Mathematical and Statistical Methods for Actuarial Sciences and Finance : MAF 2018. 1st ed. 2018

種類:

電子ブック

責任表示:

edited by Marco Corazza, María Durbán, Aurea Grané, Cira Perna, Marilena Sibillo

出版情報:

Cham : Springer International Publishing : Imprint: Springer, 2018

著者名:

Corazza, Marco.

Durbán, María.

Grané, Aurea.

Perna, Cira.

Sibillo, Marilena.

SpringerLink (Online service)

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ISBN:

9783319898247 [3319898248]    

注記:

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. Giorda
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 fi

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