Talk Keyword Index

TALK KEYWORD INDEX

This page contains an index consisting of author-provided keywords.

Shortcuts: $1 2 A B C D E F G H I J K L M N O P Q R S T U V W Y Z

$
$d_\theta$-median	The $d_\theta$-median as a tool to provide robust estimates of the location of interval-valued data: the influence of Brexit on IBEX 35
1
1st globalisation	Financial Networks and Mechanisms of Business Capture in Southern Italy over the First Global Wave (1812-1913). A Network Approach
2
2SLS	A Comparison of Limited Information Estimators in Dynamic Simultaneous Equations Models
A
Actualisation Factor	Disability Pensions in Spain: A Factor to Compensate Lifetime Losses.
Actuarial sciences	Dimension selection in distance-based generalized linear models with application to pricing
ADL	Using deepest dependency paths to enhance life expectancy estimation
Adverse selection	When is utilitarian welfare higher under insurance risk pooling? (Short Paper - pdf) When is utilitarian welfare higher under insurance risk pooling? (Abstract) 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
Agricultural Markets	Pricing of agricultural derivatives: an approach based on models with mean reversion and seasonality
Algorithm convergence	The Rearrangement algorithm of Puccetti and Rüschendorf: proving the convergence
Ambiguity	Insurance premium principles to price future contracts. Applications in Energy markets. Value at Risk for heavy tailed ambiguous risks Optimal insurance contract under ambiguity. Applications in extreme climatic events.
ANFIS	A comparative analysis of neuro fuzzy infer-ence systems for mortality prediction
Annuity puzzle	Optimal annuitization under regime switching mortality
Anova	Empirical Evidence from the Three-way LC model
Anticipating stochastic calculus	Extending classical stochastic calculus for insider trading scenarios
AR	A comparative analysis of neuro fuzzy infer-ence systems for mortality prediction
arbitrage	The Value of Informational Arbitrage
ARCH	Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
Archetypal analysis	Bivariate Functional Archetypoid Analysis: An Application to Financial Time Series
Asian options	Asian Options pricing under Ornstein–Uhlenbeck dynamic
Asset Allocation	Forecasting the Equity Risk Premium in the European Monetary Union Statistical learning algorithms to forecast the equity risk premium in the European Monetary Union
Asset Liability Management	European Insurers: Interest Rate Risk Management
asset-liability dependency	Life insurers’ asset-liability dependency and low-interest-rate environment
Asymetric distributions	Two–Sided Skew and Shape Dynamic Conditional Score Models
Asymptotic approximations	A Comparison of Limited Information Estimators in Dynamic Simultaneous Equations Models
Austrian interbank market	A model-based measure of network heterogeneity with an application to the Austrian interbank market
Automatic Balancing Mechanisms	Automatic Balancing Mechanisms in Practice: What lessons for pension policy makers?
Autoregressive	Bootstrap Non-Stable Autoregressive Processes: Modelling of Bubbles
B
backtesting methods	Improving Lee-Carter forecasting: methodology and some results
balance sheet	Life insurers’ asset-liability dependency and low-interest-rate environment
Bank	An Extension of Multidimensional Scaling to Several Distance Matrices, and its Application to the Italian Banking Sector
bank default	Variable selection in estimating bank default
Banking system -	Regulatory Learning: how to supervise machine learning models?
basis swap	Dissecting Interbank Risk using Basis Swap Spreads
Batch Markovian arrival process	Modeling dependent and simultaneous risk events via the Batch Markov-Modulated Poisson Process
bayesian factorization machines	Bayesian Factorization Machines for Risk Management and Robust Decision Making
Bayesian Inference	Bayesian Tensor Binary Regression Bayesian Tensor Regression Models
Bayesian model averaging	Mortality Projection using Bayesian Model Averaging
Bayesian model selection	Bayesian nonparametric sparse Vector Autoregressive models
Bayesian nonparametrics	Bayesian nonparametric sparse Vector Autoregressive models Bayesian semiparametric multivariate stochastic volatility with an application to international volatility co-movements
Bayesian regression	Bayesian Factorization Machines for Risk Management and Robust Decision Making
Behavioral Finance	Illusion of control and decision making under risk: experimental results The w(p) in the financial markets: An empirical approach on the S&P 500 A note on the shape of the probability weighting function Nudging long-term saving: Might the “Save More Tomorrow” approach work in Spain?
BEKK	The variance implied hedge ratio On the tail behavior of a class of multivariate conditionally heteroskedastic processes
best estimate	The Level Mortality in Insured Population
Best Estimate Liability	Dynamic policyholder behaviour and surrender option evaluation for life insurance.
beta-convergence	Financial systems convergence in the EU and the crisis
Betas	Market Crashes and the Capital Asset Pricing Model
BGARCH	The variance implied hedge ratio
Bi-level optimization	A Bi-level Programming Approach for Global Investment Strategies with Financial Intermediation
Bias correction	A Comparison of Limited Information Estimators in Dynamic Simultaneous Equations Models
Bid and ask prices	Conic Finance and Earning Announcements
Big Data	The Contribution of Usage-based Data Analytics to benchmark Semi-autonomous Vehicle Insurance Probability of Default Modeling: A Machine Learning Approach
Big Data set -	Regulatory Learning: how to supervise machine learning models?
Binary matrices	Bayesian Tensor Binary Regression
BitCoin	A continuous time model for BitCoin price dynamics
Bodnar & Bodnar	Some critical insights on the unbiased efficient frontier à la Bodnar & Bodnar
Bond portfolios	Bond Portfolio Management in a Post-Solvency II Regulatory Environment
Boolean-valued model	A Boolean-valued model approach to conditional risk (Poster)
Bootstrap	Bootstrap Non-Stable Autoregressive Processes: Modelling of Bubbles
Bootstrap resample	Small Sample Analysis in Diffusion Processes: a Simulation Study
Bootstrapping residuals	Logistic classification for new policyholders taking into account prediction error
Bregman iteration	Numerical solution of the regularized portfolio selection problem
Brownian bridge	Optimal stopping and Volterra type equations: application to the Brownian bridge
Brownian motion	The optimal investment and consumption for financial markets generated by the spread of risky assets for the power utility
Brownian semistationary processes	Brownian Semistationary models and Fractional Brownian Motions
C
C2SLS	A Comparison of Limited Information Estimators in Dynamic Simultaneous Equations Models
Cairns-BlakeDowd model	Mortality Projection using Bayesian Model Averaging
call option	Some connections between stochastic orders and financial derivatives, the case of the condor financial derivatives
canonical correlation	Life insurers’ asset-liability dependency and low-interest-rate environment
Capital regulatory policies	The bank tailored integrated rating
CAPM	Market Crashes and the Capital Asset Pricing Model
Carbon assets	Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets
CARMA model	Some empirical evidence on the need of more advanced approaches in mortality modeling
CART	Could Machine Learning predict the Conversion in Motor Business?
