Mathematical and statistical methods for actuarial sciences and finance : MAF 2022

Preface
Contents
Absolute and Relative Gender Gap in Pensions: The Impact of the Transition from DB to NDC in Italy
	1 Introduction
	2 Data and Methodology
		2.1 Data
		2.2 Methodology
	3 Preliminary Results
	4 Remarks
	References
TPPI: Textual Political Polarity Indices. The Case of Italian GDP
	1 Introduction
	2 Data
		2.1 The Italian Senate Verbatim Reports
		2.2 The Italian Yearly GDP Time Series
	3 Determining Words Sentiment Polarities
	4 Polarity Indices Time Series
		4.1 Total Textual Political Polarity Index (TPPI-T)
		4.2 Group Specific Textual Political Polarity Indices (TPPI-GS)
		4.3 Polarity Divergence Indices (TPPI-D)
	5 Evaluating Indices Configurations
	6 Conclusion
	References
Quantile Regression Forest for Value-at-Risk Forecasting Via Mixed-Frequency Data
	1 Introduction
	2 Methodology
	3 Empirical Application
	4 Conclusions
	References
Gender Attitudes Toward Longevity and Retirement Planning: Theory and Evidence
	1 Introduction
	2 Drivers of Retirement Behaviour: the State-of-the-Art
	3 Subjective Longevity, Gender and Economic Choices
	4 Our Research Framework and Directions
	References
Semiclassical Pricing of Variance Swaps in the CEV Model
	1 Introduction
	2 The Model
		2.1 Variance Swap Pricing
	3 Realized Variance Replication
		3.1 The Semiclassical Approximation for the Log Contract
	4 Numerical Results
	References
Indexing Pensions to Life Expectancy: Keeping the System Fair Across Generations
	1 Introduction
	2 Intergenerational Fairness and Neutrality Condition
	3 Policy Options
		3.1 Adjusting the Contribution Rate
		3.2 Adjusting the Retirement Age While Keeping the Replacement Rate Constant
		3.3 Adjusting the Retirement Age While Improving Pension Adequacy
		3.4 Amending Entry Pensions Through a Sustainability Factor
	4 Conclusion
	References
Dynamic Withdrawals and Stochastic Mortality in GLWB Variable Annuities
	1 Introduction
	2 The Contract Structure
	3 The Valuation Framework
	4 Dynamic Programming
		4.1 Bang-Bang Analysis
		4.2 Contract Decomposition
	5 Conclusion
	References
A Regression Based Approach for Valuing Longevity Measures
	1 Introduction
	2 Life Expectancy and Computational Framework
		2.1 Valuation Procedure
	3 Numerical Results
	4 Conclusion
	References
On the Assessment of the Payment Limitation for an Health Plan
	1 Introduction
	2 Actuarial Framework
	3 The Optimal Reimbursement Problem
	4 Numerical Investigation
	5 Conclusions
	References
Reference Dependence in Behavioral Portfolio Selection
	1 Introduction
	2 Behavioral Portfolio Selection
	3 The Reference Point
	4 An Application
	References
Pricing Rainfall Derivatives by Genetic Programming: A Case Study
	1 Introduction
	2 Genetic Programming
	3 Rainfall Derivatives Pricing
	4 Data and Application
	5 Conclusion
	References
Estimation of the Gift Probability in Fund Raising Management
	1 Introduction
	2 The Donor
	3 Modeling the Gift as an Individual Risk
	4 Poisson Regression in FR
	References
The Estimation Risk in Credit Regulatory Capital
	1 Introduction
	2 The Capital Requirement in the IRB Approach
	3 The Dataset and Parameters' Gaussian Copula
	4 Estimation Risk in RC and Policy Implication
	References
Actuarial Fairness in Pension Systems: An Empirical Evaluation for Italy Using an OLG Model
	1 Introduction
	2 Methods
	3 Main Results
	4 Discussion and Conclusions
