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" Mathematical and statistical methods for actuarial sciences and finance : "
Marco Corazza, María Durbán, Aurea Grané, Cira Perna, Marilena Sobillo, editors.
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BL
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| Record Number
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866050
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| Main Entry
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MAF (Conference)(2018 :, Madrid, Spain)
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| Title & Author
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Mathematical and statistical methods for actuarial sciences and finance : : MAF 2018 /\ Marco Corazza, María Durbán, Aurea Grané, Cira Perna, Marilena Sobillo, editors.
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| Publication Statement
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Cham :: Springer,, 2018.
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| Page. NO
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1 online resource
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| ISBN
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303007868X
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: 3319898248
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: 3319898256
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: 9783030078683
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: 9783319898247
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: 9783319898254
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331989823X
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9783319898230
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| Contents
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Intro; Preface; Contents; About the Editors; The Effect of Rating Contingent Guidelines and Regulation Around Credit Rating News; 1 Introduction; 2 Rating-Based Investment Guidelines; 3 Data and Analysis Implementation; 4 Results; 5 Concluding Remarks; References; Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors; 1 Introduction; 2 Power of Tests in the Heteroskedastic VAR Model with Heavy-Tailed Errors; 3 Empirical Results; 4 Conclusions; References; Inference in a Non-Homogeneous Vasicek Type Model; 1 Introduction and Background; 2 The Model
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1 Introduction2 MCS Combination Strategy; 3 Empirical Analysis; References; Automatic Detection and Imputation of Outliers in Electricity Price Time Series; 1 Introduction; 2 Time Series Outlier Detection and Imputation; 3 Results and Discussion; References; Bayesian Factorization Machines for Risk Management and Robust Decision Making; 1 Introduction; 2 Prediction; 3 Multiobjective Optimization; References; Improving Lee-Carter Forecasting: Methodology and Some Results; 1 Introduction and Literature; 2 Mathematical Framework and Empirical Methodology
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2 The Structure of the Contract3 Valuation Framework; 3.1 The Static Approach; 3.2 The Mixed Approach; 4 Numerical Implementation; References; Dynamic Policyholder Behavior and Surrender Option Evaluation for Life Insurance; 1 Introduction; 2 A Model for the Lapse Rate Estimation According to Policyholder Behavior; 2.1 Step 1; 2.2 Step 2; 3 Some Numerical Results; References; Classification Ratemaking via Quantile Regression and a Comparison with Generalized Linear Models; 1 Introduction; 2 A Quantile Premium Principle Based on a Two-Part Model
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3 Fitting the Model4 A Simulation Study; References; Small Sample Analysis in Diffusion Processes: A Simulation Study; 1 Introduction; 2 ML Estimation and Bootstrap Correction; 3 Simulation Experiment and Results; References; Using Deepest Dependency Paths to Enhance Life ExpectancyEstimation; 1 Introduction; 2 Methodology; 3 Results; References; The Optimal Investment and Consumption for Financial Markets Generated by the Spread of Risky Assets for the Power Utility; 1 Market Model; 2 Stochastic Programming Method; 3 Main Results; References; Combining Multivariate Volatility Models
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3 Graphical Assessment of the Predictive Accuracy of the ``mLC'' Model4 Concluding Remarks; References; The Bank Tailored Integrated Rating; 1 Motivation and Methodology; 2 Stylized Mathematical Approach; 3 Summaries and Future Developments; Appendix; References; A Single Factor Model for Constructing Dynamic Life Tables; 1 Single Factor Model; 1.1 Adjusting a Sensitivity Function to bx, x*; 1.2 Forecasting Mortality Rates; 2 Lee-Carter (1992) Model; 3 Comparison Between the Single Factor Model and the Lee-Carter Model; References; Variable Annuities with State-Dependent Fees; 1 Introduction
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| Abstract
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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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| Subject
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Finance-- Mathematical models, Congresses.
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Finance-- Statistical methods, Congresses.
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Insurance-- Mathematical models, Congresses.
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Insurance-- Statistical methods, Congresses.
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BUSINESS ECONOMICS-- Insurance-- Risk Assessment Management.
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Econometrics.
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Economics.
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Finance.
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Mathematics.
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Optimization.
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Probability statistics.
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| Dewey Classification
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368.01
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| LC Classification
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HG8781
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| Added Entry
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Corazza, Marco
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Durbán, María
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Grané, Aurea
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Perna, Cira
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Sibillo, Marilena
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| Parallel Title
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MAF 2018
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