Mathematical and Statistical Methods for Actuarial Sciences and Finance

Multidimensional scaling approach.- 19 G. Caivano and S. Bonini, Probability of Default Modeling: A Machine Learning Approach.- 20 S. Corsaro, V. De Simone, Z. Marino and F. Perla, Numerical solution of the regularized portfolio selection problem.- 21 N. Ahlgren and P. Catani, Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors.- 22 M. De La O Gonzalez, F. Jareño and C. El Haddouti Ben Ali, The Islamic Financial Industry. Performance of Islamic vs. conventional sector portfolios.- 23 L. Invernizzi and V. Magatti, Could Machine Learning predict the Conversion in Motor Business?.- 24 S. Albosaily and S. Pergamenshchikov, The optimal investment and consumption for financial markets generated by the spread of risky assets for the power utility.- 25 M.E. De Giuli, M. Neffelli and M. Resta, An Integrated Approach to Explore the Complexity of Interest Rates Network Structure.- 26 I. Fuente, E. Navarro and G. Serna, Estimating regulatory capital requirements for reverse mortgages. An international comparison .- 27 L. Gómez-Valle and J. Martínez-Rodríguez, Real-world versus neutral risk measures in the estimation of an interest rate model with stochastic volatility.- 28 G. Apicella, M. Dacorogna, E. Di Lorenzo and M. Sibillo, Improving Lee-Carter forecasting: methodology and some results.- 29 V. D'amato, A. Diaz, E. Di Lorenzo, E. Navarro and M. Sibillo, What if two different interest rates datasets allow for discribing the same financial product?.- 30 V. D'Amato, E. Di Lorenzo, M. Sibillo and R. Tizzano, Money purchase" pensions: contract proposals and risk analysis.- 31 K. Colaneri, S. Herzel and M. Nicolosi, The value of information for optimal portfolio management.- 32 N. Loperfido, Kurtosis Maximization for Outlier Detection in GARCH Models.- 33 A. Berti and N. Loperfido, An Extension of Multidimensional Scaling to Several Distance Matrices, and its Application to the Italian Banking Sector.- 34 C. Franceschini, Exploratory Projection Pursuit for Multivariate Financial Data.- 35 I. Albarrán Lozano, P. J. Alonso-González and A. Grané, Using deepest dependency paths to enhance life expectancy estimation.- 36 L. Rossini, M. Billio and R. Casarin, Bayesian nonparametric sparse Vector Autoregressive models.- 37 P. Angulo, V. Gallego, D. Gómez Ullate and P. Suárez, Bayesian Factorization Machines for Risk Management and Robust Decision Making.- 38 M. Coppola, M. Russolillo and R. Simone, Risk and Uncertainty for Flexible Retirement Schemes.- 39 G. Giordano, S. Haberman and M. Russolillo, Empirical Evidence from the Three-way LC model.- 40 A. Diaz and G. Garrido Sanchez, Socially Responsible Ratings and Financial Performance.- 41 M. Bernardi and M. Costola, Sparse causality networks through regularised regressions.- 42 J. Iñaki De La Peña and N. Peña-Miguel, A Basic Social Pension for Everyone?.- 43 M.C. Fernandez-Ramos, J. Iñaki De La Peña, A. T. Herrera, I. Iturricastillo and N.Peña-Miguel, Helping Long Term Care coverage via differential on mortality?.- 44 N. Peña-Miguel, M.C. Fernández-Ramos and J. Iñaki De La Peña, A minimum pension for older people via expenses rate.- 45 S. Bonini and G. Caivano, Risk/Return analysis on credit exposure: do small banks really apply a pricing risk-based on their loans?.- 46 M. Pacella, F. Giordano and M.L. Parrella, Multiple testing for different structures of Spatial Dynamic Panel Data models.- 47 M. Billio, R. Casarin, M. Costola and L. Frattarolo, Disagreement in Signed Financial Networks.- 48 M. González-Fernández and C. González-Velasco, Do Google trends help to forecast sovereign risk in Europe?.- 49 F. Battaglia, D. Cucina and M.l Rizzo, Periodic autoregressive models with multiple structural changes by genetic algorithms.- 50 G. Albano, M. La Rocca and C. Perna, Small Sample Analysis in Diffusion Processes: a Simulation Study.- 51 M. Corazza and C. Pizzi, Some critical insights on the unbiased efficient frontier à la Bodnar & Bodnar.- 52 G. De Luca, G. Rivieccio and S. Corsaro, A copula-based quantile model.- 53 M. Billio, R. Casarin and M. Iacopini, Bayesian Tensor Binary Regression.- 54 F. Baione, D. Biancalana, P. De Angelis and I. Granito, Dynamic policyholder behaviour and surrender option evaluation for life insurance.- 55 A. Amendola, M. Braione, V. Candila and G. Storti, Combining multivariate volatility models.- 56 A. Bernardi and M. Bernardi, Two-Sided Skew and Shape Dynamic Conditional Score Models.- 57 F. Baione, D. Biancalana, P. De Angelis and I. Granito, An individual risk model for premium calculation based on quantile: a comparison between Generalized Linear Models and Quantile Regression.