	References
Forecasting VIX with Hurst Exponent
	1 Introduction
	2 Model and Estimator
	3 Empirical Analysis and Results
	4 Conclusions and Further Directions
	References
Modelling H-Volatility with Fractional Brownian Bridge
	1 Introduction
	2 Fractional Brownian Bridge
	3 Methodology and Application
	4 Conclusion
	References
Shapley Value in Partition Function Form Games: New Research Perspectives for Features Selection
	1 Introduction
	2 Games in Partition Function Form
		2.1 The Shapley Value
	3 Shapley Values for Features Contributions
	4 Conclusions and Further Research
	References
Nonparametric Estimation of Range Value at Risk
	1 Introduction
		1.1 Definitions
	2 Nonparametric Methods for Estimating RVaR
		2.1 Empirical Estimator
		2.2 Brazauskas et al.'s Estimator
		2.3 Kernel Estimator
		2.4 Yamai and Yoshiba's Estimator
		2.5 Filtered Historical Method
	3 Simulation
	4 Findings
	References
A Fixed Career Length Versus a Fixed Retirement Age: An Analysis per Socio-Economic Groups
	1 Introduction
	2 Objective
	3 Actuarial Fairness
	4 Data
	5 Policy Implications
	References
Nonparametric Test for Financial Time Series Comparisons
	1 Introduction
	2 Statistical Problem
	3 Methodological Solution
	4 Case Study
	5 Concluding Remarks
	References
Innovative Parametric Weather Insurance on Satellite Data in Agribusiness
	1 Introduction
	2 Methodology and Satellite Data
	3 Personalised Parametric Weather Insurance
	4 Numerical Application
	5 Concluding Remarks
	References
An Application of the Tensor-Based Approach to Mortality Modeling
	1 Introduction
	2 Methodology and Application
	3 Conclusions
	References
Cyber Risk: Estimates for Malicious and Negligent Breaches Distributions
	1 Introduction
	2 Cyber Incidents and Data Breaches
	3 Case Study
	4 Concluding Remarks
	References
Modeling and Forecasting Natural Gas Futures Prices Dynamics: An Integrated Approach
	1 Introduction
	2 Data and Methods
	3 Empirical Results
	4 Conclusion
	A  Appendix: Figures
	References
Modelling Life Expectancy Gender Gap in a Multi-population Framework
	1 Introduction
	2 Materials and Methods
	3 Results
	4 Conclusions
	References
Decision Making in Portfolio Optimization by Using a Tri-Objective Model and Decision Parameters
	1 Introduction and Motivation of the Study
	2 Study Framework and Experimental Results
	3 Conclusions
	References
Bitcoin Price Prediction: Mixed Integer Quadratic Programming Versus Machine Learning Approaches
	1 Introduction
	2 Our Problem
		2.1 Our MIP Viewpoint vs. SVMs
	References
Verifying the Rényi Dependence Axioms for a Non-linear Bivariate Comovement Index
	1 Introduction
	2 The Comovement Index and the Rényi Dependence Axioms
	3 Is 1 , 2 a Measure of Dependence à la Rényi?
	References
Inflation Perceptions and Expectations During the Pandemic: A Model Based Approach
	1 Introduction
	2 The Model
	3 Results
	4 Conclusions
	References
A Proposal to Calculate the Regulatory Capital Requirements for Reverse Mortgages
	1 Introduction
	2 Modeling House Price Risk, Interest Rate Risk and Mortality Rate Dynamics
	3 Calculation of Regulatory Capital Requirements
	References
LTC of a Defined Benefit Employee Pension Scheme
	1 Introduction
	2 The Model
	3 A Sample for Spain
		3.1 Mortality Tables by State
		3.2 Results
	4 Conclusions
	References
Socio-Economic Challenges at the Time of COVID-19: The Proactive Role of the Insurance Industry
