Talk Author Index

TALK AUTHOR INDEX

Shortcuts: A B C D E F G H I J K L M N O P R S T U V W X Y Z Ø

A
Abad, Pilar	Price informativeness and rating revisions: Effects of reputational events and regulation reforms The effect of rating contingent guidelines and regulation around credit rating news
Adcock, Chris	Market Crashes and the Capital Asset Pricing Model
Ahlgren, Niklas	Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors
Ahmadian, Davood	Computation of CVA, DVA and BVA adjustment using a copula approach for dependence modeling
Albano, Giuseppina	Small Sample Analysis in Diffusion Processes: a Simulation Study Inference in a Non-Homogeneous Vasicek-Type Model
Albarrán Lozano, Irene	Mortality Projection using Bayesian Model Averaging Using deepest dependency paths to enhance life expectancy estimation
Albosaily, Sahar	The optimal investment and consumption for financial markets generated by the spread of risky assets for the power utility
Algaba, Andres	The variance implied hedge ratio
Alghanim, Rashed	Pricing Electricity Derivatives with Markov Regime Switching Models
Alonso-González, Pablo Jesús	Mortality Projection using Bayesian Model Averaging Using deepest dependency paths to enhance life expectancy estimation Analysis of the evolution of changes in the Spanish mortality rates using functional data
Amado, Cristina	Modelling Time-Varying Volatility Interactions with an Application to Volatility Contagion
Amendola, Alessandra	Combining multivariate volatility models
Amerise, Ilaria Lucrezia	Automatic detection and imputation of outliers in electricity price time series
Angrisani, Massimo	Actual sustainability of a pension system by logical sustainability theory. An application to the CNPADC Italian case
Angulo, Pablo	Bayesian Factorization Machines for Risk Management and Robust Decision Making
Annibali, Antonio	Actual sustainability of a pension system by logical sustainability theory. An application to the CNPADC Italian case
Antonino, Zanette	Hybrid tree-finite difference methods for stochastic volatility models
Apicella, Giovanna	Improving Lee-Carter forecasting: methodology and some results
Ardia, David	Forecasting risk with Markov-switching GARCH models: A large-scale performance study
Arzu, Daniela	The bank tailored integrated rating
Assa, Hirbod	Monotone monetary preferences on large spaces
Atance, David	A Single Factor Model for Constructing Dynamic Life Tables.
B
Bacinello, Anna Rita	Variable Annuities with State-Dependent Fees
Bacinello, Anna Rita	Market-Consistent Valuation of Participating Life Insurance Contracts under Longevity Risk: The Case with Heterogeneous Groups of Policyholders
Baione, Fabio	Dynamic policyholder behaviour and surrender option evaluation for life insurance. An individual risk model for premium calculation based on quantile: a comparison between Generalized Linear Models and Quantile Regression
Balbas, Alejandro	VaR Representation Theorem Value at Risk for heavy tailed ambiguous risks
Balbas, Beatriz	VaR Representation Theorem Value at Risk for heavy tailed ambiguous risks
Balbas, Raquel	VaR Representation Theorem
Ballester, Laura	An empirical analysis of the lead lag relationship between the CDS and stock market: Evidence in Europe and US
Barro, Diana	Integration of non-financial criteria in equity investment
Bartolucci, Francesco	A generalized moving average convergence/divergence for testing semi-strong market efficiency
Barucci, Emilio	Financial systems convergence in the EU and the crisis
Battaglia, Francesco	Periodic autoregressive models with multiple structural changes by genetic algorithms
Benchimol, Andrés	Mortality Projection using Bayesian Model Averaging
Benita, Francisco	A Bi-level Programming Approach for Global Investment Strategies with Financial Intermediation
Bernardi, Alberto	Two–Sided Skew and Shape Dynamic Conditional Score Models
Bernardi, Mauro	Approximate EM algorithm for sparse estimation of multivariate location--scale mixture of normals Sparse networks through regularised regressions Robust time--varying undirected graphs Two–Sided Skew and Shape Dynamic Conditional Score Models
Berti, Alessandro	An Extension of Multidimensional Scaling to Several Distance Matrices, and its Application to the Italian Banking Sector
Biancalana, Davide	Dynamic policyholder behaviour and surrender option evaluation for life insurance. An individual risk model for premium calculation based on quantile: a comparison between Generalized Linear Models and Quantile Regression
Billio, Monica	Bayesian nonparametric sparse Vector Autoregressive models Disagreement in Signed Financial Networks Bayesian Tensor Binary Regression Bayesian Tensor Regression Models
Birghila, Corina	Optimal insurance contract under ambiguity. Applications in extreme climatic events.
