Mathematical and Statistical Methods for Actuarial Sciences and Finance : MAF 2016

Front Matter ....Pages i-viii
 The Effects of Credit Rating Announcements on Bond Liquidity: An Event Study  (Pilar Abad, Antonio Diaz, Ana Escribano, M. Dolores Robles)....Pages 1-15
 The Effect of Credit Rating Events on the Emerging CDS Market  (Laura Ballester, Ana González-Urteaga)....Pages 17-28
 A Generalised Linear Model Approach to Predict the Result of Research Evaluation  (Antonella Basso, Giacomo di Tollo)....Pages 29-41
 Projecting Dynamic Life Tables Using Data Cloning  (Andrés Benchimol, Irene Albarrán, Juan Miguel Marín, Pablo Alonso-González)....Pages 43-57
 Markov Switching GARCH Models: Filtering, Approximations and Duality  (Monica Billio, Maddalena Cavicchioli)....Pages 59-72
 A Network Approach to Risk Theory and Portfolio Selection  (Roy Cerqueti, Claudio Lupi)....Pages 73-82
 An Evolutionary Approach to Improve a Simple Trading System  (Marco Corazza, Francesca Parpinel, Claudio Pizzi)....Pages 83-95
 Provisions for Outstanding Claims with Distance-Based Generalized Linear Models  (Teresa Costa, Eva Boj)....Pages 97-108
 Profitability vs. Attractiveness Within a Performance Analysis of a Life Annuity Business  (Emilia Di Lorenzo, Albina Orlando, Marilena Sibillo)....Pages 109-118
 Uncertainty in Historical Value-at-Risk: An Alternative Quantile-Based Risk Measure  (Dominique Guégan, Bertrand Hassani, Kehan Li)....Pages 119-128
 Modeling Variance Risk Premium  (Kossi Gnameho, Juho Kanniainen, Ye Yue)....Pages 129-141
 Covered Call Writing and Framing: A Cumulative Prospect Theory Approach  (Martina Nardon, Paolo Pianca)....Pages 143-155
 Optimal Portfolio Selection for an Investor with Asymmetric Attitude to Gains and Losses  (Sergei Sidorov, Andrew Khomchenko, Sergei Mironov)....Pages 157-169