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IDENT
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https://doi.org/10.1007/978-3-319-89824-7
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標題および責任表示
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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
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特定資料種別コード
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リモートファイル
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版事項
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1st ed. 2018
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出版・頒布事項
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Cham : Springer International Publishing : Imprint: Springer , 2018
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形態事項
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XVI, 518 p : online resource
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巻号情報
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内容著作注記
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1 M. Caporin, G. Bonaccolto and S. Paterlini, Conditional Autoregressive Quantile-Located Value-at-Risk
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内容著作注記
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2 M. Galeotti, G. Rabitti and E. Vannucci, The Rearrangement algorithm of Puccetti and Rüschendorf: proving the convergence
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内容著作注記
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3 R. Cesari and V. Mosco, Optimal Management of Immunized Portfolios
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内容著作注記
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4 E. Russo, M. Costabile and I. Massabo, Evaluating variable annuities with GMWB when exogenous factors influence the policy-holder withdrawals
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内容著作注記
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5 A. Jokiel-Rokita and R. Magiera, Estimation and prediction for the modulated power law process
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内容著作注記
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6 M. De La O González and F. Jareño, Extensions of Fama and French models
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7 A. Hitaj, L. Mercuri and E. Rroji, Stochastic mortality modelling: some extensions based on Lévy CARMA models
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内容著作注記
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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
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内容著作注記
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9 I.L. Amerise, Automatic detection and imputation of outliers in electricity price time series
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内容著作注記
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10 F. Giordano, M. Niglio and M. Restaino, Variable selection in estimating bank default
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内容著作注記
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11 F. Jareño, M.Á. Medina, M. Tolentino and M. De La O González, European Insurers: Interest Rate Risk Management
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内容著作注記
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12 M. Corazza and C. Nardelli, Comparing possibilistic portfolios to probabilistic ones
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内容著作注記
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13 M. Maggi and P. Uberti, Google searches for portfolio management: a risk and return analysis
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内容著作注記
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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
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内容著作注記
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15 H. Gzyl, S. Mayoral and E. P. Gomes, Loss data analysis with maximum entropy
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16 I.D.Fabián, P. Devolder, J. A. Herce and F. Del Olmo, A two-steps mixed pension system: An aggregate analysis
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内容著作注記
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17 D. Atance and E. Navarro, A Single Factor Model for Constructing Dynamic Life Tables
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内容著作注記
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18 L. Sanchis, J.M. Montero and G. Fernández-Avilés, Downside risk co-movement in commodity markets during distress periods. A Multidimensional scaling approach
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内容著作注記
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19 G. Caivano and S. Bonini, Probability of Default Modeling: A Machine Learning Approach
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20 S. Corsaro, V. De Simone, Z. Marino and F. Perla, Numerical solution of the regularized portfolio selection problem
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21 N. Ahlgren and P. Catani, Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors
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内容著作注記
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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
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内容著作注記
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23 L. Invernizzi and V. Magatti, Could Machine Learning predict the Conversion in Motor Business?
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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
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内容著作注記
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25 M.E. De Giuli, M. Neffelli and M. Resta, An Integrated Approach to Explore the Complexity of Interest Rates Network Structure
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内容著作注記
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26 I. Fuente, E. Navarro and G. Serna, Estimating regulatory capital requirements for reverse mortgages. An international comparison
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内容著作注記
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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
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内容著作注記
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28 G. Apicella, M. Dacorogna, E. Di Lorenzo and M. Sibillo, Improving Lee-Carter forecasting: methodology and some results
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内容著作注記
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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?
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内容著作注記
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30 V. D'Amato, E. Di Lorenzo, M. Sibillo and R. Tizzano, Money purchase" pensions: contract proposals and risk analysis
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内容著作注記
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31 K. Colaneri, S. Herzel and M. Nicolosi, The value of information for optimal portfolio management
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内容著作注記
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32 N. Loperfido, Kurtosis Maximization for Outlier Detection in GARCH Models
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内容著作注記
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33 A. Berti and N. Loperfido, An Extension of Multidimensional Scaling to Several Distance Matrices, and its Application to the Italian Banking Sector
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内容著作注記
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34 C. Franceschini, Exploratory Projection Pursuit for Multivariate Financial Data
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内容著作注記
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35 I. Albarrán Lozano, P. J. Alonso-González and A. Grané, Using deepest dependency paths to enhance life expectancy estimation
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内容著作注記
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36 L. Rossini, M. Billio and R. Casarin, Bayesian nonparametric sparse Vector Autoregressive models
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内容著作注記
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37 P. Angulo, V. Gallego, D. Gómez Ullate and P. Suárez, Bayesian Factorization Machines for Risk Management and Robust Decision Making
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内容著作注記
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38 M. Coppola, M. Russolillo and R. Simone, Risk and Uncertainty for Flexible Retirement Schemes
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39 G. Giordano, S. Haberman and M. Russolillo, Empirical Evidence from the Three-way LC model
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内容著作注記
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40 A. Diaz and G. Garrido Sanchez, Socially Responsible Ratings and Financial Performance
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内容著作注記
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41 M. Bernardi and M. Costola, Sparse causality networks through regularised regressions
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内容著作注記
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42 J. Iñaki De La Peña and N. Peña-Miguel, A Basic Social Pension for Everyone?
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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?
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44 N. Peña-Miguel, M.C. Fernández-Ramos and J. Iñaki De La Peña, A minimum pension for older people via expenses rate
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45 S. Bonini and G. Caivano, Risk/Return analysis on credit exposure: do small banks really apply a pricing risk-based on their loans?
