Edizione | [1st ed. 2014.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2014 |
| Descrizione fisica | 1 online resource (312 p.) |
| Disciplina |
368.01
368/.01 |
| Soggetto topico |
Economics, Mathematical
Actuarial science Statistics Finance Macroeconomics Quantitative Finance Actuarial Sciences Statistics for Business, Management, Economics, Finance, Insurance Finance, general Macroeconomics/Monetary Economics//Financial Economics |
| ISBN | 3-319-02499-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Weak form efficiency of selected European stock markets: alternative testing approaches (G. Albano, M. La Rocca, C. Perna) -- An empirical comparison of variable selection methods in competing risks model (A. Amendola, M. Restaino, L. Sensini) -- A comparison between different numerical schemes for the valuation of unit-linked contracts embedding a surrender option (A.R. Bacinello, P. Millossovich, A. Montealegre) -- Dynamic tracking error with shortfall control using stochastic programming (D. Barro, E. Canestrelli) -- Firm’s volatility risk under microstructure noise (F. Barsotti, S. Sanfelici) -- Socially responsible mutual funds: an efficiency comparison among the European countries (A. Basso, S. Funari) -- Fitting financial returns distributions: a mixture normality approach (R. Bramante, D. Zappa) -- Single-name concentration risk measurements in credit portfolios (R. Calabrese, F. Porro) -- Bifactorial pricing models: light and shadows in correlation role (R. Cocozza, A. De Simone) -- Dynamic strategies for Defined Benefit pension plans risk management (I. Colivicchi, G. Piscopo, E. Vannucci) -- Particle Swarm Optimization for preference disaggregation in multicriteria credit scoring problems (M. Corazza, S. Funari, R. Gusso) -- Time series clustering on lower tail dependence for portfolio selection (G. De Luca, P. Zuccolotto) -- Solvency Analysis of Defined Benefit pension schemes (P. Devolder, G. Piscopo) -- Stochastic actuarial valuations in double-indexed pension annuity assessment (E. Di Lorenzo, A. Orlando, M. Sibillo) -- Testing for Normality when the sampled distribution is Extended Skew-Normal (C. Franceschini, N. Loperfido) -- On the RODEO method for variable selection (F. Giordano, M.L. Parrella) -- Portfolio allocation using Omega function: an empirical analysis (A. Hitaj, F. Martinelli, G. Zambruno) -- Investment rankings via an objective measure of riskiness: a case study (M.E. Marina, M. Resta) -- A squared rank assessment of the difference between US and European firm valuation ratios (M. Marozzi) -- A behavioural approach to the pricing of European options (M. Nardon, P. Pianca) -- Threshold structures in economic and financial time series (M. Niglio, C.D. Vitale) -- Intelligent algorithms for trading the Euro-Dollar in the foreign exchange market (D. Pelusi, M. Tivegna, P. Ippoliti) -- Risk management and capital allocation for Non-Life insurance companies (M. Pirra, S. Forte, M. Ialenti) -- Modelling asymmetric behaviour in time series: identification through PSO (C. Pizzi, F. Parpinel) -- Valuation of collateralized funds of hedge fund obligations: a Basket Option pricing approach (G.L. Tassinari, C. Corradi) -- Valuation of R&D investment opportunities using the Least-Squares Monte Carlo method (G. Villani) -- The determinants of interbank contagion: do patterns matter? (S. Zedda, G. Cannas, C. Galliani). |
| Record Nr. | UNINA-9910299969003321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||