Mathematical and Statistical Methods for Actuarial Sciences and Finance : MAF2024 / edited by Marco Corazza, Frédéric Gannon, Florence Legros, Claudio Pizzi, Vincent Touzé.

Format:

Book

Conference/Event

Contributor:

Corazza, Marco, 1962- editor.

Gannon, Frédéric, editor.

Legros, Florence, editor.

Pizzi, Claudio, editor.

Touze, Vincent, editor.

Conference Name:

MAF (Conference) (11th : 2024 : Le Havre, France)

Language:

English

Subjects (All):

Actuarial science.

Social sciences--Mathematics.

Social sciences.

Statistics.

Actuarial Mathematics.

Mathematics in Business, Economics and Finance.

Statistics in Business, Management, Economics, Finance, Insurance.

Local Subjects:

Actuarial Mathematics.

Mathematics in Business, Economics and Finance.

Statistics in Business, Management, Economics, Finance, Insurance.

Physical Description:

1 online resource (xi, 304 pages) : illustrations

Edition:

1st ed. 2024.

Place of Publication:

Cham : Springer Nature Switzerland : Imprint: Springer, 2024.

Summary:

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.

Contents:

Intro

Preface

Contents

The Cost of Retirement Income Provision: Some Quantitative Insights in Life Insurance

1 Introduction

2 Data and Methodology

3 Results

4 Conclusions

References

Time Preference over the Life-Cycle: Expanding Saver's Rationality

1 Introduction: The Problem of a Pure and Rational Time Preference

2 An Existential Approach to Time Preference

3 Empirical Analysis: An Ordinal Time Preference Score

On a New Perspective in Longevity Risk Management: The Lifetime Shifting

2 Chronological Lifetime in a Gompertz Framework

3 Shifting the Chronological Lifetime

4 Conclusion

An Application of Beta Binomial GAMLSS for the Estimate of Surrender Rates

2 Beta Binomial Random Variable

3 A Brief Introduction to GAMLSS

4 Some Numerical Results

A Comparison of Beta Regression and Copula Regression for Partial Lapse Rate Estimate

2 Methodological Approach

3 Numerical Application

Input Relevance in Multi-Layer Perceptron for Fundraising

2 Data Collection and the FR Process

3 Basics on MLP and Input Relevance

4 Applications and Results

5 Concluding Remarks

Art as a Financial Asset in Portfolio Allocation

3 Empirical Results

A Robust Sustainability Assessment for SMEs Based on Multicriteria Decision Aiding

2 A Multicriteria Ranking Method for Sustainability Assessment

3 Application and Discussion of Results

Hierarchical Clustering of Time Series with Wasserstein Distance

2 The Wasserstein Distance

3 The Methodology

4 Illustration: Analysis of the Components of the FTSE MIB

Wind Farm Evaluation Under Real Options Approach

2 Stochastic Modelling

2.1 Power Curve

3 Real Options Application on Wind Farm Projects

4 Numerical Example

5 Conclusions

Fair Volatility in the Fractional Stochastic Regularity Model

2 Background and Model

3 Meaning and Financial Interpretation of the Relationship Between Volatility and Regularity

The Market Value of Optimal Annuitization and Bequest Motives

2 Problem Formulation

3 Analysis of the Optimal Stopping Problem

4 Numerical Application

The Cost of Longevity Risk Transfer by Capital Solution De-risking Strategy

2 De-risking Strategies

Cyber Insurance and Risk Assessment: Some Insights on the Insurer Perspective

2 Pricing Cyber Risk

3 An Illustrative Example

4 Results and Conclusive Remarks

Machine Learning for ESG Rating Classification: An Integrated Replicable Model with Financial and Systemic Risk Parameters

2 Materials and Methods

3 Results and Conclusions

PSO for the Sharpe Ratio in a Financial Trading System Based on Technical Analysis

2 Methodology

2.1 Parametrization of the Trading System

2.2 Constrained Optimization of the Sharpe Ratio

2.3 Particle Swarm Optimization

3 Applications

4 Concluding Remarks

Actuarial Gains in Life Annuities Due to Declining Health: LTC

2 Measuring Economic Impact

3 Methodology: Actuarial Gain/Loss

4 Dependent Mortality Versus Overall Mortality: Discussion

5 Conclusion

References

Solvency and Sustainability: Evidence from the Insurance Industry

2 The Model

The Environmental Score and the Financial Statement: A Machine Learning Analysis for Four European Stock Indexes

3 Numerical Application and Concluding Remarks

A Combination of NLP and Monte Carlo Technique to Improve Wind Investment Decisions