CART models	Statistical learning algorithms to forecast the equity risk premium in the European Monetary Union
CaViAR	Conditional Autoregressive Quantile-Located Value-at-Risk
CDS market	An empirical analysis of the lead lag relationship between the CDS and stock market: Evidence in Europe and US Revisiting the dynamics between CDS spreads and stock returns under a nonlinear approach
CEV model	Option price decomposition in spot-dependent volatility models and some applications
CFLIML	A Comparison of Limited Information Estimators in Dynamic Simultaneous Equations Models
Changepoint detection	Periodic autoregressive models with multiple structural changes by genetic algorithms
CIR model	Small Sample Analysis in Diffusion Processes: a Simulation Study
Cluster analysis	A cluster distance-based procedure for dimension reduction and prediction
Clustering	Community detection based association rules in bipartite networks 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
COCOs	Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps
Cohabitation	The effect of Marital Status on Life Expectancy: Is Cohabitation as Protective as Marriage?
coherent risk measures	Coherent risk measures and infinite expectation risks
cohort based estimator	The Level Mortality in Insured Population
Cointegration	Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors
Collateralization	Computation of CVA, DVA and BVA adjustment using a copula approach for dependence modeling
Commodity Market	Measuring financial risk co-movement in commodity markets
Conditional betas	Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas
Conditional heteroskedasticity	Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors
Conditional risk measure	A Boolean-valued model approach to conditional risk (Poster)
Conditional Value-at-Risk	A Generalized Error Distribution-based method for Conditional Value-at-Risk evaluation
Conditioned stochastic differential equations	Extending classical stochastic calculus for insider trading scenarios
condor derivative	Some connections between stochastic orders and financial derivatives, the case of the condor financial derivatives
Confidence Intervals for VaR	Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Conic finance	Conic Finance and Earning Announcements
Connectedness	Disagreement in Signed Financial Networks
Consensus	Disagreement in Signed Financial Networks
Consumer Behavior	Community detection based association rules in bipartite networks
Continuous-time model	Implied volatility indices: an empirical analysis based on stochastic volatility continuous-time models
continuous-time models	Modeling High-Frequency Price Data with Bounded-Delay Hawkes Processes
convergence between zones	Price convergence within and between the Italian electricity day-ahead and dispatching services markets
convergence within zones	Price convergence within and between the Italian electricity day-ahead and dispatching services markets
Conversion Rate	Could Machine Learning predict the Conversion in Motor Business?
Convex incentives	Optimal Strategies With Option Compensation Under Mean Reverting Returns or Volatilities
convexity	Optimal Management of Immunized Portfolios
copula	Geographic Dependence and Diversification in House Price Returns: the Role of Leverage Dependence modelling: Vine Copula
copula function	A copula-based quantile model
Copula Functions	Computation of CVA, DVA and BVA adjustment using a copula approach for dependence modeling
Cornish-Fisher	Left tail risk attribution in algorithmic portfolio strategies
Corporate bonds	The effect of rating contingent guidelines and regulation around credit rating news
Counterparty Risk	Computation of CVA, DVA and BVA adjustment using a copula approach for dependence modeling
CoVaR	Conditional Autoregressive Quantile-Located Value-at-Risk Forecasting Systemic Risk
Cox Regression	Using deepest dependency paths to enhance life expectancy estimation
Cox-Ingersoll-Ross process	Improving Lee-Carter forecasting: methodology and some results
CPPI	Left tail risk attribution in algorithmic portfolio strategies
Credit policies	Risk/Return analysis on credit exposure: do small banks really apply a pricing risk-based on their loans?
Credit rating	The effect of rating contingent guidelines and regulation around credit rating news
Credit risk	Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors Probability of Default Modeling: A Machine Learning Approach Logistic classification for new policyholders taking into account prediction error Risk/Return analysis on credit exposure: do small banks really apply a pricing risk-based on their loans?
Credit underwriting	Risk/Return analysis on credit exposure: do small banks really apply a pricing risk-based on their loans?
Credit Valuation Adjustment-	Computation of CVA, DVA and BVA adjustment using a copula approach for dependence modeling
Crop insurance	An experience based premium rate discounts system in crop insurance using Tweedie’s regressions
Cross Validation	Empirical Evidence from the Three-way LC model
CRRA (Changes in relative risk aversion)	The influence of dynamic risk aversion in the optimal portfolio context
crude oil	The behaviour of energy-related volatility indices around scheduled news announcements: Implications for variance swap investments
Cryptocurrencies	Quantitative Risk Management for Cryptocurrencies
Cumulative prospect theory	A note on the shape of the probability weighting function
currency markets	Modeling High-Frequency Price Data with Bounded-Delay Hawkes Processes
Cyber Insurance	Cyber risk management: a new challenge for actuarial mathematics
Cyber Risk	Cyber risk management: a new challenge for actuarial mathematics
D
dbstats	Dimension selection in distance-based generalized linear models with application to pricing
DCC	The variance implied hedge ratio
decomposition	Decomposition formula for jump diffusion models
Deep Learning	Tuning a Deep Learning Network for Solvency II: Preliminary Results
Default option	Nudging long-term saving: Might the “Save More Tomorrow” approach work in Spain?
Defined Benefit	Automatic Balancing Mechanisms for Mixed Pension Systems
Defined Contribution	Automatic Balancing Mechanisms for Mixed Pension Systems
defined contribution pension systems	Actual sustainability of a pension system by logical sustainability theory. An application to the CNPADC Italian case
Delta method	Logistic classification for new policyholders taking into account prediction error
Demographic risk	”Money purchase” pensions: contract proposals and risk analysis
demography	Dependence modelling: Vine Copula
DENFIS	A comparative analysis of neuro fuzzy infer-ence systems for mortality prediction
density prediction	Predicting the Conditional Distribution of Energy Returns using Score Driven Dynamics
Dependency	Using deepest dependency paths to enhance life expectancy estimation
Deposit insurance	Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps
Derivatives pricing	Pricing Electricity Derivatives with Markov Regime Switching Models
diffusion models	Decomposition formula for jump diffusion models
Diffusion process	A continuous time model for BitCoin price dynamics
Diffusion through networks	Stock prices dynamics through multidimensional linkages
Direct Reimbursement	A stochastic model to evaluate the pricing distortions in the indemnity insurance methods for the MTPL insurance
Dirichlet process mixture	Bayesian semiparametric multivariate stochastic volatility with an application to international volatility co-movements
Disability	Using deepest dependency paths to enhance life expectancy estimation
Disability Pensions	Disability Pensions in Spain: A Factor to Compensate Lifetime Losses.
