Titlebook: Mathematical and Statistical Methods for Actuarial Sciences and Finance; MAF 2018 Marco Corazza,María Durbán,Marilena Sibillo Book 2018 Spr

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Classification Ratemaking via Quantile Regression and a Comparison with Generalized Linear Models,afety loading or risk margin. In actuarial practice, this process is known as classification ratemaking and is performed usually via Generalized Linear Model. The latter permits an estimate of individual pure premium and safety loading both; however, the goodness of the estimates are strongly relate

Iatrogenic

An Empirical Analysis of the Lead Lag Relationship Between CDS and Stock Market,a rolling VAR framework. We find that the transmission channel between the credit and stock market exist. This phenomenon is time varying, it seems to be related with the economic cycle and in general, it’s more intense in US than in Europe.

瘙痒

Integration of Non-financial Criteria in Equity Investment,t industry. Investors are more careful in considering investments that comply with their ethical and moral values, as well as with social impact. Hence, the ethical and social responsibility of investments (SRI) is becoming more popular in the academic literature due to the fact that socially respon

Cougar

A Generalized Moving Average Convergence/Divergence for Testing Semi-strong Market Efficiency,inancial markets. By assuming a martingale model with drift for prices, as well as for their transformed values, we propose a test statistic for the local drift and derive its main theoretical properties. The semi-strong market efficiency hypothesis is assessed through a bootstrap test. We conclude

GLUE

Periodic Autoregressive Models with Multiple Structural Changes by Genetic Algorithms,e series which in addition to trend display seasonality in mean, in autocorrelation and in variance. These type of series appears in many areas, including hydrology, meteorology, economics and finance. The seasonality is accounted for by subset . modelling, for which each season follows a possibly d

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https://doi.org/10.1007/978-3-319-89824-7Insurance; Finance; Statistics; Mathematics; Econometrics

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The Optimal Investment and Consumption for Financial Markets Generated by the Spread of Risky AssetWe consider a spread financial market. We construct the optimal consumption/investment strategy for the power utility function. We study the Hamilton–Jacobi–Bellman (HJB) equation by the Feynman–Kac (FK) representation. We study the numeric approximation and we establish the convergence rate.

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Marco Corazza,María Durbán,Marilena SibilloOffers selected peer-reviewed papers.Focuses on mathematical and statistical methods in actuarial sciences and finance.Intended for academicians, researchers, Ph.D. students and professionals