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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

  1. Altmetric Badge
    Book Overview
  2. Altmetric Badge
    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
Attention for Chapter 62: Helping Long Term Care Coverage via Differential on Mortality?
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Chapter title
Helping Long Term Care Coverage via Differential on Mortality?
Chapter number 62
Book title
Mathematical and Statistical Methods for Actuarial Sciences and Finance
Published by
Springer, Cham, July 2018
DOI 10.1007/978-3-319-89824-7_62
Book ISBNs
978-3-31-989823-0, 978-3-31-989824-7
Authors

María Cristina Fernández-Ramos, Joseba Iñaki De La Peña, Ana Teresa Herrera, Iván Iturricastillo, Noemí Peña-Miguel, Fernández-Ramos, María Cristina, De La Peña, Joseba Iñaki, Herrera, Ana Teresa, Iturricastillo, Iván, Peña-Miguel, Noemí