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Mathematical and Statistical Methods for Actuarial Sciences and Finance

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Cover of 'Mathematical and Statistical Methods for Actuarial Sciences and Finance'

Table of Contents

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    Book Overview
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    Chapter 1 The Effect of Rating Contingent Guidelines and Regulation Around Credit Rating News
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    Chapter 2 Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors
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    Chapter 3 Inference in a Non-Homogeneous Vasicek Type Model
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    Chapter 4 Small Sample Analysis in Diffusion Processes: A Simulation Study
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    Chapter 5 Using Deepest Dependency Paths to Enhance Life Expectancy Estimation
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    Chapter 6 The Optimal Investment and Consumption for Financial Markets Generated by the Spread of Risky Assets for the Power Utility
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    Chapter 7 Combining Multivariate Volatility Models
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    Chapter 8 Automatic Detection and Imputation of Outliers in Electricity Price Time Series
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    Chapter 9 Bayesian Factorization Machines for Risk Management and Robust Decision Making
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    Chapter 10 Improving Lee-Carter Forecasting: Methodology and Some Results
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    Chapter 11 The Bank Tailored Integrated Rating
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    Chapter 12 A Single Factor Model for Constructing Dynamic Life Tables
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    Chapter 13 Variable Annuities with State-Dependent Fees
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    Chapter 14 Dynamic Policyholder Behavior and Surrender Option Evaluation for Life Insurance
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    Chapter 15 Classification Ratemaking via Quantile Regression and a Comparison with Generalized Linear Models
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    Chapter 16 An Empirical Analysis of the Lead Lag Relationship Between CDS and Stock Market
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    Chapter 17 Integration of Non-financial Criteria in Equity Investment
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    Chapter 18 A Generalized Moving Average Convergence/Divergence for Testing Semi-strong Market Efficiency
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    Chapter 19 Periodic Autoregressive Models with Multiple Structural Changes by Genetic Algorithms
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    Chapter 20 Mortality Projection Using Bayesian Model Averaging
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    Chapter 21 Robust Time-Varying Undirected Graphs
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    Chapter 22 Two-Sided Skew and Shape Dynamic Conditional Score Models
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    Chapter 23 Sparse Networks Through Regularised Regressions
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    Chapter 24 Approximate EM Algorithm for Sparse Estimation of Multivariate Location–Scale Mixture of Normals
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    Chapter 25 An Extension of Multidimensional Scaling to Several Distance Matrices, and Its Application to the Italian Banking Sector
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    Chapter 26 Disagreement in Signed Financial Networks
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    Chapter 27 Bayesian Tensor Binary Regression
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    Chapter 28 Bayesian Tensor Regression Models
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    Chapter 29 Bayesian Nonparametric Sparse Vector Autoregressive Models
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    Chapter 30 Logistic Classification for New Policyholders Taking into Account Prediction Error
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    Chapter 31 Conditional Quantile-Located VaR
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    Chapter 32 Probability of Default Modeling: A Machine Learning Approach
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    Chapter 33 Risk/Return Analysis on Credit Exposure: Do Small Banks Really Apply a Pricing Risk-Based on Their Loans?
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    Chapter 34 Life Insurers’ Asset-Liability Dependency and Low-Interest Rate Environment
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    Chapter 35 Modelling the Australian Electricity Spot Prices: A VAR-BEKK Approach
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    Chapter 36 Cyber Risk Management: A New Challenge for Actuarial Mathematics
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    Chapter 37 Predicting the Volatility of Cryptocurrency Time-Series
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    Chapter 38 A Generalized Error Distribution-Based Method for Conditional Value-at-Risk Evaluation
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    Chapter 39 Risk-Return Optimization for Life Insurance Portfolios
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    Chapter 40 When Is Utilitarian Welfare Higher Under Insurance Risk Pooling?
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    Chapter 41 The Value of Information for Optimal Portfolio Management
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    Chapter 42 Risk and Uncertainty for Flexible Retirement Schemes
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    Chapter 43 Comparing Possibilistic Portfolios to Probabilistic Ones
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    Chapter 44 Some Critical Insights on the Unbiased Efficient Frontier à la Bodnar&Bodnar
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    Chapter 45 Numerical Solution of the Regularized Portfolio Selection Problem
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    Chapter 46 Forecasting the Equity Risk Premium in the European Monetary Union
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    Chapter 47 Statistical Learning Algorithms to Forecast the Equity Risk Premium in the European Union
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    Chapter 48 Evaluating Variable Annuities with GMWB When Exogenous Factors Influence the Policy-Holder Withdrawals