Blanco, Ivan	Coherent risk measures and infinite expectation risks
Bluteau, Keven	Forecasting risk with Markov-switching GARCH models: A large-scale performance study
Boado Penas, Carmen	Automatic Balancing Mechanisms for Mixed Pension Systems
Bohn Nielsen, Heino	Bootstrap Non-Stable Autoregressive Processes: Modelling of Bubbles
Bohnert, Alexander	The Drivers and Value of Enterprise Risk Management: Evidence from ERM Ratings
Boj, Eva	Dimension selection in distance-based generalized linear models with application to pricing A cluster distance-based procedure for dimension reduction and prediction Logistic classification for new policyholders taking into account prediction error
Bonaccolto, Giovanni	Conditional Autoregressive Quantile-Located Value-at-Risk
Bonini, Stefano	Risk/Return analysis on credit exposure: do small banks really apply a pricing risk-based on their loans? Probability of Default Modeling: A Machine Learning Approach
Borri, Nicola	Life insurers’ asset-liability dependency and low-interest-rate environment
Bouamara, Nabil	Left tail risk attribution in algorithmic portfolio strategies
Boudt, Kris	Left tail risk attribution in algorithmic portfolio strategies Forecasting risk with Markov-switching GARCH models: A large-scale performance study The variance implied hedge ratio
Bozzo, Giuseppina	Modelling mortality of subpopulation with Per Capita GDP
Braione, Manuela	Combining multivariate volatility models Modelling the Australian electricity spot prices: A VAR-BEKK approach
Brignone, Riccardo	Asian Options pricing under Ornstein–Uhlenbeck dynamic
C
Caivano, Giuliana	Risk/Return analysis on credit exposure: do small banks really apply a pricing risk-based on their loans? Probability of Default Modeling: A Machine Learning Approach
Candila, Vincenzo	Combining multivariate volatility models
Caporin, Massimiliano	Conditional Autoregressive Quantile-Located Value-at-Risk Price convergence within and between the Italian electricity day-ahead and dispatching services markets
Caporin, Massimiliano	Forecasting Systemic Risk
Cardinali, Alessandro	A generalized moving average convergence/divergence for testing semi-strong market efficiency
Carfora, Maria Francesca	Cyber risk management: a new challenge for actuarial mathematics
Carlson, Murray	Household wealth and portfolio choice when tail events are salient
Casalini, Riccardo	A market consistent framework for the fair evaluation of insurance contracts under Solvency II
Casarin, Roberto	Bayesian nonparametric sparse Vector Autoregressive models Disagreement in Signed Financial Networks Bayesian Tensor Binary Regression Bayesian Tensor Regression Models
Casas, Isabel	Reexamining financial and economic predictability with new estimators of realized variance
Cascos, Ignacio	The loss function approach in multivariate risk measurement
Catani, Paul	Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors
Catania, Leopoldo	Predicting the Conditional Distribution of Energy Returns using Score Driven Dynamics Quantitative Risk Management for Cryptocurrencies Forecasting risk with Markov-switching GARCH models: A large-scale performance study
Cavaliere, Giuseppe	Bootstrap Non-Stable Autoregressive Processes: Modelling of Bubbles
Cemgil, Ali Taylan	Modeling High-Frequency Price Data with Bounded-Delay Hawkes Processes
Cerchiello, Paola	Assessing news contagion in finance
Cerqueti, Roy	A Generalized Error Distribution-based method for Conditional Value-at-Risk evaluation
Cerrone, Rosaria	Life insurers’ asset-liability dependency and low-interest-rate environment
Cesari, Riccardo	Optimal Management of Immunized Portfolios
Charron, Jean Philippe	Value at Risk for heavy tailed ambiguous risks
Chatterjee, Indradeb	When is utilitarian welfare higher under insurance risk pooling? (Abstract) When is utilitarian welfare higher under insurance risk pooling? (Short Paper - pdf)