	1 Introduction
	2 Sustainability and Impact: A Possible Conjugation
		2.1 The Guidelines of the Scheme
		2.2 Which Category Within Socially Responsible Investments?
	References
Feynman-Kac Formula for BSDEs with Jumps and Time Delayed Generators Associated to Path-Dependent Nonlinear Kolmogorov Equations
	1 The Non-linear Path Dependent Kolmogorov Equation
	2 The FBSDE System
	3 Feynman-Kac Formula
	4 Financial Applications
		4.1 The Large Investor Problem
		4.2 Dynamic Risk Measure for an Insurance Payment Process
	References
The Role of Stablecoins: Cryptocurrencies Sought Stability and Found Gold and Dollars
	1 Introduction
	2 Methodology
		2.1 The Portfolio Allocation Method
		2.2 Downside Risk Measures and Backtesting
	3 Main Results and Findings
	References
Interbank Networks and Liquidity Risk
	1 Introduction
	2 A Model of Liquidity Dynamics on an Interbank Network
	3 Numerical Simulations with Diagnostic of Network Efficiency
	4 Conclusions and Research Perspectives
	References
Kendall Conditional Value-at-Risk
	1 Introduction
	2 The Kendall CoVaR
	3 Illustration: Analysis of the Italian banking systems
	References
Daily Trading of the FTSE Index Using LSTM with Principal Component Analysis
	1 Introduction
	2 Related Work
		2.1 Ensemble Methods
		2.2 Hybrid Methods
		2.3 Deep Learning Paradigms
	3 Model Architecture
		3.1 Overview
		3.2 Sub-Learners
		3.3 Meta-learners
	4 Methods
		4.1 Creating the Dataset
	5 Experimental Setup and Evaluation
	6 Results
	7 Conclusion
	References
A Hybrid Model Based on Stochastic Volatility and Machine Learning to Forecast Log Returns of a Risky Asset
	1 Introduction
	2 The Hybrid Model
	3 Numerical Experiments
	References
Financial Time Series Classification by Nonparametric Trend Estimation
	1 Introduction
	2 The Proposed Method
	3 Real Data Application
	4 Conclusions
	References
Differential Pursuit-Evasion Games and Space Economy: New Research Perspectives
	1 Introduction
	2 Space Economy and the Detritus Management: The Role of Differential Games
	3 Concluding Remarks and Further Developments
	References
Graphical Models for Commodities: A Quantile Approach
	1 Introduction
	2 Model Specification
	3 Main Results and Conclusions
	References
The Mardia's Kurtosis of a Multivariate GARCH Model
	1 Introduction
	2 Main Results
	3 Theorem's Proof
	References
Automatic Balance Mechanisms in an NDC Pension System with Disability Benefits
	1 Introduction
	2 The Model
	3 Financial Sustainability and ABMs
	4 Numerical Application and Conclusions
	References
Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance Mathematics
	1 Introduction
	2 Modeling Framework
	3 Deep Neural Network Approximation for Linear PIDEs
		3.1 Representation as Solution of a Minimization Problem
		3.2 The Algorithm
		3.3 Example
	References
Ergodic Behavior of Returns in a Buy Low and Sell High Type Trading Strategy
	1 Introduction
	2 Trading with Fixed Thresholds
	3 Numerical Simulations
	References
Improving Decision Making Information: “Table 29” to an Actuarial Balance Sheet
	1 Introduction
	2 The European Union Requirement for “Table 29”
	3 Improving Pension Information for Decision Making
	4 Conclusions
	References
Revisiting Risk Premia in Electricity Markets
	1 Background on the Bessembinder and Lemmon's Model
	2 Simulations and Results
	3 Conclusions
	References
A Semi-Markov Model for Stock Returns with Momentum and Mean-Reversion
	1 Introduction
	2 Return Autocorrelation in a Regime-Switching Model
	3 Return Autocorrelation in a Markov Model
	4 Topology of ESMSM
	5 Analytical Solutions
	6 Empirical Application
	References
A Variable Selection Method for High-Dimensional Survival Data
	1 Introduction
	2 The Proposed Procedure
	3 Simulation Study
	4 Conclusion
	References
Ranking-Based Variable Selection for the Default Risk of Bank Loan Holders
	1 Introduction
	2 The Model
	3 RBVS Algorithm
	4 Default Risk of Bank Loan Holders
	References
Exploring Non Linear Structures in Range-Based Volatility Time Series
	1 Introduction
	2 The Range-Based Volatility Measures
	3 ELM for High-Low Range Volatility Models
	4 Application to Real Data and Concluding Remarks
	References