Disagreement	Disagreement in Signed Financial Networks
Dissimilarity	A cluster distance-based procedure for dimension reduction and prediction
Distance	An Extension of Multidimensional Scaling to Several Distance Matrices, and its Application to the Italian Banking Sector
Distance-based prediction	Dimension selection in distance-based generalized linear models with application to pricing
Distance-based regression	A cluster distance-based procedure for dimension reduction and prediction
Distribution Uncertainty	Testing for VIX forecast densities: A Generalized Autocontour Approach
distributionally robust optimization	Optimal insurance contract under ambiguity. Applications in extreme climatic events.
divergence	Pricing illiquid assets by entropy maximization through linear goal programming
diversification	Geographic Dependence and Diversification in House Price Returns: the Role of Leverage
Dow Jones Sustainable Index	Socially Responsible Ratings and Financial Performance
duration	Optimal Management of Immunized Portfolios
duration dependence	Estimation and prediction for the modulated power law process
Dynamic Conditional Correlations	Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
Dynamic Conditional Modeling	Forecasting Optimal Portfolio Weights Using High Frequency Data
Dynamic Conditional Score	Two–Sided Skew and Shape Dynamic Conditional Score Models
Dynamic life table	A Single Factor Model for Constructing Dynamic Life Tables.
Dynamic Portfolio	Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Dynamic Portfolio Choice	Household wealth and portfolio choice when tail events are salient
E
Earning announcements	Conic Finance and Earning Announcements
ECM	A comparative analysis of neuro fuzzy infer-ence systems for mortality prediction
econometrics	Bayesian Factorization Machines for Risk Management and Robust Decision Making
Economic and financial time series	Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles
Economic predictor	Forecasting the Equity Risk Premium in the European Monetary Union
economic scenario generator	A market consistent framework for the fair evaluation of insurance contracts under Solvency II
Economic Scenario Generators	Simulating Economic Variables using Graphical Models
Efficient frontier	Optimal Management of Immunized Portfolios Some critical insights on the unbiased efficient frontier à la Bodnar & Bodnar
Efficient Market Hypothesis	The w(p) in the financial markets: An empirical approach on the S&P 500
Ego-network	Community detection based association rules in bipartite networks
Elasticity of demand	When is utilitarian welfare higher under insurance risk pooling? (Short Paper - pdf) When is utilitarian welfare higher under insurance risk pooling? (Abstract)
Elderly	Helping Long Term Care coverage via differential on mortality?
Electricity Price Modelling	Pricing Electricity Derivatives with Markov Regime Switching Models
Electricity prices	Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility An electricity price index for volatile spatially dependent data Forecasting the volatility of electricity prices by robust estimators: an application to the Italian market.
EM algorithm	Approximate EM algorithm for sparse estimation of multivariate location--scale mixture of normals
energy	The behaviour of energy-related volatility indices around scheduled news announcements: Implications for variance swap investments
energy commodities	Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets
Energy markets	Pricing Electricity Derivatives with Markov Regime Switching Models Automatic detection and imputation of outliers in electricity price time series Insurance premium principles to price future contracts. Applications in Energy markets.
Energy returns	Predicting the Conditional Distribution of Energy Returns using Score Driven Dynamics
enlargement of filtrations	The Value of Informational Arbitrage Valuing insider information on interest rates in financial markets A continuous auction model with insiders and random time of information release
Ensemble techniques	Statistical learning algorithms to forecast the equity risk premium in the European Monetary Union
entropy	Pricing illiquid assets by entropy maximization through linear goal programming
equilibrium	Equilibrium under imperfect competition and asymmetric information A continuous auction model with insiders and random time of information release
equity release	Modeling equity release benefits in terms of financial needs of the elderly
Equity risk premium predictability	Forecasting the Equity Risk Premium in the European Monetary Union Statistical learning algorithms to forecast the equity risk premium in the European Monetary Union
ERM	The Drivers and Value of Enterprise Risk Management: Evidence from ERM Ratings
Esscher transform	Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps
estimating functions method	Estimation and prediction for the modulated power law process
Estimation variance	Logistic classification for new policyholders taking into account prediction error
Euribor term structure	An Integrated Approach to Explore the Complexity of Interest Rates Network Structure
Europe	DO GOOGLE TRENDS HELP TO FORECAST SOVEREIGN RISK IN EUROPE?
European and American options	Hybrid tree-finite difference methods for stochastic volatility models
European Insurers	European Insurers: Interest Rate Risk Management
European Union	Financial systems convergence in the EU and the crisis
evidence-based decision theory	Bayesian Factorization Machines for Risk Management and Robust Decision Making
exchange-traded fund	The behaviour of energy-related volatility indices around scheduled news announcements: Implications for variance swap investments
Exogenous factors	Inference in a Non-Homogeneous Vasicek-Type Model
expectation-maximization	Modeling High-Frequency Price Data with Bounded-Delay Hawkes Processes
Expected shortfall	Quantitative Risk Management for Cryptocurrencies Measuring financial risk co-movement in commodity markets
expected utility	An explicit solution of a portfolio optimization problem in a mean-variance-skewness model
expected value premium principle	Coherent risk measures and infinite expectation risks
exponential GARCH	Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
Extended Black-Scholes pricing formula	Conic Finance and Earning Announcements
F
Factor Model	Price informativeness and rating revisions: Effects of reputational events and regulation reforms
factor models	Market Crashes and the Capital Asset Pricing Model Modelling and Forecasting Suicide: A Factor-Analytic Approach
Factorization Machines	Bayesian Factorization Machines for Risk Management and Robust Decision Making
Fair valuation	Market-Consistent Valuation of Participating Life Insurance Contracts under Longevity Risk: The Case with Heterogeneous Groups of Policyholders
Feedback Trading	The Impact of Feedback Trading on Option Prices
Feynman-Kac mapping	The optimal investment and consumption for financial markets generated by the spread of risky assets for the power utility
FHS	Forecasting Systemic Risk
Filtered Historical Simulation	Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Filtered Historical Simulations	The Impact of Feedback Trading on Option Prices
filtering	The value of information for optimal portfolio management Equilibrium under imperfect competition and asymmetric information
Financial contagion	Stock prices dynamics through multidimensional linkages
Financial Crisis	Risk/Return analysis on credit exposure: do small banks really apply a pricing risk-based on their loans?