Chen, An	Market-Consistent Valuation of Participating Life Insurance Contracts under Longevity Risk: The Case with Heterogeneous Groups of Policyholders
Cipollini, Fabrizio	Forecasting Optimal Portfolio Weights Using High Frequency Data
Cocozza, Rosa	Life insurers’ asset-liability dependency and low-interest-rate environment
Colaneri, Katia	The value of information for optimal portfolio management
Colozza, Tommaso	Financial systems convergence in the EU and the crisis
Coppola, Mariarosaria	Risk and Uncertainty for Flexible Retirement Schemes
Corazza, Marco	Comparing possibilistic portfolios to probabilistic ones Some critical insights on the unbiased efficient frontier à la Bodnar & Bodnar
Corcuera, Jose Manuel	Equilibrium under imperfect competition and asymmetric information A continuous auction model with insiders and random time of information release
Corsaro, Stefania	Numerical solution of the regularized portfolio selection problem A copula-based quantile model
Cortes-Sanchez, David	Forecasting the Equity Risk Premium in the European Monetary Union Statistical learning algorithms to forecast the equity risk premium in the European Monetary Union
Cosso, Andrea	The Value of Informational Arbitrage
Costa Cor, Teresa	Logistic classification for new policyholders taking into account prediction error
Costabile, Massimo	Evaluating variable annuities with GMWB when exogenous factors influence the policy-holder withdrawals
Costola, Michele	Sparse networks through regularised regressions Disagreement in Signed Financial Networks
Cretarola, Alessandra	A continuous time model for BitCoin price dynamics
Crosato, Lisa	Forecasting the volatility of electricity prices by robust estimators: an application to the Italian market.
Cucina, Domenico	Periodic autoregressive models with multiple structural changes by genetic algorithms
Curcio, Domenico	Life insurers’ asset-liability dependency and low-interest-rate environment
D
D'Amato, Valeria	”Money purchase” pensions: contract proposals and risk analysis What if two different interest rates datasets allow for discribing the same financial product?
D'Auria, Bernardo	Valuing insider information on interest rates in financial markets Optimal stopping and Volterra type equations: application to the Brownian bridge
D'Ortona, Nicolino Ettore	Risk and return in Loss Portfolio Transfer (LPT) treaties within Solvency II capital system: a reinsurer’s point of view
Dacorogna, Michel	Improving Lee-Carter forecasting: methodology and some results
Danielova Zaharieva, Martina	Bayesian semiparametric multivariate stochastic volatility with an application to international volatility co-movements
Darolles, Serge	Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas
De Angelis, Paolo	Dynamic policyholder behaviour and surrender option evaluation for life insurance. An individual risk model for premium calculation based on quantile: a comparison between Generalized Linear Models and Quantile Regression
De Angelis, Tiziano	Optimal annuitization under regime switching mortality
de Frutos, Estela	An experience based premium rate discounts system in crop insurance using Tweedie’s regressions
De Gaetano, Davide	Modelling the Australian electricity spot prices: A VAR-BEKK approach
De Giuli, Maria Elena	An Integrated Approach to Explore the Complexity of Interest Rates Network Structure
De La Peña, J. Iñaki	A Basic Social Pension for Everyone? Helping Long Term Care coverage via differential on mortality? A minimum pension for older people via expenses rate
De Luca, Giovanni	A copula-based quantile model
De Rosa, Clemente	International longevity risk pooling
De Simone, Valentina	Numerical solution of the regularized portfolio selection problem
Deelstra, Griselda	A Self-Excited Switching Jump Diffusion (SESJD): properties, calibration and hitting time
Del Campo-Bustos, Natalia	Pricing of agricultural derivatives: an approach based on models with mean reversion and seasonality