- 58 A. Díaz and C. Esparcia, Time-varying risk aversion. An application to European optimal portfolios.- 59 E. Boj Del Val and T. Costa Cor, Logistic classification for new policyholders taking into account prediction error.- 60 A. Caner Turkmen and A. Taylan Cemgil, Modeling High-Frequency Price Data with Bounded-Delay Hawkes Processes.- 61 F. Bartolucci, A. Cardinali and F. Pennoni, A generalized moving average convergence/divergence for testing semi-strong market efficiency.- 62 L. Crosato, L. Grossi and F. Nan, Forecasting the volatility of electricity prices by robust estimators: an application to the Italian market.- 63 D. Curcio, N. Borri, R. Cerrone and R. Cocozza, Life insurers' asset-liability dependency and low-interest-rate environment.- 64 M. Guillen and A. M. Pérez-Marín, The Contribution of Usage-based Data Analytics to benchmark Semi-autonomous Vehicle Insurance.- 65 P. Abad, A. Díaz, A. Escribano and M.D. Robles, The effect of rating contingent guidelines and regulation around credit rating news.- 66 P. Peinado, Disability Pensions in Spain: A Factor to Compensate Life-Time Losses.- 67 D. De Gaetano and M. Braione, Transmission of prices and price volatility in Australian electricity spot markets: A MGARCH-based forecast comparison.- 68 D. Barro, Optimal portfolio selection integrating non-financial criteria.- 69 R. Cerqueti, M. Giacalone and D. Panarello, A Generalized Error Distribution-based method for Conditional Value-at-Risk evaluation.- 70 M. Bernardi and P. Stolfi, Robust time-varying undirected graphs.- 71 J.L. Vilar-Zanón and O. Peraita-Ezcurra, Pricing illiquid assets by entropy maximization through linear goal programming.- 72 R. Casarin, M. Billio and M. Iacopini, Bayesian Tensor Regression Models.- 73 M. Bernardi and P. Stolfi, Approximate EM algorithm for sparse estimation of multivariate location--scale mixture of normal. 74 I. Albarrán Lozano, P. J. Alonso-González and J. De Vicente Maldonado, Links between mortality rates and economic activity: a DFM approach.- 75 C. De Rosa, E. Luciano and L. Regis, Geographic diversification in annuity portfolios.- 76 U. Fiore, Z. Marino, F. Perla, S. Scognamiglio and P. Zanetti, Tuning a Deep Learning Network on Solvency II: Preliminary Results.- 77 G. Albano and V. Giorno, Inference in a Non-Homogeneous Vasicek-Type Model.- 78 D. Arzu and G M. Mantovani, Research Project MAF: A Bank Specific Integrated Rating.- 79 G. Piscopo, A comparative analysis of neuro fuzzy infer-ence systems for mortality prediction.- 80 F. Gannon, F. Legros and V. Touze, Automatic Balancing Mechanisms in Practice: What lessons for pension policy makers?.- 81 A.R. Bacinello and I. Zoccolan, Variable Annuities with State-Dependent Fees.- 82 A. Masson, The challenges of wealth and its intergenerational transmission in an aging society.- 83 L. Catania, F. Ravazzolo and S. Grassi, Quantitative Risk Management for Cryptocurrencies.- 84 J. Lledo Benito, J. M. Pavía Miralles and F. G. Morillas Jurado, The Level Mortality in Insured Population.- 85 I. Chatterjee, M. Hao, A. Macdonald, P. Tapadar and R. Guy Thomas, When is utilitarian welfare higher under insurance risk pooling?.- 86 D. Cortes-Sanchez and P. Soriano-Felipe, Forecasting the Equity Risk Premium in the European Monetary Union.- 87 D. Cortes-Sanchez and P. Soriano-Felipe, Statistical learning algorithms to forecast the equity risk premium in the European Monetary Union.- 88 M.F. Carfora, F. Martinelli, F. Mercaldo, A. Orlando and A. Yautsiukhin, Cyber risk management: a new challenge for actuarial mathematics.- 89 I. Albarrán Lozano, A. Benchimol, P.J. Alonso-González and J.M. Marín Diazaraque, Model assembling methodologies: a new model uncertainty approach in mortality projection.

Statistics at Universidad Carlos III de Madrid.

Cira Perna is a professor of Statistics and head of the Department of Economics and Statistics, University of Salerno (Italy). Her research mainly focuses on non-linear time series, artificial neural network models and resampling techniques, and she has published numerous papers on these topics in national and international journals. She has been a member of several scientific committees of national and international conferences.

Marilena Sibillo is a professor of Mathematical Methods for Economics, Finance and Actuarial Sciences at the University of Salerno (Italy). She has several international editing engagements and is the author of over a hundred publications. Her research interests are mainly in longevity risk in life contracts, de-risking strategies, personal pension products and mortality forecasting.