Mortality Risk. Incorporating the New Seasonal-Ageing Index (SAI) into a Pricing Strategy
	1 Introduction
	2 Benefits and Losses. Pricing Strategies
	3 Results
	4 Conclusions and Future Research
	References
Credit Spreads, Leverage and Volatility: A Cointegration Approach
	1 Credit Risk Model and Calibration
	2 The Error Correction Mechanism
	3 The Main Result
	4 Conclusions
	References
Business Intelligence Modelling for Studying Science Parks Externalities
	1 Introduction
	2 Problem Statement and Methodology
		2.1 Research Method and Data Collection
		2.2 Research Data Analysis Method
		2.3 Structural Equation Modeling
	3 Main Results
	4 Conclusions
	References
Surrender and Path-Dependent Guarantees in Variable Annuities: Integral Equation Solutions and Benchmark Methods
	1 The Framework
	2 Volterra Integral Equation Approach
	3 Hints to the Benchmark Methods and Numerical Results
	References
Weather Index-Based Insurance in Agricultural Risk Management
	1 Introduction
	2 Methodology
	3 Numerical Application
	4 Conclusions
	References
Lattice Cryptalization and Cybersecurity: New Findings in Analyzing Cryptovalues Dynamics
	1 Introduction
	2 Encryption: A Brief Introduction
		2.1 Asymmetric Encryption Algorithms
	3 RSA Cryptosystem
	4 Lattice Based Cryptanalysis
	5 Application to Cryptovalues Dynamics
	6 Conclusion
	References
The Impact of Newspaper-Based Uncertainty Indices on Tail Risk Forecasting
	1 Introduction
	2 The Realized Exponential GARCH
	3 Estimation
	4 The Data
	5 Empirical Findings
	6 Conclusion
	References
The Impact of Collateralization on Longevity Swap Transactions
	1 Introduction
	2 Mortality Models
		2.1 The Lee-Carter Model
		2.2 The Lee-Carter Model with Exponential Transitory Jumps and Renewal Process
	3 Hedging with Collateral
	4 Conclusions
	References
Time-Varying Assets Clustering via Identity-Link Latent-Space Infinite Mixture: An Application on DAX Components
	1 Introduction
	2 Literature Review
	3 LS Infinite-Mixture Model with Identity Link
	4 Empirical Application
	5 Conclusion
	References
Demographic Risks Associated with a Tontine Investment
	1 Introduction
	2 Gompertz Distribution
	3 Basic Formulas of the Tontine Payout
	4 Demographic Risks
	5 Conclusion
	References
A Geographical Analysis of the Systemic Risk by a Compositional Data (CoDa) Approach
	1 Introduction
	2 The Compositional Approach
	3 Application
	References
Jump-Telegraph Market Model: Barrier Binary Options
	1 Market Model and Measure Transform
	2 Cash-(At Hit)-or-Nothing Barrier Binary Option
		2.1 ``Bull Market'' and Positive Threshold
		2.2 ``Bull Market'' and Negative Threshold
		2.3 ``Bear Market'' and the Cramér-Lundberg Ruin Model
	3 Conclusion
	References
Estimating Recovery Curve for NPLs
	1 Introduction
	2 Recovery Rate and Time to Liquidate of a Portfolio
	3 Estimating the Recovery Rate Curve from Censored Data
	4 Application
	5 Conclusions and Final Remarks
	References
An Application of the Pair-Copula Construction to a Non-life Dataset
	1 Introduction
	2 An Hint on Pair-Copula Construction
	3 Numerical Application
	4 Conclusion and Further Research
	References
New Insights on Loss Given Default for Shipping Finance: Parametric and Non-parametric Estimations
	1 Introduction
	2 Data
	3 Methodology and Performance Assessment
	4 Results
		4.1 Variable Importance
		4.2 Effect of Energy Index in Model Prediction
	5 Conclusion
	References
Real R&D Options Under Sentimental Information Analysis
	1 Introduction
	2 AlBERTino for Sentiment Analysis
	3 Probability of Success in R&D Stages
	4 Conclusions
	References
A Multi-population Locally-Coherent Mortality Model
	1 Introduction
	2 Multi-population Mortality Modelling
	3 A Multi-population Locally-Coherent Mortality Model
	4 Results
	References
RVaR Hedging and Market Completions
	1 RVaR Hedging Problem
		1.1 Multidimensional Diffusion Market Model
		1.2 Optimization Problem
		1.3 Method of Market Completions
		1.4 Pricing Functional for RVaR Problem
		1.5 Application
	References
External Spillover Index and Its Relation with GDP per Capita on European Countries
	1 Introduction
	2 Methodology
	3 Data
	4 Results
	5 Conclusions
	References
Author Index