Del Olmo, Francisco	A TWO-STEPS MIXED PENSION SYSTEM: AN AGGREGATE ANALYSIS
Devolder, Pierre	Stochastic Mortality in a Lévy Process Framework and Application to Longevity Products
Devolder, Pierre	A TWO-STEPS MIXED PENSION SYSTEM: AN AGGREGATE ANALYSIS
Di Iorio, Francesca	Forecasting energy price volatilities and comovements: New evidences from fractionally integrated multivariate GARCH models
Di Lorenzo, Emilia	”Money purchase” pensions: contract proposals and risk analysis What if two different interest rates datasets allow for discribing the same financial product? Improving Lee-Carter forecasting: methodology and some results
Di Lorenzo, Giovanna	The assessment of longevity risk in a stochastic Solvency II perspective
Di Nella, Giovanni	Actual sustainability of a pension system by logical sustainability theory. An application to the CNPADC Italian case
Di Nunno, Giulia	Equilibrium under imperfect competition and asymmetric information A continuous auction model with insiders and random time of information release
Di Palo, Cinzia	Actual sustainability of a pension system by logical sustainability theory. An application to the CNPADC Italian case
Di Sciorio, Fabrizio	The w(p) in the financial markets: An empirical approach on the S&P 500
Dominique, Guegan	Regulatory Learning: how to supervise machine learning models?
Domínguez Fabián, Inmaculada	A TWO-STEPS MIXED PENSION SYSTEM: AN AGGREGATE ANALYSIS
Drenovak, Mikica	Bond Portfolio Management in a Post-Solvency II Regulatory Environment
Díaz, Antonio	The influence of dynamic risk aversion in the optimal portfolio context What if two different interest rates datasets allow for discribing the same financial product? Socially Responsible Ratings and Financial Performance The effect of rating contingent guidelines and regulation around credit rating news
E
Ebrahimi, Akbar	Computation of CVA, DVA and BVA adjustment using a copula approach for dependence modeling
El Haddouti Ben Ali, Camalea	The Islamic Financial Industry. Performance of Islamic vs. conventional sector portfolios
Eling, Martin	Latent risk in the correlation assumption under insurance regulations
Epifanio, Irene	Bivariate Functional Archetypoid Analysis: An Application to Financial Time Series
Erdemlioglu, Deniz	Stock prices dynamics through multidimensional linkages
Ergemen, Yunus Emre	Modelling and Forecasting Suicide: A Factor-Analytic Approach
Escobar, Debora Daniela	Insurance premium principles to price future contracts. Applications in Energy markets.
Escribano, Alvaro	Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
Escribano, Ana	The effect of rating contingent guidelines and regulation around credit rating news
Escudero, Carlos	Extending classical stochastic calculus for insider trading scenarios
Esparcia, Carlos	The influence of dynamic risk aversion in the optimal portfolio context
F
Farkas, Gergely	A continuous auction model with insiders and random time of information release
Fernandez-Ramos, M. Cristina	Helping Long Term Care coverage via differential on mortality? A minimum pension for older people via expenses rate
Fernández, José Luis	Revisiting the dynamics between CDS spreads and stock returns under a nonlinear approach
Fernández, Lexuri	Stochastic Mortality in a Lévy Process Framework and Application to Longevity Products
Fernández, Rebeca	An empirical analysis of the lead lag relationship between the CDS and stock market: Evidence in Europe and US
Fernández-Avilés, Gema	Measuring financial risk co-movement in commodity markets
Ferrari, Giorgio	Optimal annuitization under regime switching mortality
Ferreras, Rodrigo	Price informativeness and rating revisions: Effects of reputational events and regulation reforms
Fersini, Paola	A stochastic model to evaluate the pricing distortions in the indemnity insurance methods for the MTPL insurance
Figueroa-Lopez, Jose	Optimum Thresholding for Semimartingales with Levy Jumps under the mean-squared error
