Front Matter ....Pages i-xvi
The Effect of Rating Contingent Guidelines and Regulation Around Credit Rating News (Pilar Abad, Antonio Díaz, Ana Escribano, M. Dolores Robles)....Pages 1-5
Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors (Niklas Ahlgren, Paul Catani)....Pages 7-11
Inference in a Non-Homogeneous Vasicek Type Model (Giuseppina Albano, Virginia Giorno)....Pages 13-17
Small Sample Analysis in Diffusion Processes: A Simulation Study (Giuseppina Albano, Michele La Rocca, Cira Perna)....Pages 19-23
Using Deepest Dependency Paths to Enhance Life Expectancy Estimation (Irene Albarrán-Lozano, Pablo J. Alonso-González, Aurea Grané)....Pages 25-31
The Optimal Investment and Consumption for Financial Markets Generated by the Spread of Risky Assets for the Power Utility (Sahar Albosaily, Serguei Pergamenshchikov)....Pages 33-37
Combining Multivariate Volatility Models (Alessandra Amendola, Manuela Braione, Vincenzo Candila, Giuseppe Storti)....Pages 39-43
Automatic Detection and Imputation of Outliers in Electricity Price Time Series (Ilaria Lucrezia Amerise)....Pages 45-49
Bayesian Factorization Machines for Risk Management and Robust Decision Making (Pablo Angulo, Víctor Gallego, David Gómez-Ullate, Pablo Suárez-García)....Pages 51-55
Improving Lee-Carter Forecasting: Methodology and Some Results (Giovanna Apicella, Michel M. Dacorogna, Emilia Di Lorenzo, Marilena Sibillo)....Pages 57-61
The Bank Tailored Integrated Rating (Daniela Arzu, Marcella Lucchetta, Guido Massimiliano Mantovani)....Pages 63-67
A Single Factor Model for Constructing Dynamic Life Tables (David Atance, Eliseo Navarro)....Pages 69-73
Variable Annuities with State-Dependent Fees (Anna Rita Bacinello, Ivan Zoccolan)....Pages 75-80
Dynamic Policyholder Behavior and Surrender Option Evaluation for Life Insurance (Fabio Baione, Davide Biancalana, Paolo De Angelis, Ivan Granito)....Pages 81-85
Classification Ratemaking via Quantile Regression and a Comparison with Generalized Linear Models (Fabio Baione, Davide Biancalana, Paolo De Angelis, Ivan Granito)....Pages 87-91
An Empirical Analysis of the Lead Lag Relationship Between CDS and Stock Market (Laura Ballester, Rebeca Fernández, Ana González-Urteaga)....Pages 93-96
Integration of Non-financial Criteria in Equity Investment (Diana Barro)....Pages 97-100
A Generalized Moving Average Convergence/Divergence for Testing Semi-strong Market Efficiency (Francesco Bartolucci, Alessandro Cardinali, Fulvia Pennoni)....Pages 101-105
Periodic Autoregressive Models with Multiple Structural Changes by Genetic Algorithms (Francesco Battaglia, Domenico Cucina, Manuel Rizzo)....Pages 107-110
Mortality Projection Using Bayesian Model Averaging (Andrés Gustavo Benchimol, Juan Miguel Marín Diazaraque, Irene Albarrán Lozano, Pablo Jesús Alonso-González)....Pages 111-115
Robust Time-Varying Undirected Graphs (Mauro Bernardi, Paola Stolfi)....Pages 117-120
Two-Sided Skew and Shape Dynamic Conditional Score Models (Alberto Bernardi, Mauro Bernardi)....Pages 121-124
Sparse Networks Through Regularised Regressions (Mauro Bernardi, Michele Costola)....Pages 125-128
Approximate EM Algorithm for Sparse Estimation of Multivariate Location–Scale Mixture of Normals (Mauro Bernardi, Paola Stolfi)....Pages 129-132
An Extension of Multidimensional Scaling to Several Distance Matrices, and Its Application to the Italian Banking Sector (Alessandro Berti, Nicola Loperfido)....Pages 133-137
Disagreement in Signed Financial Networks (Monica Billio, Roberto Casarin, Michele Costola, Lorenzo Frattarolo)....Pages 139-142
Bayesian Tensor Binary Regression (Monica Billio, Roberto Casarin, Matteo Iacopini)....Pages 143-147
Bayesian Tensor Regression Models (Monica Billio, Roberto Casarin, Matteo Iacopini)....Pages 149-153
Bayesian Nonparametric Sparse Vector Autoregressive Models (Monica Billio, Roberto Casarin, Luca Rossini)....Pages 155-160
Logistic Classification for New Policyholders Taking into Account Prediction Error (Eva Boj, Teresa Costa)....Pages 161-165
Conditional Quantile-Located VaR (Giovanni Bonaccolto, Massimiliano Caporin, Sandra Paterlini)....Pages 167-171
