Program for Friday, April 6th: Talk View

PROGRAM FOR FRIDAY, APRIL 6TH: TALK VIEW

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View: with abstracts session overview

9:00

9:30

10:00

10:30

11:00

11:30

12:00

12:30

13:00

13:30

14:00

14:30

15:00

15:30

16:00

16:30

17:00

17:30

18:00

09:00-09:20

Dimension selection in distance-based generalized linear models with application to pricing

Eva Boj

09:20-09:40

A cluster distance-based procedure for dimension reduction and prediction

J. Fernando Vera, Eva Boj

09:40-10:00

Logistic classification for new policyholders taking into account prediction error

Eva Boj Del Val, Teresa Costa Cor

09:00-09:20

Modelling and Forecasting Suicide: A Factor-Analytic Approach

Yunus Emre Ergemen, Malene Kallestrup-Lamb

09:20-09:40

The effect of Marital Status on Life Expectancy: Is Cohabitation as Protective as Marriage?

Malene Kallestrup-Lamb

09:40-10:00

Brownian Semistationary models and Fractional Brownian Motions

Orimar Sauri

09:00-09:20

Estimation and prediction for the modulated power law process

Alicja Jokiel-Rokita, Ryszard Magiera

09:20-09:40

An empirical analysis of the lead lag relationship between the CDS and stock market: Evidence in Europe and

Laura Ballester, Rebeca Fernández, Ana González-Urteaga

09:40-10:00

Pricing of agricultural derivatives: an approach based on models with mean reversion and seasonality

Manuel Moreno, Natalia Del Campo-Bustos

09:00-09:20

Numerical solution of the regularized portfolio selection problem

Stefania Corsaro, Valentina De Simone, Zelda Marino, Francesca Perla

09:20-09:40

The influence of dynamic risk aversion in the optimal portfolio context

Antonio Díaz, Carlos Esparcia

09:40-10:00

Approximate EM algorithm for sparse estimation of multivariate location--scale mixture of normals

Mauro Bernardi, Paola Stolfi

10:05-10:25

A Basic Social Pension for Everyone?

J. Iñaki De La Peña, Noemí Peña-Miguel

10:25-10:45

Helping Long Term Care coverage via differential on mortality?

Fernandez-Ramos, De La Peña, Herrera, Iturricastillo, Peña-Miguel

10:45-11:05

A minimum pension for older people via expenses rate

Noemí Peña-Miguel, M. Cristina Fernández-Ramos, J. Iñaki De La Peña

11:05-11:25

Disability Pensions in Spain: A Factor to Compensate Lifetime Losses.

Patricia Peinado

10:05-10:25

Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility

Genaro Sucarrat, Alvaro Escribano

10:25-10:45

Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models

Jean-Michel Zakoian, Christian Francq

10:45-11:05

Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas

Serge Darolles, Christian Francq, Sébastien Laurent

11:05-11:25

Modelling Time-Varying Volatility Interactions with an Application to Volatility Contagion

Cristina Amado, Susana Martins

10:05-10:25

Financial Networks and Mechanisms of Business Capture in Southern Italy over the First Global Wave (1812-1913). A Network

Maria Carmela Schisani, Maria Prosperina Vitale, Giancarlo Ragozini

10:25-10:45

Assessing news contagion in finance

Paola Cerchiello, Giancarlo Nicola

10:45-11:05

Community detection based association rules in bipartite networks

Giuseppe Giordano

10:05-10:25

Forecasting the Equity Risk Premium in the European Monetary Union

David Cortes-Sanchez, Pilar Soriano-Felipe

10:25-10:45

Measuring financial risk co-movement in commodity markets

Lidia Sanchis, Jose Maria Montero, Gema Fernández-Avilés

10:45-11:05

Hybrid tree-finite difference methods for stochastic volatility models

Zanette Antonino, Caramellino Lucia, Briani Maya

11:05-11:25

Revisiting the dynamics between CDS spreads and stock returns under a nonlinear approach

José Luis Fernández, M. Dolores Robles

12:00-12:20

The Level Mortality in Insured Population

Josep Lledo Benito, Jose M. Pavía Miralles, Francisco G. Morillas Jurado

12:20-12:40

Stochastic Mortality in a Lévy Process Framework and Application to Longevity Products

Pierre Devolder, Lexuri Fernández, Donatien Hainaut

12:40-13:00

Consistently modeling unisex mortality rates

Peter Hieber

12:00-12:20

Bayesian nonparametric sparse Vector Autoregressive models

Luca Rossini, Monica Billio, Roberto Casarin

12:20-12:40

Sparse networks through regularised regressions

Mauro Bernardi, Michele Costola

12:40-13:00

Disagreement in Signed Financial Networks

Monica Billio, Roberto Casarin, Michele Costola, Lorenzo Frattarolo

13:00-13:20

Bayesian Tensor Binary Regression

Monica Billio, Roberto Casarin, Matteo Iacopini

13:20-13:40

Bayesian Tensor Regression Models

Roberto Casarin, Monica Billio, Matteo Iacopini

12:00-12:20

Computation of CVA, DVA and BVA adjustment using a copula approach for dependence modeling