Figà-Talamanca, Gianna	A continuous time model for BitCoin price dynamics
Fiore, Ugo	Tuning a Deep Learning Network for Solvency II: Preliminary Results
Flici, Farid	Sustainability of the Algerian retirement system: a multi scenarios analysis
Fontana, Claudio	The Value of Informational Arbitrage
Fontini, Fulvio	Price convergence within and between the Italian electricity day-ahead and dispatching services markets
Forlicz, Maria	Illusion of control and decision making under risk: experimental results
Forte, Salvatore	A stochastic model to evaluate the pricing distortions in the indemnity insurance methods for the MTPL insurance
Franceschini, Cinzia	Exploratory Projection Pursuit for Multivariate Financial Data
Francq, Christian	Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas
Frattarolo, Lorenzo	Disagreement in Signed Financial Networks
Fries, Sebastian	Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles
Fuente, Ivan	ESTIMATING REGULATORY CAPITAL REQUIREMENTS FOR REVERSE MORTGAGES. AN INTERNATIONAL COMPARISON
Fusai, Gianluca	A market consistent framework for the fair evaluation of insurance contracts under Solvency II
Fusai, Gianluca	Asian Options pricing under Ornstein–Uhlenbeck dynamic
G
Galeotti, Marcello	The Rearrangement algorithm of Puccetti and Rüschendorf: proving the convergence
Gallego, Víctor	Bayesian Factorization Machines for Risk Management and Robust Decision Making
Gallo, Giampiero	Forecasting Optimal Portfolio Weights Using High Frequency Data
Gambaro, Anna Maria	A market consistent framework for the fair evaluation of insurance contracts under Solvency II
Gannon, Frederic	Automatic Balancing Mechanisms in Practice: What lessons for pension policy makers?
Garcia-Jorcano, Laura	Forecasting Systemic Risk
García, Jesús	Nudging long-term saving: Might the “Save More Tomorrow” approach work in Spain?
García-Portugués, Eduardo	Optimal stopping and Volterra type equations: application to the Brownian bridge
Garrido, Jose	Bridging risk measures and classical ruin theory
Garrido Sanchez, Gloria	Socially Responsible Ratings and Financial Performance
Gatzert, Nadine	The Drivers and Value of Enterprise Risk Management: Evidence from ERM Ratings
Ghilarducci, Alessandro	A market consistent framework for the fair evaluation of insurance contracts under Solvency II
Giacalone, Massimiliano	A Generalized Error Distribution-based method for Conditional Value-at-Risk evaluation
Giordano, Francesco	Multiple testing for different structures of Spatial Dynamic Panel Data models Variable selection in estimating bank default
Giordano, Giuseppe	Community detection based association rules in bipartite networks
Giordano, Giuseppe	Empirical Evidence from the Three-way LC model
Giorno, Virginia	Inference in a Non-Homogeneous Vasicek-Type Model
Godinez Olivares, Humberto	Automatic Balancing Mechanisms for Mixed Pension Systems
Gomes, Erika P.	Loss data analysis with maximum entropy
González, María De La O	European Insurers: Interest Rate Risk Management The Islamic Financial Industry. Performance of Islamic vs. conventional sector portfolios EXTENSIONS OF FAMA AND FRENCH MODELS
González-Fernández, Marcos	DO GOOGLE TRENDS HELP TO FORECAST SOVEREIGN RISK IN EUROPE?
González-Urteaga, Ana	An empirical analysis of the lead lag relationship between the CDS and stock market: Evidence in Europe and US
González-Velasco, Carmen	DO GOOGLE TRENDS HELP TO FORECAST SOVEREIGN RISK IN EUROPE?
Granito, Ivan	Dynamic policyholder behaviour and surrender option evaluation for life insurance. An individual risk model for premium calculation based on quantile: a comparison between Generalized Linear Models and Quantile Regression
Grané, Aurea	Using deepest dependency paths to enhance life expectancy estimation
Grassi, Stefano	Quantitative Risk Management for Cryptocurrencies
Grossi, Luigi	Forecasting the volatility of electricity prices by robust estimators: an application to the Italian market.