Probability of Default Modeling: A Machine Learning Approach (Stefano Bonini, Giuliana Caivano)....Pages 173-177
Risk/Return Analysis on Credit Exposure: Do Small Banks Really Apply a Pricing Risk-Based on Their Loans? (Stefano Bonini, Giuliana Caivano)....Pages 179-184
Life Insurers’ Asset-Liability Dependency and Low-Interest Rate Environment (Nicola Borri, Rosaria Cerrone, Rosa Cocozza, Domenico Curcio)....Pages 185-189
Modelling the Australian Electricity Spot Prices: A VAR-BEKK Approach (Manuela Braione, Davide De Gaetano)....Pages 191-197
Cyber Risk Management: A New Challenge for Actuarial Mathematics (Maria Francesca Carfora, Fabio Martinelli, Francesco Mercaldo, Albina Orlando, Artsiom Yautsiukhin)....Pages 199-202
Predicting the Volatility of Cryptocurrency Time-Series (Leopoldo Catania, Stefano Grassi, Francesco Ravazzolo)....Pages 203-207
A Generalized Error Distribution-Based Method for Conditional Value-at-Risk Evaluation (Roy Cerqueti, Massimiliano Giacalone, Demetrio Panarello)....Pages 209-212
Risk-Return Optimization for Life Insurance Portfolios (Riccardo Cesari, Vieri Mosco)....Pages 213-218
When Is Utilitarian Welfare Higher Under Insurance Risk Pooling? (Indradeb Chatterjee, Angus S. Macdonald, Pradip Tapadar, R. Guy Thomas)....Pages 219-223
The Value of Information for Optimal Portfolio Management (Katia Colaneri, Stefano Herzel, Marco Nicolosi)....Pages 225-229
Risk and Uncertainty for Flexible Retirement Schemes (Mariarosaria Coppola, Maria Russolillo, Rosaria Simone)....Pages 231-235
Comparing Possibilistic Portfolios to Probabilistic Ones (Marco Corazza, Carla Nardelli)....Pages 237-241
Some Critical Insights on the Unbiased Efficient Frontier à la Bodnar&Bodnar (Marco Corazza, Claudio Pizzi)....Pages 243-247
Numerical Solution of the Regularized Portfolio Selection Problem (Stefania Corsaro, Valentina De Simone, Zelda Marino, Francesca Perla)....Pages 249-252
Forecasting the Equity Risk Premium in the European Monetary Union (David Cortés-Sánchez, Pilar Soriano-Felipe)....Pages 253-257
Statistical Learning Algorithms to Forecast the Equity Risk Premium in the European Union (David Cortés-Sánchez, Pilar Soriano-Felipe)....Pages 259-265
Evaluating Variable Annuities with GMWB When Exogenous Factors Influence the Policy-Holder Withdrawals (Massimo Costabile, Ivar Massabó, Emilio Russo)....Pages 267-271
A Continuous Time Model for Bitcoin Price Dynamics (Alessandra Cretarola, Gianna Figà-Talamanca, Marco Patacca)....Pages 273-277
Forecasting the Volatility of Electricity Prices by Robust Estimation: An Application to the Italian Market (Lisa Crosato, Luigi Grossi, Fany Nan)....Pages 279-283
“Money Purchase” Pensions: Contract Proposals and Risk Analysis (Valeria D’Amato, Emilia Di Lorenzo, Marilena Sibillo, Roberto Tizzano)....Pages 285-288
What If Two Different Interest Rates Datasets Allow for Describing the Same Financial Product? (Valeria D’Amato, Antonio Díaz, Emilia Di Lorenzo, Eliseo Navarro, Marilena Sibillo)....Pages 289-293
An Integrated Approach to Explore the Complexity of Interest Rates Network Structure (Maria Elena De Giuli, Marco Neffelli, Marina Resta)....Pages 295-299
Estimating Regulatory Capital Requirements for Reverse Mortgages: An International Comparison (Iván de la Fuente, Eliseo Navarro, Gregorio Serna)....Pages 301-304
A Basic Social Pension for Everyone? (Joseba Iñaki De La Peña, Noemí Peña-Miguel)....Pages 305-309
A Copula-Based Quantile Model (Giovanni De Luca, Giorgia Rivieccio, Stefania Corsaro)....Pages 311-315
International Longevity Risk Pooling (Clemente De Rosa, Elisa Luciano, Luca Regis)....Pages 317-321
A Two-Steps Mixed Pension System: An Aggregate Analysis (Pierre Devolder, Inmaculada Domínguez-Fabián, Francisco del Olmo-García, José A. Herce)....Pages 323-328
The Influence of Dynamic Risk Aversion in the Optimal Portfolio Context (Antonio Díaz, Carlos Esparcia)....Pages 329-333
Socially Responsible Investment, Should You Bother? (Antonio Díaz, Gloria Garrido)....Pages 335-339
Measuring Financial Risk Co-movement in Commodity Markets (Gema Fernández-Avilés, Jose-María Montero, Lidia Sanchis-Marco)....Pages 341-344