2 NLP and Sentiment Analysis

3 Monte Carlo Option Pricing Model

Meeting the Challenges of Longevity: Lifetime Income from Real Estate

1 The Reverse Mortgage: The New Way to View Your Home as an Asset

2 The Contractual Model

3 The Main Risk Driver in a Reverse Mortgage

4 RM Risk Sources and Related Indexes

Statistical Approach to Implied Market Inefficiency Estimation

2 Statistical Models

2.1 ADL

2.2 Polynomial Regression

2.3 Support Vector Regression (SVR)

2.4 Decision Tree Regression, Bagging and Boosting

2.5 Ensemble Stacking Method

3 Models Results

4 Conclusions and Further Directions

A Tweet Data Analysis for Detecting Emerging Operational Risks

2 Tweets Data

3 Workflow for Tweet Data Analysis

3.1 Tweet Cleaning

3.2 Tweet Vectorization and Semantic Adjustment

3.3 Dimensionality Reduction, Cluster Selection, Topic Analysis, and Emerging Topics Detection

4 Application to Tweet Data

Multipopulation Mortality Modeling with Economic, Environmental and Lifestyle Variables

1.1 Literature Review

3.1 Goodness of Fit

3.2 Stationarity and Cointegration

4 Discussion

Bayesian Modeling of Mortality in Italian Regions: A Three-Component Approach Incorporating Cohort Effects

2 Model and Data

3.2 Convergence

Forecast Model of the Price of a Product with a Cold Start

2 Preliminary Theoretical Base

2.1 LightGBM

3 Practical Implementation

3.1 EDA and Pre-processing

3.2 Model Training

3.3 Evaluation

Clustering and Testing Financial Asset Returns Using the Spatial Dynamic Panel Data Model

1 The Clusterized SDPD Model

2 A Simulation Study to Investigate the Performance of the Testing Procedure for the Cluster Partition

3 Application of the Method to Test the Cluster Partition of Financial Asset Returns

Assessing the Impact of Climate and Environmental News on Financial Markets

1 Climate and Environmental News Semantic Importance

2 Model Specification

The Sparsity-Constrained Graphical Lasso

2 Sparisity-Constrained Glasso - SCGlasso

3 Simulations

3.1 Simulation Results

Cliometrics and Actuarial Science: New Avenues for Enriching Prospective Mortality Table Construction Models

2 Issues and Methodological Contributions

3 Empirical Results and Sensitivity Tests

How Does Covid-19 Shock Financially Impact the US PAYG Pension Scheme? An Automatic Balance Mechanism Approach

2 Financial Impact of COVID 19: Modelling the Deviation from a Benchmark Scenario

3 COVID 19 Impact: Deviation from the Benchmark Scenario

4 Sensitivity to Deviation Parameters

The Risk of War: An Analysis Combining Real Options and Games

2 A Real Option Model for Resource Appropriation

3 The Option of War in a Strategic Setting

3.1 Impact of Conflict

3.2 Game-Theoretical Equilibrium

Variable Selection and Asymmetric Links to Predict Credit Card Fraud

2 Imbalanced Data

3 Variable Selection

4 Credit Card Fraud Detection

Partial Hedging of Spread Options with a Given Probability

1 Partial Hedging Problem

1.1 Financial Setting

1.2 Construction of Hedge for General Models on European Options

1.3 Extend to Two-Factor Diffusion Model

2 Application to Life Insurance

Four Parameter Beta Generalized Mixed Effect Tree and Random Forest for Area Yield Crop Insurance

2 Developing B4P-GMET and B4P-GMET for Area Yield Index Policy

3 Result and Discussion

Evaluating Forecast Distributions in Neural Network Lee-Carter Type Model for Mortality Rate

2 The Lee Carter Model: Recalls and Remarks

3 Feed-Forward Neural Networks

4 Application to Real Data and Concluding Remarks

Some Evidence Regarding Stock Markets and the Brexit

2 Time Series Analysis

2.1 Volatility

2.2 Stock Market Correlations

3 Conclusions

Portfolio Volatility Contributions of Risk Factors in the Presence of Risk Factors Multi-collinearity

1 Motivation

2.1 Risk Factors Volatility Contributions

2.2 Orthogonalisation Procedure

3 Case Study

3.1 Data Retrieval

3.2 Empirical Results

3.3 Results Interpretability

Insurance Premium Implied by Rank Dependence and Probability Distortion

2 Behavioral Premium Principles

2.1 Premium Principle Implied by CPT.

Notes:

Includes bibliographical references.

ISBN:

9783031642739