Financial Data	Exploratory Projection Pursuit for Multivariate Financial Data
Financial econometrics	Stock prices dynamics through multidimensional linkages
Financial intermediation	A Bi-level Programming Approach for Global Investment Strategies with Financial Intermediation
Financial market	The optimal investment and consumption for financial markets generated by the spread of risky assets for the power utility
Financial Networks	Disagreement in Signed Financial Networks
financial return	Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
financial risk measure	The loss function approach in multivariate risk measurement
financial system	Financial systems convergence in the EU and the crisis
Financial Time Series	Bivariate Functional Archetypoid Analysis: An Application to Financial Time Series
finite difference	Hybrid tree-finite difference methods for stochastic volatility models
firm characteristics	The Drivers and Value of Enterprise Risk Management: Evidence from ERM Ratings
FLIML	A Comparison of Limited Information Estimators in Dynamic Simultaneous Equations Models
Fluid embedding	Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps
Fong-Vasicek theorem	Optimal Management of Immunized Portfolios
forecast accuracy	The Limits to Volatility Predictability: Quantifying Forecast Accuracy Across Horizons
forecast combination	Combining multivariate volatility models
forecasting	Modelling and Forecasting Suicide: A Factor-Analytic Approach A Single Factor Model for Constructing Dynamic Life Tables.
Forecasting performance	Forecasting risk with Markov-switching GARCH models: A large-scale performance study
forward volatility	The Limits to Volatility Predictability: Quantifying Forecast Accuracy Across Horizons
Fourier series	Pricing of agricultural derivatives: an approach based on models with mean reversion and seasonality
Fourier transform	Optimal Strategies With Option Compensation Under Mean Reverting Returns or Volatilities
fractional Brownian motion	Brownian Semistationary models and Fractional Brownian Motions
fractional cointegration	Price convergence within and between the Italian electricity day-ahead and dispatching services markets
Framework	Stochastic Mortality in a Lévy Process Framework and Application to Longevity Products
free-boundary problem	Optimal stopping and Volterra type equations: application to the Brownian bridge
functional data	Using deepest dependency paths to enhance life expectancy estimation Analysis of the evolution of changes in the Spanish mortality rates using functional data
Functional data analysis	Bivariate Functional Archetypoid Analysis: An Application to Financial Time Series
Fund flows	The Impact of Feedback Trading on Option Prices
Funded	Automatic Balancing Mechanisms for Mixed Pension Systems
Future markets	Insurance premium principles to price future contracts. Applications in Energy markets.
G
gamma-divergence	Robust time--varying undirected graphs
GARCH	The variance implied hedge ratio Forecasting risk with Markov-switching GARCH models: A large-scale performance study Kurtosis Maximization for Outlier Detection in GARCH Models
GARCH models	The influence of dynamic risk aversion in the optimal portfolio context
Gaussian Copula	A Generalized Error Distribution-based method for Conditional Value-at-Risk evaluation
GDP per capita	Modelling mortality of subpopulation with Per Capita GDP
General Dynamic simultaneous equations model	A Comparison of Limited Information Estimators in Dynamic Simultaneous Equations Models
Generalized autoregressive score	Predicting the Conditional Distribution of Energy Returns using Score Driven Dynamics
Generalized Correlation Coefficient	A Generalized Error Distribution-based method for Conditional Value-at-Risk evaluation
Generalized Error Distribution	A Generalized Error Distribution-based method for Conditional Value-at-Risk evaluation
Generalized Linear Model	Could Machine Learning predict the Conversion in Motor Business?
Generalized linear models	Dimension selection in distance-based generalized linear models with application to pricing
Genetic algorithms	Periodic autoregressive models with multiple structural changes by genetic algorithms
geographical diversification	International longevity risk pooling
geometric ergodicity	On the tail behavior of a class of multivariate conditionally heteroskedastic processes
GEV distribution	Variable selection in estimating bank default
gifts and bequests	The challenges of wealth and its intergenerational transmission in an aging society
GLM	The Contribution of Usage-based Data Analytics to benchmark Semi-autonomous Vehicle Insurance An individual risk model for premium calculation based on quantile: a comparison between Generalized Linear Models and Quantile Regression 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 A Single Factor Model for Constructing Dynamic Life Tables.
GMM	Implied volatility indices: an empirical analysis based on stochastic volatility continuous-time models
Google trends	DO GOOGLE TRENDS HELP TO FORECAST SOVEREIGN RISK IN EUROPE? Google searches for portfolio management: a risk and return analysis
Gradient Boosting	Could Machine Learning predict the Conversion in Motor Business?
grand age	A TWO-STEPS MIXED PENSION SYSTEM: AN AGGREGATE ANALYSIS
Granger causality	An empirical analysis of the lead lag relationship between the CDS and stock market: Evidence in Europe and US Assessing news contagion in finance
Graph Theory	An Integrated Approach to Explore the Complexity of Interest Rates Network Structure
Graphical models	Simulating Economic Variables using Graphical Models
Guaranteed minimum withdrawal benefit	Evaluating variable annuities with GMWB when exogenous factors influence the policy-holder withdrawals
H
Hamilton-Jacobi-Bellman equation	Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
Hamilton-Jacobi-Eequation	The optimal investment and consumption for financial markets generated by the spread of risky assets for the power utility
HAR model	Testing for VIX forecast densities: A Generalized Autocontour Approach
HARA preferences	Pre- and post-retirement savings choices with longevity-linked securities
Hawkes process	Modeling High-Frequency Price Data with Bounded-Delay Hawkes Processes
Heavy tails	VaR Representation Theorem Coherent risk measures and infinite expectation risks Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors Value at Risk for heavy tailed ambiguous risks Drift in Transaction-Level Asset Price Models
hedge ratio	The variance implied hedge ratio
hedging	Pricing illiquid assets by entropy maximization through linear goal programming
Hedging opportunities	Conic Finance and Earning Announcements
Heterogeneous agents	The Impact of Feedback Trading on Option Prices
Heterogeneous groups of policyholders	Market-Consistent Valuation of Participating Life Insurance Contracts under Longevity Risk: The Case with Heterogeneous Groups of Policyholders
Hierarchical Shrinkage Prior	Bayesian Tensor Binary Regression Bayesian Tensor Regression Models
High frequency financial time series	Drift in Transaction-Level Asset Price Models
high-dimensional time series	Multiple testing for different structures of Spatial Dynamic Panel Data models
high-frequency trading	Modeling High-Frequency Price Data with Bounded-Delay Hawkes Processes
hitting times	A Self-Excited Switching Jump Diffusion (SESJD): properties, calibration and hitting time
House price modeling	ESTIMATING REGULATORY CAPITAL REQUIREMENTS FOR REVERSE MORTGAGES. AN INTERNATIONAL COMPARISON
Hull and White type option	Option price decomposition in spot-dependent volatility models and some applications
Hyperbolic discounting or present bias	Nudging long-term saving: Might the “Save More Tomorrow” approach work in Spain?