Guada-Azze, Abel	Optimal stopping and Volterra type equations: application to the Brownian bridge
Guillen, Montserrat	The Contribution of Usage-based Data Analytics to benchmark Semi-autonomous Vehicle Insurance
Gzyl, Henryk	Loss data analysis with maximum entropy
Gómez Ullate, David	Bayesian Factorization Machines for Risk Management and Robust Decision Making
Gómez-Valle, Lourdes	Real-world versus risk-neutral measures in the estimation of an interest rate model with stochastic volatility
H
Haberman, Steven	Empirical Evidence from the Three-way LC model Automatic Balancing Mechanisms for Mixed Pension Systems
Hainaut, Donatien	Stochastic Mortality in a Lévy Process Framework and Application to Longevity Products A Self-Excited Switching Jump Diffusion (SESJD): properties, calibration and hitting time
Hecq, Alain	Detecting Time Irreversibility Using Quantile Autoregressive Models
Hedström, Axel	Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets
Heinen, Andreas	Geographic Dependence and Diversification in House Price Returns: the Role of Leverage
Heras Martínez, Antonio	An experience based premium rate discounts system in crop insurance using Tweedie’s regressions
Herce, José Antonio	A TWO-STEPS MIXED PENSION SYSTEM: AN AGGREGATE ANALYSIS
Hernandez, Jose Areola	Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets
Hernández Estrada, Adolfo	Reducing the risk of adverse selection in the pricing process. A practical case with a two-stage cluster procedure and a Hurdle negative binomial GLM
Herrera, Ana T.	Helping Long Term Care coverage via differential on mortality?
Herzel, Stefano	Optimal Strategies With Option Compensation Under Mean Reverting Returns or Volatilities The value of information for optimal portfolio management
Hieber, Peter	Consistently modeling unisex mortality rates
Hitaj, Asmerilda	Some empirical evidence on the need of more advanced approaches in mortality modeling
Hledik, Juraj	A model-based measure of network heterogeneity with an application to the Austrian interbank market
Hoyt, Robert E.	The Drivers and Value of Enterprise Risk Management: Evidence from ERM Ratings
I
Iacopini, Matteo	Bayesian Tensor Binary Regression Bayesian Tensor Regression Models
Invernizzi, Lorenzo	Could Machine Learning predict the Conversion in Motor Business?
Iturricastillo, Iván	Helping Long Term Care coverage via differential on mortality?
J
Jareño, Francisco	European Insurers: Interest Rate Risk Management The Islamic Financial Industry. Performance of Islamic vs. conventional sector portfolios EXTENSIONS OF FAMA AND FRENCH MODELS
Jelic, Ranko	Bond Portfolio Management in a Post-Solvency II Regulatory Environment
Jiang, Wenjun	Bridging risk measures and classical ruin theory
Jimenez-Martin, Juan-Angel	Forecasting Systemic Risk
Jokiel-Rokita, Alicja	Estimation and prediction for the modulated power law process
Jung, Kwangmin	Latent risk in the correlation assumption under insurance regulations
Junike, Gero	Conic Finance and Earning Announcements
K
Kallestrup-Lamb, Malene	Modelling and Forecasting Suicide: A Factor-Analytic Approach The effect of Marital Status on Life Expectancy: Is Cohabitation as Protective as Marriage?
Kowalczyk-Rólczyńska, Patrycja	Modeling equity release benefits in terms of financial needs of the elderly
Kyriakou, Ioannis	Asian Options pricing under Ornstein–Uhlenbeck dynamic
L
La Rocca, Michele	Small Sample Analysis in Diffusion Processes: a Simulation Study
Lafuente, Juan Angel	Dissecting Interbank Risk using Basis Swap Spreads
Landsman, Zinoviy	An explicit solution of a portfolio optimization problem in a mean-variance-skewness model
Laurent, Sébastien	Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas
Lazrak, Ali	Household wealth and portfolio choice when tail events are salient
Le Courtois, Olivier	Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps
Lechner, Philipp	The Drivers and Value of Enterprise Risk Management: Evidence from ERM Ratings
Legros, Florence	Automatic Balancing Mechanisms in Practice: What lessons for pension policy makers?
