Mathematical and Statistical Methods for Actuarial Sciences and Finance : MAF 2018 /: MAF 2018. (2018)

• Record Type: Book
• Further Information: Note: Marco Corazza, María Durbán, Aurea Grané, Cira Perna, Marilena Sobillo, editors.
• Editors: Corazza, Marco; Durbán, María; Grané, Aurea; Perna, Cira; Sibillo, Marilena
• Contents: Intro; Preface; Contents; About the Editors; The Effect of Rating Contingent Guidelines and Regulation Around Credit Rating News; 1 Introduction; 2 Rating-Based Investment Guidelines; 3 Data and Analysis Implementation; 4 Results; 5 Concluding Remarks; References; Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors; 1 Introduction; 2 Power of Tests in the Heteroskedastic VAR Model with Heavy-Tailed Errors; 3 Empirical Results; 4 Conclusions; References; Inference in a Non-Homogeneous Vasicek Type Model; 1 Introduction and Background; 2 The Model 3 Fitting the Model4 A Simulation Study; References; Small Sample Analysis in Diffusion Processes: A Simulation Study; 1 Introduction; 2 ML Estimation and Bootstrap Correction; 3 Simulation Experiment and Results; References; Using Deepest Dependency Paths to Enhance Life ExpectancyEstimation; 1 Introduction; 2 Methodology; 3 Results; References; The Optimal Investment and Consumption for Financial Markets Generated by the Spread of Risky Assets for the Power Utility; 1 Market Model; 2 Stochastic Programming Method; 3 Main Results; References; Combining Multivariate Volatility Models 1 Introduction2 MCS Combination Strategy; 3 Empirical Analysis; References; Automatic Detection and Imputation of Outliers in Electricity Price Time Series; 1 Introduction; 2 Time Series Outlier Detection and Imputation; 3 Results and Discussion; References; Bayesian Factorization Machines for Risk Management and Robust Decision Making; 1 Introduction; 2 Prediction; 3 Multiobjective Optimization; References; Improving Lee-Carter Forecasting: Methodology and Some Results; 1 Introduction and Literature; 2 Mathematical Framework and Empirical Methodology 3 Graphical Assessment of the Predictive Accuracy of the ``mLC'' Model4 Concluding Remarks; References; The Bank Tailored Integrated Rating; 1 Motivation and Methodology; 2 Stylized Mathematical Approach; 3 Summaries and Future Developments; Appendix; References; A Single Factor Model for Constructing Dynamic Life Tables; 1 Single Factor Model; 1.1 Adjusting a Sensitivity Function to bx, x*; 1.2 Forecasting Mortality Rates; 2 Lee-Carter (1992) Model; 3 Comparison Between the Single Factor Model and the Lee-Carter Model; References; Variable Annuities with State-Dependent Fees; 1 Introduction 2 The Structure of the Contract3 Valuation Framework; 3.1 The Static Approach; 3.2 The Mixed Approach; 4 Numerical Implementation; References; Dynamic Policyholder Behavior and Surrender Option Evaluation for Life Insurance; 1 Introduction; 2 A Model for the Lapse Rate Estimation According to Policyholder Behavior; 2.1 Step 1; 2.2 Step 2; 3 Some Numerical Results; References; Classification Ratemaking via Quantile Regression and a Comparison with Generalized Linear Models; 1 Introduction; 2 A Quantile Premium Principle Based on a Two-Part Model
• Publisher Details: Cham : Springer
• Publication Date: 2018
• Extent: 1 online resource
• Subjects: 368.01; Statistics; Mathematics; Finance; Economics; BUSINESS & ECONOMICS / Insurance / Risk Assessment & Management; Economics; Finance; Mathematics; Business & Economics -- Econometrics; Mathematics -- Probability & Statistics -- General; Mathematics -- Applied; Econometrics; Probability & statistics; Optimization; Econometrics; Distribution (Probability theory); Mathematical optimization; Business & Economics -- Statistics; Electronic books
• Languages: English
• ISBNs: 9783319898247; 3319898248
• Related ISBNs: 9783319898230; 331989823X
• Notes: Note: Online resource; title from PDF file page (EBSCO, viewed July 20 2018).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.