Hyperinflation	Detecting Time Irreversibility Using Quantile Autoregressive Models
I
Identifiability	Modeling dependent and simultaneous risk events via the Batch Markov-Modulated Poisson Process
immunization	Optimal Management of Immunized Portfolios
implied correlation	The variance implied hedge ratio
In-sample forecast	Forecasting the Equity Risk Premium in the European Monetary Union
indifference pricing	The Value of Informational Arbitrage
Industrial production index	Periodic autoregressive models with multiple structural changes by genetic algorithms
inequality	A spatio-temporal model for the inequality in the income distribution of Italy
Inertia or status quo bias	Nudging long-term saving: Might the “Save More Tomorrow” approach work in Spain?
infinite expectation risk	Coherent risk measures and infinite expectation risks
Inflation rates	Testing normality for unconditionally heteroscedastic macroeconomic variables
Information criteria	Dimension selection in distance-based generalized linear models with application to pricing
Informational Shocks	Price informativeness and rating revisions: Effects of reputational events and regulation reforms
insider trading	The Value of Informational Arbitrage Equilibrium under imperfect competition and asymmetric information Extending classical stochastic calculus for insider trading scenarios A continuous auction model with insiders and random time of information release
Insurance	Bond Portfolio Management in a Post-Solvency II Regulatory Environment Modelling and Forecasting Suicide: A Factor-Analytic Approach
insurance companies	Life insurers’ asset-liability dependency and low-interest-rate environment
Insurance premium principles	Insurance premium principles to price future contracts. Applications in Energy markets.
insurance risk management	Bridging risk measures and classical ruin theory
insured population	The Level Mortality in Insured Population
Integrated Rating indicator	The bank tailored integrated rating
Interbank risk	Dissecting Interbank Risk using Basis Swap Spreads
interest rate	Hybrid tree-finite difference methods for stochastic volatility models
Interest rate model	Real-world versus risk-neutral measures in the estimation of an interest rate model with stochastic volatility
Interest Rate Risk Management	European Insurers: Interest Rate Risk Management
Interest rates	Inference in a Non-Homogeneous Vasicek-Type Model Life insurers’ asset-liability dependency and low-interest-rate environment EXTENSIONS OF FAMA AND FRENCH MODELS
Intergenerational risk sharing	Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
Interval-valued data	The $d_\theta$-median as a tool to provide robust estimates of the location of interval-valued data: the influence of Brexit on IBEX 35
invariant probabilistic sensitivity analysis	A market consistent framework for the fair evaluation of insurance contracts under Solvency II
inverse leverage	Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
Investment Analysis	Optimal Strategies With Option Compensation Under Mean Reverting Returns or Volatilities
Investment guidelines	The effect of rating contingent guidelines and regulation around credit rating news
Investment risk	Market-Consistent Valuation of Participating Life Insurance Contracts under Longevity Risk: The Case with Heterogeneous Groups of Policyholders
Investment Screening	Socially Responsible Ratings and Financial Performance
investor overconfidence	Illusion of control and decision making under risk: experimental results
Islamic financial system	The Islamic Financial Industry. Performance of Islamic vs. conventional sector portfolios
Islamic principles	The Islamic Financial Industry. Performance of Islamic vs. conventional sector portfolios
Itô formula	The optimal investment and consumption for financial markets generated by the spread of risky assets for the power utility
J
Jarque-Bera test	Testing normality for unconditionally heteroscedastic macroeconomic variables
jump diffusions	A Self-Excited Switching Jump Diffusion (SESJD): properties, calibration and hitting time
Jump-diffusion	Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps
jump-diffusion stochastic processes	Real-world versus risk-neutral measures in the estimation of an interest rate model with stochastic volatility
Jumps	Asian Options pricing under Ornstein–Uhlenbeck dynamic
K
key mortality rate	A Single Factor Model for Constructing Dynamic Life Tables.
Kurtosis	Exploratory Projection Pursuit for Multivariate Financial Data Kurtosis Maximization for Outlier Detection in GARCH Models
L
Lagrange multiplier test	Modelling Time-Varying Volatility Interactions with an Application to Volatility Contagion
Lapses	Dynamic policyholder behaviour and surrender option evaluation for life insurance.
Large spaces	Monotone monetary preferences on large spaces
Large vector autoregression	Bayesian nonparametric sparse Vector Autoregressive models
Large-scale study	Forecasting risk with Markov-switching GARCH models: A large-scale performance study
LASSO	Robust time--varying undirected graphs Sparse networks through regularised regressions
Latent predictor variables	A cluster distance-based procedure for dimension reduction and prediction
Latent variable models	A model-based measure of network heterogeneity with an application to the Austrian interbank market
Lead-Lag Relationships	Revisiting the dynamics between CDS spreads and stock returns under a nonlinear approach
Lee Carter model	A comparative analysis of neuro fuzzy infer-ence systems for mortality prediction
Lee-Carter model	Improving Lee-Carter forecasting: methodology and some results Mortality Projection using Bayesian Model Averaging
level mortality	The Level Mortality in Insured Population
life annuities	Modeling equity release benefits in terms of financial needs of the elderly
life insurance	International longevity risk pooling Optimal Management of Immunized Portfolios Consistently modeling unisex mortality rates
life table	The Level Mortality in Insured Population
limited stop-loss contract	Optimal insurance contract under ambiguity. Applications in extreme climatic events.
linear goal programming	Pricing illiquid assets by entropy maximization through linear goal programming
liquidity	Dissecting Interbank Risk using Basis Swap Spreads
loan to value	Geographic Dependence and Diversification in House Price Returns: the Role of Leverage
local stationarity	A generalized moving average convergence/divergence for testing semi-strong market efficiency
log-GARCH	Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
logical sustainability model	Actual sustainability of a pension system by logical sustainability theory. An application to the CNPADC Italian case
Logistic regression	Logistic classification for new policyholders taking into account prediction error
Logistic transformation	The bank tailored integrated rating
Logit	Dynamic policyholder behaviour and surrender option evaluation for life insurance.