Lehnert, Thorsten	The Impact of Feedback Trading on Option Prices
Levantesi, Susanna	Modelling mortality of subpopulation with Per Capita GDP
Li, Xingyi	The Limits to Volatility Predictability: Quantifying Forecast Accuracy Across Horizons
Lillo, Rosa E.	Modeling dependent and simultaneous risk events via the Batch Markov-Modulated Poisson Process
Lledo Benito, Josep	The Level Mortality in Insured Population
Loperfido, Nicola	Kurtosis Maximization for Outlier Detection in GARCH Models An Extension of Multidimensional Scaling to Several Distance Matrices, and its Application to the Italian Banking Sector
Lopez-Diaz, Maria Concepcion	Some connections between stochastic orders and financial derivatives, the case of the condor financial derivatives
Lopez-Diaz, Miguel	Some connections between stochastic orders and financial derivatives, the case of the condor financial derivatives
Lopez-Ramos, Francisco	A Bi-level Programming Approach for Global Investment Strategies with Financial Intermediation
Lu, Yi	Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
Lucchetta, Marcella	The bank tailored integrated rating
Lucia, Caramellino	Hybrid tree-finite difference methods for stochastic volatility models
Luciano, Elisa	International longevity risk pooling
López, Raquel	The behaviour of energy-related volatility indices around scheduled news announcements: Implications for variance swap investments
M
Macdonald, Angus	When is utilitarian welfare higher under insurance risk pooling? (Abstract) When is utilitarian welfare higher under insurance risk pooling? (Short Paper - pdf)
Macellari, Michela	Actual sustainability of a pension system by logical sustainability theory. An application to the CNPADC Italian case
Magatti, Vittorio	Could Machine Learning predict the Conversion in Motor Business?
Maggi, Mario	Google searches for portfolio management: a risk and return analysis
Magiera, Ryszard	Estimation and prediction for the modulated power law process
Makov, Udi	An explicit solution of a portfolio optimization problem in a mean-variance-skewness model
Mancini, Cecilia	Optimum Thresholding for Semimartingales with Levy Jumps under the mean-squared error
Mao, Xiuping	Reexamining financial and economic predictability with new estimators of realized variance
Marcarelli, Gabriella	Risk and return in Loss Portfolio Transfer (LPT) treaties within Solvency II capital system: a reinsurer’s point of view
Marchese, Malvina	Forecasting energy price volatilities and comovements: New evidences from fractionally integrated multivariate GARCH models
Marino, Zelda	Numerical solution of the regularized portfolio selection problem Tuning a Deep Learning Network for Solvency II: Preliminary Results
Martinelli, Fabio	Cyber risk management: a new challenge for actuarial mathematics
Martinez-Fernadez, Sergio	Some connections between stochastic orders and financial derivatives, the case of the condor financial derivatives
Martins, Susana	Modelling Time-Varying Volatility Interactions with an Application to Volatility Contagion
Martínez Rodríguez, Elena	Reducing the risk of adverse selection in the pricing process. A practical case with a two-stage cluster procedure and a Hurdle negative binomial GLM
Martínez-Rodríguez, Julia	Real-world versus risk-neutral measures in the estimation of an interest rate model with stochastic volatility
Marín Diazaraque, Juan Miguel	Mortality Projection using Bayesian Model Averaging
Massabo', Ivar	Evaluating variable annuities with GMWB when exogenous factors influence the policy-holder withdrawals
Massimiliano Mantovani, Guido	The bank tailored integrated rating
Masson, André	The challenges of wealth and its intergenerational transmission in an aging society
Maya, Briani	Hybrid tree-finite difference methods for stochastic volatility models
Mayoral, Silvia	Loss data analysis with maximum entropy
Medina, M. Ángeles	European Insurers: Interest Rate Risk Management
Melisi, Giuseppe	Risk and return in Loss Portfolio Transfer (LPT) treaties within Solvency II capital system: a reinsurer’s point of view A stochastic model to evaluate the pricing distortions in the indemnity insurance methods for the MTPL insurance