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    Chapter 49 A Continuous Time Model for Bitcoin Price Dynamics
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    Chapter 50 Forecasting the Volatility of Electricity Prices by Robust Estimation: An Application to the Italian Market
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    Chapter 51 “Money Purchase” Pensions: Contract Proposals and Risk Analysis
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    Chapter 52 What If Two Different Interest Rates Datasets Allow for Describing the Same Financial Product?
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    Chapter 53 An Integrated Approach to Explore the Complexity of Interest Rates Network Structure
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    Chapter 54 Estimating Regulatory Capital Requirements for Reverse Mortgages: An International Comparison
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    Chapter 55 A Basic Social Pension for Everyone?
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    Chapter 56 A Copula-Based Quantile Model
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    Chapter 57 International Longevity Risk Pooling
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    Chapter 58 A Two-Steps Mixed Pension System: An Aggregate Analysis
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    Chapter 59 The Influence of Dynamic Risk Aversion in the Optimal Portfolio Context
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    Chapter 60 Socially Responsible Investment, Should You Bother?
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    Chapter 61 Measuring Financial Risk Co-movement in Commodity Markets
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    Chapter 62 Helping Long Term Care Coverage via Differential on Mortality?
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    Chapter 63 Tuning a Deep Learning Network for Solvency II: Preliminary Results
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    Chapter 64 Exploratory Projection Pursuit for Multivariate Financial Data
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    Chapter 65 The Rearrangement Algorithm of Puccetti and Rüschendorf: Proving the Convergence
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    Chapter 66 Automatic Balancing Mechanisms in Practice: What Lessons for Pension Policy Makers?
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    Chapter 67 Empirical Evidence from the Three-Way LC Model
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    Chapter 68 Variable Selection in Estimating Bank Default
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    Chapter 69 Multiple Testing for Different Structures of Spatial Dynamic Panel Data Models
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    Chapter 70 Loss Data Analysis with Maximum Entropy
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    Chapter 71 Real-World Versus Risk-Neutral Measures in the Estimation of an Interest Rate Model with Stochastic Volatility
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    Chapter 72 Extensions of Fama and French Models
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    Chapter 73 The Islamic Financial Industry: Performance of Islamic vs. Conventional Sector Portfolios
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    Chapter 74 Do Google Trends Help to Forecast Sovereign Risk in Europe?
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    Chapter 75 The Contribution of Usage-Based Data Analytics to Benchmark Semi-autonomous Vehicle Insurance
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    Chapter 76 Some Empirical Evidence on the Need of More Advanced Approaches in Mortality Modeling
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    Chapter 77 Could Machine Learning Predict the Conversion in Motor Business?
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    Chapter 78 European Insurers: Interest Rate Risk Management
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    Chapter 79 Estimation and Prediction for the Modulated Power Law Process
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    Chapter 80 The Level of Mortality in Insured Populations
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    Chapter 81 Kurtosis Maximization for Outlier Detection in GARCH Models
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    Chapter 82 Google Searches for Portfolio Management: A Risk and Return Analysis
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    Chapter 83 The Challenges of Wealth and Its Intergenerational Transmission in an Aging Society
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    Chapter 84 Bivariate Functional Archetypoid Analysis: An Application to Financial Time Series
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    Chapter 85 A Note on the Shape of the Probability Weighting Function
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    Chapter 86 Disability Pensions in Spain: A Factor to Compensate Lifetime Losses
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    Chapter 87 A Minimum Pension for Older People via Expenses Rate
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    Chapter 88 A Comparative Analysis of Neuro Fuzzy Inference Systems for Mortality Prediction
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    Chapter 89 Financial Networks and Mechanisms of Business Capture in Southern Italy over the First Global Wave (1812–1913): A Network Analysis Approach
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    Chapter 90 Modeling High-Frequency Price Data with Bounded-Delay Hawkes Processes
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    Chapter 91 Pricing Illiquid Assets by Entropy Maximization Through Linear Goal Programming
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Title
Mathematical and Statistical Methods for Actuarial Sciences and Finance
Published by
Springer International Publishing, July 2018
DOI 10.1007/978-3-319-89824-7
ISBNs
978-3-31-989823-0, 978-3-31-989824-7
Editors

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

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Mendeley readers

The data shown below were compiled from readership statistics for 8 Mendeley readers of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
Unknown 8 100%

Demographic breakdown

Readers by professional status Count As %
Student > Master 2 25%
Librarian 1 13%
Student > Bachelor 1 13%
Student > Ph. D. Student 1 13%
Unknown 3 38%
Readers by discipline Count As %
Arts and Humanities 1 13%
Computer Science 1 13%
Economics, Econometrics and Finance 1 13%
Social Sciences 1 13%
Engineering 1 13%
Other 0 0%
Unknown 3 38%