Helping Long Term Care Coverage via Differential on Mortality? (María Cristina Fernández-Ramos, Joseba Iñaki De La Peña, Ana Teresa Herrera, Iván Iturricastillo, Noemí Peña-Miguel)....Pages 345-349
Tuning a Deep Learning Network for Solvency II: Preliminary Results (Ugo Fiore, Zelda Marino, Luca Passalacqua, Francesca Perla, Salvatore Scognamiglio, Paolo Zanetti)....Pages 351-355
Exploratory Projection Pursuit for Multivariate Financial Data (Cinzia Franceschini)....Pages 357-361
The Rearrangement Algorithm of Puccetti and Rüschendorf: Proving the Convergence (Marcello Galeotti, Giovanni Rabitti, Emanuele Vannucci)....Pages 363-367
Automatic Balancing Mechanisms in Practice: What Lessons for Pension Policy Makers? (Frederic Gannon, Florence Legros, Vincent Touzé)....Pages 369-373
Empirical Evidence from the Three-Way LC Model (Giuseppe Giordano, Steven Haberman, Maria Russolillo)....Pages 375-379
Variable Selection in Estimating Bank Default (Francesco Giordano, Marcella Niglio, Marialuisa Restaino)....Pages 381-385
Multiple Testing for Different Structures of Spatial Dynamic Panel Data Models (Francesco Giordano, Massimo Pacella, Maria Lucia Parrella)....Pages 387-390
Loss Data Analysis with Maximum Entropy (Erika Gomes-Gonçalves, Henryk Gzyl, Silvia Mayoral)....Pages 391-395
Real-World Versus Risk-Neutral Measures in the Estimation of an Interest Rate Model with Stochastic Volatility (Lourdes Gómez-Valle, Julia Martínez-Rodríguez)....Pages 397-401
Extensions of Fama and French Models (María de la O González, Francisco Jareño)....Pages 403-405
The Islamic Financial Industry: Performance of Islamic vs. Conventional Sector Portfolios (María de la O González, Francisco Jareño, Camalea El Haddouti)....Pages 407-411
Do Google Trends Help to Forecast Sovereign Risk in Europe? (Marcos González-Fernández, Carmen González-Velasco)....Pages 413-417
The Contribution of Usage-Based Data Analytics to Benchmark Semi-autonomous Vehicle Insurance (Montserrat Guillen, Ana M. Pérez-Marín)....Pages 419-423
Some Empirical Evidence on the Need of More Advanced Approaches in Mortality Modeling (Asmerilda Hitaj, Lorenzo Mercuri, Edit Rroji)....Pages 425-430
Could Machine Learning Predict the Conversion in Motor Business? (Lorenzo Invernizzi, Vittorio Magatti)....Pages 431-435
European Insurers: Interest Rate Risk Management (Francisco Jareño, Marta Tolentino, María de la O González, María Ángeles Medina)....Pages 437-441
Estimation and Prediction for the Modulated Power Law Process (Alicja Jokiel-Rokita, Ryszard Magiera)....Pages 443-447
The Level of Mortality in Insured Populations (Josep Lledó, Jose M. Pavía, Francisco G. Morillas)....Pages 449-454
Kurtosis Maximization for Outlier Detection in GARCH Models (Nicola Loperfido)....Pages 455-459
Google Searches for Portfolio Management: A Risk and Return Analysis (Mario Maggi, Pierpaolo Uberti)....Pages 461-465
The Challenges of Wealth and Its Intergenerational Transmission in an Aging Society (André Masson)....Pages 467-471
Bivariate Functional Archetypoid Analysis: An Application to Financial Time Series (Jesús Moliner, Irene Epifanio)....Pages 473-476
A Note on the Shape of the Probability Weighting Function (Martina Nardon, Paolo Pianca)....Pages 477-481
Disability Pensions in Spain: A Factor to Compensate Lifetime Losses (Patricia Peinado)....Pages 483-487
A Minimum Pension for Older People via Expenses Rate (Noemí Peña-Miguel, María Cristina Fernández-Ramos, Joseba Iñaki De La Peña)....Pages 489-493
A Comparative Analysis of Neuro Fuzzy Inference Systems for Mortality Prediction (Gabriella Piscopo)....Pages 495-499
Financial Networks and Mechanisms of Business Capture in Southern Italy over the First Global Wave (1812–1913): A Network Analysis Approach (Maria Carmela Schisani, Maria Prosperina Vitale, Giancarlo Ragozini)....Pages 501-505
Modeling High-Frequency Price Data with Bounded-Delay Hawkes Processes (Ali Caner Türkmen, Ali Taylan Cemgil)....Pages 507-511
Pricing Illiquid Assets by Entropy Maximization Through Linear Goal Programming (José Luis Vilar-Zanón, Olivia Peraita-Ezcurra)....Pages 513-518