Menoncin, Francesco	Pre- and post-retirement savings choices with longevity-linked securities
Menzietti, Massimiliano	Modelling mortality of subpopulation with Per Capita GDP
Mercaldo, Francesco	Cyber risk management: a new challenge for actuarial mathematics
Mercuri, Lorenzo	Some empirical evidence on the need of more advanced approaches in mortality modeling
Merino, Raúl	Option price decomposition in spot-dependent volatility models and some applications
Mi Lim, Kim	Geographic Dependence and Diversification in House Price Returns: the Role of Leverage
Millossovich, Pietro	Market-Consistent Valuation of Participating Life Insurance Contracts under Longevity Risk: The Case with Heterogeneous Groups of Policyholders
Moliner, Jesús	Bivariate Functional Archetypoid Analysis: An Application to Financial Time Series
Montero, Jose Maria	Measuring financial risk co-movement in commodity markets
Moreno, Manuel	Pricing of agricultural derivatives: an approach based on models with mean reversion and seasonality Implied volatility indices: an empirical analysis based on stochastic volatility continuous-time models
Morillas Jurado, Francisco G.	The Level Mortality in Insured Population
Mosco, Vieri	Optimal Management of Immunized Portfolios
Moura E Moura, Manuela	Reducing the risk of adverse selection in the pricing process. A practical case with a two-stage cluster procedure and a Hurdle negative binomial GLM
N
Nan, Fany	Forecasting the volatility of electricity prices by robust estimators: an application to the Italian market.
Nardelli, Carla	Comparing possibilistic portfolios to probabilistic ones
Nardon, Martina	A note on the shape of the probability weighting function
Nasini, Stefano	Stock prices dynamics through multidimensional linkages A Bi-level Programming Approach for Global Investment Strategies with Financial Intermediation
Navarro, Eliseo	ESTIMATING REGULATORY CAPITAL REQUIREMENTS FOR REVERSE MORTGAGES. AN INTERNATIONAL COMPARISON
Navarro Arribas, Eliseo	Analysis of the evolution of changes in the Spanish mortality rates using functional data What if two different interest rates datasets allow for discribing the same financial product? A Single Factor Model for Constructing Dynamic Life Tables.
Neffelli, Marco	An Integrated Approach to Explore the Complexity of Interest Rates Network Structure
Ngoc Chau, Huy	The Value of Informational Arbitrage
Nicola, Giancarlo	Assessing news contagion in finance
Nicolosi, Marco	Optimal Strategies With Option Compensation Under Mean Reverting Returns or Volatilities The value of information for optimal portfolio management
Niglio, Marcella	Variable selection in estimating bank default
Nonejad, Nima	Predicting the Conditional Distribution of Energy Returns using Score Driven Dynamics
O
Oberoi, Jaideep	Simulating Economic Variables using Graphical Models
Olivieri, Gennaro	A stochastic model to evaluate the pricing distortions in the indemnity insurance methods for the MTPL insurance
Orlando, Albina	Cyber risk management: a new challenge for actuarial mathematics The assessment of longevity risk in a stochastic Solvency II perspective
P
Pacella, Massimo	Multiple testing for different structures of Spatial Dynamic Panel Data models
Palandri, Alessandro	Forecasting Optimal Portfolio Weights Using High Frequency Data
Panarello, Demetrio	A Generalized Error Distribution-based method for Conditional Value-at-Risk evaluation
Parrella, Maria Lucia	Multiple testing for different structures of Spatial Dynamic Panel Data models
Passalacqua, Luca	Tuning a Deep Learning Network for Solvency II: Preliminary Results
Patacca, Marco	A continuous time model for BitCoin price dynamics
Paterlini, Sandra	Conditional Autoregressive Quantile-Located Value-at-Risk
Pavía Miralles, Jose M.	The Level Mortality in Insured Population
Peinado, Patricia	Disability Pensions in Spain: A Factor to Compensate Lifetime Losses.
Pennoni, Fulvia	A generalized moving average convergence/divergence for testing semi-strong market efficiency
Peraita-Ezcurra, Olivia	Pricing illiquid assets by entropy maximization through linear goal programming
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