long memory	Forecasting energy price volatilities and comovements: New evidences from fractionally integrated multivariate GARCH models Drift in Transaction-Level Asset Price Models Brownian Semistationary models and Fractional Brownian Motions
long-run equilibrium	Price convergence within and between the Italian electricity day-ahead and dispatching services markets
Long-term swing	Pricing of agricultural derivatives: an approach based on models with mean reversion and seasonality
longevity	A TWO-STEPS MIXED PENSION SYSTEM: AN AGGREGATE ANALYSIS
Longevity Products	Stochastic Mortality in a Lévy Process Framework and Application to Longevity Products
Longevity risk	Market-Consistent Valuation of Participating Life Insurance Contracts under Longevity Risk: The Case with Heterogeneous Groups of Policyholders Pre- and post-retirement savings choices with longevity-linked securities Mortality Projection using Bayesian Model Averaging The assessment of longevity risk in a stochastic Solvency II perspective Market Price of Longevity Risk for A Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing Risk and Uncertainty for Flexible Retirement Schemes
longevity risk modeling	International longevity risk pooling
Longevity Trends	The effect of Marital Status on Life Expectancy: Is Cohabitation as Protective as Marriage?
Loss aversion	Nudging long-term saving: Might the “Save More Tomorrow” approach work in Spain?
Loss portfolio transfer	Risk and return in Loss Portfolio Transfer (LPT) treaties within Solvency II capital system: a reinsurer’s point of view
Lower bound	Asian Options pricing under Ornstein–Uhlenbeck dynamic
LSMC	Variable Annuities with State-Dependent Fees
Lévy jumps	Optimum Thresholding for Semimartingales with Levy Jumps under the mean-squared error
Lévy process	Some empirical evidence on the need of more advanced approaches in mortality modeling
M
Machine Learning	Could Machine Learning predict the Conversion in Motor Business? Probability of Default Modeling: A Machine Learning Approach
Machine Learning -	Regulatory Learning: how to supervise machine learning models?
Marital Specific Mortality Forecasting	The effect of Marital Status on Life Expectancy: Is Cohabitation as Protective as Marriage?
market crashes	Market Crashes and the Capital Asset Pricing Model
Market microstructure	Equilibrium under imperfect competition and asymmetric information A continuous auction model with insiders and random time of information release
market model multi-variate normal distribution	Market Crashes and the Capital Asset Pricing Model
Market Risk	Computation of CVA, DVA and BVA adjustment using a copula approach for dependence modeling Risk and return in Loss Portfolio Transfer (LPT) treaties within Solvency II capital system: a reinsurer’s point of view Bond Portfolio Management in a Post-Solvency II Regulatory Environment
Market risk premium	The influence of dynamic risk aversion in the optimal portfolio context
Markov chain	Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps
Markov Chain Monte Carlo	Bayesian semiparametric multivariate stochastic volatility with an application to international volatility co-movements Bayesian Factorization Machines for Risk Management and Robust Decision Making
Markov chains	Approximate arbitrage with limit orders
Markov-modulated Poisson process	Modeling dependent and simultaneous risk events via the Batch Markov-Modulated Poisson Process
martingale difference sequences	A generalized moving average convergence/divergence for testing semi-strong market efficiency
Matching moments method	Modeling dependent and simultaneous risk events via the Batch Markov-Modulated Poisson Process
Matrix Wiener-Hopf factorization	Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps
maximum entropy	Loss data analysis with maximum entropy
MCS	Forecasting energy price volatilities and comovements: New evidences from fractionally integrated multivariate GARCH models
Mean and volatility spillovers	Modelling the Australian electricity spot prices: A VAR-BEKK approach
Mean reverting processes	Optimal Strategies With Option Compensation Under Mean Reverting Returns or Volatilities
Mean squared error	Logistic classification for new policyholders taking into account prediction error
Mean-reversion	Asian Options pricing under Ornstein–Uhlenbeck dynamic
mean-variance-skewed model	An explicit solution of a portfolio optimization problem in a mean-variance-skewness model
mean/conditional mean square error	Optimum Thresholding for Semimartingales with Levy Jumps under the mean-squared error
MFA for time-varying two mode networks	Financial Networks and Mechanisms of Business Capture in Southern Italy over the First Global Wave (1812-1913). A Network Approach
minimum guaranteed option	A market consistent framework for the fair evaluation of insurance contracts under Solvency II
Minimum Pension Benefit	A Basic Social Pension for Everyone? A minimum pension for older people via expenses rate
Minimum Spanning Tree	An Integrated Approach to Explore the Complexity of Interest Rates Network Structure
Model averaging	Risk and Uncertainty for Flexible Retirement Schemes
model comparison	The Limits to Volatility Predictability: Quantifying Forecast Accuracy Across Horizons
model confidence set	Predicting the Conditional Distribution of Energy Returns using Score Driven Dynamics Combining multivariate volatility models
Model Evaluation	Testing for VIX forecast densities: A Generalized Autocontour Approach
Model Risk	Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Model Selection	Simulating Economic Variables using Graphical Models
model testing	Multiple testing for different structures of Spatial Dynamic Panel Data models
Modelling	Bootstrap Non-Stable Autoregressive Processes: Modelling of Bubbles
modified ES	Left tail risk attribution in algorithmic portfolio strategies
modified VaR	Left tail risk attribution in algorithmic portfolio strategies
modulated power law process model	Estimation and prediction for the modulated power law process
Moment Matching	Asian Options pricing under Ornstein–Uhlenbeck dynamic
Momentum	Household wealth and portfolio choice when tail events are salient
Monetary preferences	Monotone monetary preferences on large spaces
Monte Carlo	Left tail risk attribution in algorithmic portfolio strategies Hybrid tree-finite difference methods for stochastic volatility models
Monte Carlo Portmanteau	Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles
Monte Carlo simulations	A Comparison of Limited Information Estimators in Dynamic Simultaneous Equations Models
mortality	Mortality Projection using Bayesian Model Averaging Optimal annuitization under regime switching mortality
Mortality forecasting	Modelling mortality of subpopulation with Per Capita GDP
Mortality model	Market Price of Longevity Risk for A Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing
Mortality modeling	Modelling and Forecasting Suicide: A Factor-Analytic Approach ESTIMATING REGULATORY CAPITAL REQUIREMENTS FOR REVERSE MORTGAGES. AN INTERNATIONAL COMPARISON
mortality projections	A comparative analysis of neuro fuzzy infer-ence systems for mortality prediction Risk and Uncertainty for Flexible Retirement Schemes
mortality rates	Analysis of the evolution of changes in the Spanish mortality rates using functional data
mortgage	Geographic Dependence and Diversification in House Price Returns: the Role of Leverage
Motor Insurance	The Contribution of Usage-based Data Analytics to benchmark Semi-autonomous Vehicle Insurance Could Machine Learning predict the Conversion in Motor Business?
