Mathematical and Statistical Methods for Actuarial Sciences and Finance -

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Résumé :
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 R?schendorf: 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 Gonz?lez and F. Jare?o, Extensions of Fama and French models.- 7 A. Hitaj, L. Mercuri and E. Rroji, Stochastic mortality modelling: some extensions based on L?vy CARMA models.- 8 L. Ballester, R. Fern?ndez and A. Gonz?lez-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. Jare?o, M.?. Medina, M. Tolentino and M. De La O Gonz?lez, 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.Fabi?n, 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. Fern?ndez-Avil?s, 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. Jare?o 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. G?mez-Valle and J. Mart?nez-Rodr?guez, 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 ...

Biographie:
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Sommaire:

Marco Corazza has a PhD in Mathematics for the Analysis of Financial Markets and is an associate professor at the Department of Economics of the Ca' Foscari University of Venice (Italy). His main research interests include static and dynamic portfolio management theories...