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内容著作注記
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46 M. Pacella, F. Giordano and M.L. Parrella, Multiple testing for different structures of Spatial Dynamic Panel Data models
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47 M. Billio, R. Casarin, M. Costola and L. Frattarolo, Disagreement in Signed Financial Networks
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48 M. González-Fernández and C. González-Velasco, Do Google trends help to forecast sovereign risk in Europe?
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49 F. Battaglia, D. Cucina and M.l Rizzo, Periodic autoregressive models with multiple structural changes by genetic algorithms
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50 G. Albano, M. La Rocca and C. Perna, Small Sample Analysis in Diffusion Processes: a Simulation Study
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51 M. Corazza and C. Pizzi, Some critical insights on the unbiased efficient frontier à la Bodnar & Bodnar
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内容著作注記
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52 G. De Luca, G. Rivieccio and S. Corsaro, A copula-based quantile model
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内容著作注記
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53 M. Billio, R. Casarin and M. Iacopini, Bayesian Tensor Binary Regression
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内容著作注記
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54 F. Baione, D. Biancalana, P. De Angelis and I. Granito, Dynamic policyholder behaviour and surrender option evaluation for life insurance
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内容著作注記
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55 A. Amendola, M. Braione, V. Candila and G. Storti, Combining multivariate volatility models
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内容著作注記
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56 A. Bernardi and M. Bernardi, Two–Sided Skew and Shape Dynamic Conditional Score Models
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内容著作注記
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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
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内容著作注記
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58 A. Díaz and C. Esparcia, Time-varying risk aversion. An application to European optimal portfolios
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内容著作注記
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59 E. Boj Del Val and T. Costa Cor, Logistic classification for new policyholders taking into account prediction error
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内容著作注記
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60 A. Caner Turkmen and A. Taylan Cemgil, Modeling High-Frequency Price Data with Bounded-Delay Hawkes Processes
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61 F. Bartolucci, A. Cardinali and F. Pennoni, A generalized moving average convergence/divergence for testing semi-strong market efficiency
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62 L. Crosato, L. Grossi and F. Nan, Forecasting the volatility of electricity prices by robust estimators: an application to the Italian market
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内容著作注記
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63 D. Curcio, N. Borri, R. Cerrone and R. Cocozza, Life insurers' asset-liability dependency and low-interest-rate environment
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64 M. Guillen and A. M. Pérez-Marín, The Contribution of Usage-based Data Analytics to benchmark Semi-autonomous Vehicle Insurance
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65 P. Abad, A. Díaz, A. Escribano and M.D. Robles, The effect of rating contingent guidelines and regulation around credit rating news
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66 P. Peinado, Disability Pensions in Spain: A Factor to Compensate Life-Time Losses
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67 D. De Gaetano and M. Braione, Transmission of prices and price volatility in Australian electricity spot markets: A MGARCH-based forecast comparison
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68 D. Barro, Optimal portfolio selection integrating non-financial criteria
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69 R. Cerqueti, M. Giacalone and D. Panarello, A Generalized Error Distribution-based method for Conditional Value-at-Risk evaluation
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70 M. Bernardi and P. Stolfi, Robust time-varying undirected graphs
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71 J.L. Vilar-Zanón and O. Peraita-Ezcurra, Pricing illiquid assets by entropy maximization through linear goal programming
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72 R. Casarin, M. Billio and M. Iacopini, Bayesian Tensor Regression Models
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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
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75 C. De Rosa, E. Luciano and L. Regis, Geographic diversification in annuity portfolios
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76 U. Fiore, Z. Marino, F. Perla, S. Scognamiglio and P. Zanetti, Tuning a Deep Learning Network on Solvency II: Preliminary Results
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77 G. Albano and V. Giorno, Inference in a Non-Homogeneous Vasicek-Type Model
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内容著作注記
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78 D. Arzu and G M. Mantovani, Research Project MAF: A Bank Specific Integrated Rating
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79 G. Piscopo, A comparative analysis of neuro fuzzy infer-ence systems for mortality prediction
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80 F. Gannon, F. Legros and V. Touze, Automatic Balancing Mechanisms in Practice: What lessons for pension policy makers?
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81 A.R. Bacinello and I. Zoccolan, Variable Annuities with State-Dependent Fees
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82 A. Masson, The challenges of wealth and its intergenerational transmission in an aging society
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83 L. Catania, F. Ravazzolo and S. Grassi, Quantitative Risk Management for Cryptocurrencies
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84 J. Lledo Benito, J. M. Pavía Miralles and F. G. Morillas Jurado, The Level Mortality in Insured Population
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85 I. Chatterjee, M. Hao, A. Macdonald, P. Tapadar and R. Guy Thomas, When is utilitarian welfare higher under insurance risk pooling?
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86 D. Cortes-
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注記
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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
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学情ID
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9783030078683
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本文言語コード
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英語
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著者標目リンク
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Corazza, Marco <> editor
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著者標目リンク
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Durbán, María <> editor
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著者標目リンク
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Grané, Aurea <> editor
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著者標目リンク
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Perna, Cira <> editor
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著者標目リンク
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Sibillo, Marilena <> editor
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著者標目リンク
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SpringerLink (Online service) <>
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分類標目
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DC23:330.015195
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件名標目等
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Statistics
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件名標目等
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Econometrics
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件名標目等
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Probabilities
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件名標目等
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Mathematical optimization
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件名標目等
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Statistics for Business, Management, Economics, Finance, Insurance
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件名標目等
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Econometrics
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件名標目等
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Probability Theory and Stochastic Processes
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件名標目等
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Optimization
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