motor third party liability	A stochastic model to evaluate the pricing distortions in the indemnity insurance methods for the MTPL insurance
moving average convergence divergence	A generalized moving average convergence/divergence for testing semi-strong market efficiency
MSGARCH	Forecasting risk with Markov-switching GARCH models: A large-scale performance study
multi-objective optimization	Bayesian Factorization Machines for Risk Management and Robust Decision Making
multi-period	Left tail risk attribution in algorithmic portfolio strategies
multi-population mortality	International longevity risk pooling
multi-scenario	Sustainability of the Algerian retirement system: a multi scenarios analysis
multiasset porfolio	The loss function approach in multivariate risk measurement
Multidimensional networks	Stock prices dynamics through multidimensional linkages
Multidimensional Scaling	An Extension of Multidimensional Scaling to Several Distance Matrices, and its Application to the Italian Banking Sector Measuring financial risk co-movement in commodity markets
Multiplicative Error Model	Testing for VIX forecast densities: A Generalized Autocontour Approach
Multipopulation mortality model	Modelling mortality of subpopulation with Per Capita GDP
Multivariate GARCH	Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility Modelling the Australian electricity spot prices: A VAR-BEKK approach Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Multivariate GARCH model	Modelling Time-Varying Volatility Interactions with an Application to Volatility Contagion
Multivariate GARCH models	Forecasting energy price volatilities and comovements: New evidences from fractionally integrated multivariate GARCH models Forecasting Systemic Risk
Multivariate stochastic volatility	Bayesian semiparametric multivariate stochastic volatility with an application to international volatility co-movements
multivariate Student distribution	Market Crashes and the Capital Asset Pricing Model
Multivariate volatility	Combining multivariate volatility models
Multivariate-GARCH	Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas
N
Net measures	Reexamining financial and economic predictability with new estimators of realized variance
Network analysis	A model-based measure of network heterogeneity with an application to the Austrian interbank market
news announcement	The behaviour of energy-related volatility indices around scheduled news announcements: Implications for variance swap investments
news based contagion	Assessing news contagion in finance
No-negative-equity Guarantee	ESTIMATING REGULATORY CAPITAL REQUIREMENTS FOR REVERSE MORTGAGES. AN INTERNATIONAL COMPARISON
non-Gaussian distributions	Approximate EM algorithm for sparse estimation of multivariate location--scale mixture of normals
Non-Linear Error Correction Model	Revisiting the dynamics between CDS spreads and stock returns under a nonlinear approach
Non-linear trends	Inference in a Non-Homogeneous Vasicek-Type Model
Noncausal autoregressive models	Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles
Nonlinear time series	Forecasting the volatility of electricity prices by robust estimators: an application to the Italian market.
nonparametric estimation	Real-world versus risk-neutral measures in the estimation of an interest rate model with stochastic volatility
Nord Pool	Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
NSGA-II	Bond Portfolio Management in a Post-Solvency II Regulatory Environment
Nudge	Nudging long-term saving: Might the “Save More Tomorrow” approach work in Spain?
numerical differentiation	Real-world versus risk-neutral measures in the estimation of an interest rate model with stochastic volatility
numerical scheme	Optimum Thresholding for Semimartingales with Levy Jumps under the mean-squared error
O
Online searches	Google searches for portfolio management: a risk and return analysis
operational risk	Coherent risk measures and infinite expectation risks Modeling dependent and simultaneous risk events via the Batch Markov-Modulated Poisson Process
Optimal Control	Optimal Strategies With Option Compensation Under Mean Reverting Returns or Volatilities The value of information for optimal portfolio management
Optimal investment	Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
Optimal portfolio	The influence of dynamic risk aversion in the optimal portfolio context Valuing insider information on interest rates in financial markets
optimal portfolio selection	An explicit solution of a portfolio optimization problem in a mean-variance-skewness model
optimal rate of return	Actual sustainability of a pension system by logical sustainability theory. An application to the CNPADC Italian case
optimal stopping	Optimal stopping and Volterra type equations: application to the Brownian bridge Optimal annuitization under regime switching mortality
Optimality	The optimal investment and consumption for financial markets generated by the spread of risky assets for the power utility
Optimality conditions	A Bi-level Programming Approach for Global Investment Strategies with Financial Intermediation
Optimisation	Automatic Balancing Mechanisms for Mixed Pension Systems
Optimization	Integration of non-financial criteria in equity investment
Option Pricing	The Impact of Feedback Trading on Option Prices Implied volatility indices: an empirical analysis based on stochastic volatility continuous-time models Market Price of Longevity Risk for A Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing Option price decomposition in spot-dependent volatility models and some applications ESTIMATING REGULATORY CAPITAL REQUIREMENTS FOR REVERSE MORTGAGES. AN INTERNATIONAL COMPARISON
Options	Approximate arbitrage with limit orders
options pricing	A Self-Excited Switching Jump Diffusion (SESJD): properties, calibration and hitting time
Order book	Approximate arbitrage with limit orders
Ordered matrices	The Rearrangement algorithm of Puccetti and Rüschendorf: proving the convergence
Out-of-sample forecast	Forecasting the Equity Risk Premium in the European Monetary Union
out-of-sample forecasting	The Limits to Volatility Predictability: Quantifying Forecast Accuracy Across Horizons
out-of-sample forecasting performance	Improving Lee-Carter forecasting: methodology and some results
Outlier detection	Kurtosis Maximization for Outlier Detection in GARCH Models
Outliers	Automatic detection and imputation of outliers in electricity price time series
P
Pair copula construction	Latent risk in the correlation assumption under insurance regulations
PAR models	Periodic autoregressive models with multiple structural changes by genetic algorithms
parameter estimation	Estimation and prediction for the modulated power law process
Parameter Uncertainty	Testing for VIX forecast densities: A Generalized Autocontour Approach
Pareto frontier	Bayesian Factorization Machines for Risk Management and Robust Decision Making
Participating life insurance	Market-Consistent Valuation of Participating Life Insurance Contracts under Longevity Risk: The Case with Heterogeneous Groups of Policyholders
particle filter	Dissecting Interbank Risk using Basis Swap Spreads
PAYG	Automatic Balancing Mechanisms for Mixed Pension Systems Sustainability of the Algerian retirement system: a multi scenarios analysis
PayGo solvency	Automatic Balancing Mechanisms in Practice: What lessons for pension policy makers?
