Mathematical and Statistical Methods for Actuarial Sciences and Finance

MAF2024

Marco Corazza, Frédéric Gannon, Florence Legros, Claudio Pizzi, Vincent Touzé

• Publisher: Springer
• Year: 2024
• Print ISBN: 9783031642722
• eBook ISBN: 9783031642739
• Topic: Mathematics
• Subtopic: Business Mathematics
• Index: Mathematics

The book presents a collection of peer-reviewed short papers selected from those presented at the International Conference Mathematical and Statistical Methods for Actuarial Sciences and Finance – MAF2024. The year 2024 marks the twentieth anniversary of the first edition of this conference.

The idea behind this book is that collaboration and cross-pollination between mathematicians and statisticians working in actuarial sciences and finance could enhance research in these fields. The effectiveness of this concept has been demonstrated by widespread participation across all editions, held at various locations including the University of Salerno, Italy (2004, 2006, 2010, 2014, and 2022); Ca' Foscari University of Venice, Italy (2008, 2012, and 2020); University Paris-Dauphine in Paris, France (2016); University Carlos III of Madrid, Madrid (2018); and University of Le Havre Normandie, Le Havre, France (2024). This effectiveness is also evident in the attention consistently shown by both the scientific community and professionals toward the volumes of peer-reviewed papers accompanying all past editions of MAF.

The book is a valuable resource for academics, researchers, Ph.D. students, and professionals. Furthermore, it is also of interest to other readers with a quantitative background.

Table of contents

• Cover
• Front Matter
• The Cost of Retirement Income Provision: Some Quantitative Insights in Life Insurance
• Time Preference over the Life-Cycle: Expanding Saver’s Rationality
• On a New Perspective in Longevity Risk Management: The Lifetime Shifting
• An Application of Beta Binomial GAMLSS for the Estimate of Surrender Rates
• A Comparison of Beta Regression and Copula Regression for Partial Lapse Rate Estimate
• Input Relevance in Multi-Layer Perceptron for Fundraising
• Art as a Financial Asset in Portfolio Allocation
• A Robust Sustainability Assessment for SMEs Based on Multicriteria Decision Aiding
• Hierarchical Clustering of Time Series with Wasserstein Distance
• Wind Farm Evaluation Under Real Options Approach
• Fair Volatility in the Fractional Stochastic Regularity Model
• The Market Value of Optimal Annuitization and Bequest Motives
• The Cost of Longevity Risk Transfer by Capital Solution De-risking Strategy
• Cyber Insurance and Risk Assessment: Some Insights on the Insurer Perspective
• Machine Learning for ESG Rating Classification: An Integrated Replicable Model with Financial and Systemic Risk Parameters
• PSO for the Sharpe Ratio in a Financial Trading System Based on Technical Analysis
• Actuarial Gains in Life Annuities Due to Declining Health: LTC
• Solvency and Sustainability: Evidence from the Insurance Industry
• The Environmental Score and the Financial Statement: A Machine Learning Analysis for Four European Stock Indexes
• A Combination of NLP and Monte Carlo Technique to Improve Wind Investment Decisions
• Meeting the Challenges of Longevity: Lifetime Income from Real Estate
• Statistical Approach to Implied Market Inefficiency Estimation
• A Tweet Data Analysis for Detecting Emerging Operational Risks
• Multipopulation Mortality Modeling with Economic, Environmental and Lifestyle Variables
• Bayesian Modeling of Mortality in Italian Regions: A Three-Component Approach Incorporating Cohort Effects
• Forecast Model of the Price of a Product with a Cold Start
• Clustering and Testing Financial Asset Returns Using the Spatial Dynamic Panel Data Model
• Assessing the Impact of Climate and Environmental News on Financial Markets
• The Sparsity-Constrained Graphical Lasso
• Cliometrics and Actuarial Science: New Avenues for Enriching Prospective Mortality Table Construction Models
• How Does Covid-19 Shock Financially Impact the US PAYG Pension Scheme? An Automatic Balance Mechanism Approach
• The Risk of War: An Analysis Combining Real Options and Games
• Variable Selection and Asymmetric Links to Predict Credit Card Fraud
• Partial Hedging of Spread Options with a Given Probability
• Four Parameter Beta Generalized Mixed Effect Tree and Random Forest for Area Yield Crop Insurance
• Evaluating Forecast Distributions in Neural Network Lee-Carter Type Model for Mortality Rate
• Some Evidence Regarding Stock Markets and the Brexit
• Portfolio Volatility Contributions of Risk Factors in the Presence of Risk Factors Multi-collinearity
• Insurance Premium Implied by Rank Dependence and Probability Distortion
• Disclosing the Reserving Process in Life Insurance Through Equivalent Periodic Fees
• Multi-model Forecasting for Finance
• Using the Gompertz Distribution to Explore the Impact of Increasing Life Expectancy on the Old-Age Dependency Ratio
• Challenges in Cyber Risk Insurance
• Identifying Graphical Configurations in Technical Analysis Using Machine Learning
• A Portfolio’s Common Causal Conditional Risk-Neutral PDE
• A Structural Credit Risk Model with Default Contagion
• Risk Evaluating for Subdiffusive Option Price Model with Gamma Subordinator
• A New Value-Based Investing Strategy for Portfolio Selection Which Outclasses the Benchmark
• On the Effect of Pension Expectations and Financial Literacy on Pension Planning: A Preliminary Investigation for the Italian Population
• Back Matter