Davood Ahmadian, Akbar Ebrahimi

12:20-12:40

An Integrated Approach to Explore the Complexity of Interest Rates Network Structure

Maria Elena De Giuli, Marco Neffelli, Marina Resta

12:40-13:00

A model-based measure of network heterogeneity with an application to the Austrian interbank market

Juraj Hledik, Riccardo Rastelli

13:00-13:20

Loss data analysis with maximum entropy

Henryk Gzyl, Silvia Mayoral, Erika P. Gomes

12:00-12:20

Valuing insider information on interest rates in financial markets

Bernardo D'Auria, José Antonio Salmerón

12:20-12:40

A continuous time model for BitCoin price dynamics

Gianna Figà-Talamanca, Alessandra Cretarola, Marco Patacca

12:40-13:00

Small Sample Analysis in Diffusion Processes: a Simulation Study

Giuseppina Albano, Cira Perna, Michele La Rocca

13:00-13:20

Inference in a Non-Homogeneous Vasicek-Type Model

Giuseppina Albano, Virginia Giorno

15:00-15:20

Modeling equity release benefits in terms of financial needs of the elderly

Patrycja Kowalczyk-Rólczyńska

15:20-15:40

Actual sustainability of a pension system by logical sustainability theory. An application to the CNPADC Italian

M. Angrisani, A. Annibali, G. Di Nella, C. Di Palo, M. Macellari

15:00-15:20

Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors

Niklas Ahlgren, Paul Catani

15:20-15:40

Drift in Transaction-Level Asset Price Models

Philippe Soulier

15:00-15:20

Modeling dependent and simultaneous risk events via the Batch Markov-Modulated Poisson Process

Yoel Yera, Rosa E. Lillo, Pepa Ramírez-Cobo

15:20-15:40

Optimal investment strategies and intergenerational risk sharing for target benefit pension plans

Suxin Wang, Yi Lu, Barbara Sanders

15:40-16:00

A generalized moving average convergence/divergence for testing semi-strong market efficiency

Francesco Bartolucci, Alessandro Cardinali, Fulvia Pennoni

15:00-15:20

A market consistent framework for the fair evaluation of insurance contracts under Solvency II

Anna Maria Gambaro, Riccardo Casalini, Gianluca Fusai, Alessandro Ghilarducci

15:20-15:40

Risk and return in Loss Portfolio Transfer (LPT) treaties within Solvency II capital system: a reinsurer’s point of

Nicolino Ettore D'Ortona, Gabriella Marcarelli, Giuseppe Melisi

15:40-16:00

Conic Finance and Earning Announcements

Gero Junike

16:30-16:50

The Drivers and Value of Enterprise Risk Management: Evidence from ERM Ratings

Alexander Bohnert, Nadine Gatzert, Robert E. Hoyt, Philipp Lechner

16:50-17:10

Latent risk in the correlation assumption under insurance regulations

Martin Eling, Kwangmin Jung

17:10-17:30

The assessment of longevity risk in a stochastic Solvency II perspective

Massimiliano Politano, Giovanna Di Lorenzo, Albina Orlando

17:30-17:50

Tuning a Deep Learning Network for Solvency II: Preliminary Results

U. Fiore, Z. Marino, L. Passalacqua, F. Perla, S. Scognamiglio, P. Zanetti

16:30-16:50

Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon

G.S. Uddin, J.A. Hernandez, S.J.H. Shahzad, A. Hedström

16:50-17:10

The behaviour of energy-related volatility indices around scheduled news announcements: Implications for variance swap

Raquel López

17:10-17:30

Modelling the Australian electricity spot prices: A VAR-BEKK approach

Davide De Gaetano, Manuela Braione

16:30-16:50

Testing normality for unconditionally heteroscedastic macroeconomic variables

Hamdi Raissi

16:50-17:10

Regulatory Learning: how to supervise machine learning models?

Guegan Dominique

17:10-17:30

Financial systems convergence in the EU and the crisis

Tommaso Colozza, Emilio Barucci

17:30-17:50

Optimal insurance contract under ambiguity. Applications in extreme climatic events.

Corina Birghila, Georg Pflug

16:30-16:50

Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps

Xiaoshan Su, Olivier Le Courtois

16:50-17:10

Optimal Strategies With Option Compensation Under Mean Reverting Returns or Volatilities

Marco Nicolosi, Stefano Herzel

17:10-17:30

The variance implied hedge ratio

Andres Algaba, Kris Boudt, Steven Vanduffel

17:30-17:50

Option price decomposition in spot-dependent volatility models and some applications

Raúl Merino, Josep Vives

18:00-18:20 Closing

11:25-12:00 Coffee Break

13:20-15:00 Lunch Break

16:00-16:30 Coffee Break