PDA	Analysis of the evolution of changes in the Spanish mortality rates using functional data
Pension	A TWO-STEPS MIXED PENSION SYSTEM: AN AGGREGATE ANALYSIS
Pension evaluation	Helping Long Term Care coverage via differential on mortality?
Pension schemes	Helping Long Term Care coverage via differential on mortality?
Pension systems	Automatic Balancing Mechanisms in Practice: What lessons for pension policy makers?
Pensions	A Basic Social Pension for Everyone? A minimum pension for older people via expenses rate
Performance	Comparing possibilistic portfolios to probabilistic ones
Performance measurement	The Islamic Financial Industry. Performance of Islamic vs. conventional sector portfolios
Periodic fluctuations	Pricing of agricultural derivatives: an approach based on models with mean reversion and seasonality
Personal pension products	”Money purchase” pensions: contract proposals and risk analysis
PH distributions	Modeling dependent and simultaneous risk events via the Batch Markov-Modulated Poisson Process
PIT	Testing for VIX forecast densities: A Generalized Autocontour Approach
point process	Modeling High-Frequency Price Data with Bounded-Delay Hawkes Processes
Porfolio	Some critical insights on the unbiased efficient frontier à la Bodnar & Bodnar
Portfolio Allocation	Forecasting Optimal Portfolio Weights Using High Frequency Data
portfolio choice	Pre- and post-retirement savings choices with longevity-linked securities
Portfolio Management	Optimal Strategies With Option Compensation Under Mean Reverting Returns or Volatilities The value of information for optimal portfolio management Google searches for portfolio management: a risk and return analysis A Bi-level Programming Approach for Global Investment Strategies with Financial Intermediation
portfolio optimisation	Approximate EM algorithm for sparse estimation of multivariate location--scale mixture of normals
Portfolio optimization	Numerical solution of the regularized portfolio selection problem
Portfolio selection	Integration of non-financial criteria in equity investment
Portfolio Weights Modeling	Forecasting Optimal Portfolio Weights Using High Frequency Data
Possibilistic portfolio	Comparing possibilistic portfolios to probabilistic ones
post-retirement savings	Pre- and post-retirement savings choices with longevity-linked securities
pre-retirement savings	Pre- and post-retirement savings choices with longevity-linked securities
Predictability	Reexamining financial and economic predictability with new estimators of realized variance
prediction	Estimation and prediction for the modulated power law process
preferences	Illusion of control and decision making under risk: experimental results
Pricing	Asian Options pricing under Ornstein–Uhlenbeck dynamic Dimension selection in distance-based generalized linear models with application to pricing Decomposition formula for jump diffusion models 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 Risk/Return analysis on credit exposure: do small banks really apply a pricing risk-based on their loans? Pricing illiquid assets by entropy maximization through linear goal programming
Pricing distortions	A stochastic model to evaluate the pricing distortions in the indemnity insurance methods for the MTPL insurance
Principal components analysis	Forecasting the Equity Risk Premium in the European Monetary Union
Probabilistic constraints	VaR Representation Theorem
Probability Distribution Forecast	Tuning a Deep Learning Network for Solvency II: Preliminary Results
Probability weighting	Household wealth and portfolio choice when tail events are salient
Probability weighting function	The w(p) in the financial markets: An empirical approach on the S&P 500 A note on the shape of the probability weighting function
Profit-sharing plans	”Money purchase” pensions: contract proposals and risk analysis
projected life tables	Mortality Projection using Bayesian Model Averaging
Projection Pursuit	Exploratory Projection Pursuit for Multivariate Financial Data Kurtosis Maximization for Outlier Detection in GARCH Models
Public pensions	Automatic Balancing Mechanisms for Mixed Pension Systems
put option	Some connections between stochastic orders and financial derivatives, the case of the condor financial derivatives
Q
QAR models	Detecting Time Irreversibility Using Quantile Autoregressive Models
quantile	A copula-based quantile model
Quantile Regression	An individual risk model for premium calculation based on quantile: a comparison between Generalized Linear Models and Quantile Regression Conditional Autoregressive Quantile-Located Value-at-Risk An Integrated Approach to Explore the Complexity of Interest Rates Network Structure EXTENSIONS OF FAMA AND FRENCH MODELS
Quantitative Finance	Probability of Default Modeling: A Machine Learning Approach
Quasi-Maximum likelihood	Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas
R
Random Forest	Could Machine Learning predict the Conversion in Motor Business?
Rate-making	An individual risk model for premium calculation based on quantile: a comparison between Generalized Linear Models and Quantile Regression
Rating changes	Price informativeness and rating revisions: Effects of reputational events and regulation reforms
Rating informativeness	Price informativeness and rating revisions: Effects of reputational events and regulation reforms
Realized Correlations	Forecasting Optimal Portfolio Weights Using High Frequency Data
Realized covariances	Combining multivariate volatility models
Realized variance	Reexamining financial and economic predictability with new estimators of realized variance
Realized Volatility	Forecasting Optimal Portfolio Weights Using High Frequency Data
Rearrangement	The Rearrangement algorithm of Puccetti and Rüschendorf: proving the convergence
Regime switching	Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps Geographic Dependence and Diversification in House Price Returns: the Role of Leverage Optimal annuitization under regime switching mortality
Regime-switching models	Pricing Electricity Derivatives with Markov Regime Switching Models
regularised regressions	Sparse networks through regularised regressions
Regularization	Numerical solution of the regularized portfolio selection problem
Regulation	Latent risk in the correlation assumption under insurance regulations Regulatory Learning: how to supervise machine learning models?
Regulatory Capital Requirements	ESTIMATING REGULATORY CAPITAL REQUIREMENTS FOR REVERSE MORTGAGES. AN INTERNATIONAL COMPARISON
Renshaw_Haberman model	Mortality Projection using Bayesian Model Averaging
reserving risk	Risk and return in Loss Portfolio Transfer (LPT) treaties within Solvency II capital system: a reinsurer’s point of view
retirement	Sustainability of the Algerian retirement system: a multi scenarios analysis
retirement benefit	Modeling equity release benefits in terms of financial needs of the elderly
Retirement Scheme	Risk and Uncertainty for Flexible Retirement Schemes
Reverse mortgages	ESTIMATING REGULATORY CAPITAL REQUIREMENTS FOR REVERSE MORTGAGES. AN INTERNATIONAL COMPARISON
rising life expectancy	The challenges of wealth and its intergenerational transmission in an aging society
risk appetite	Risk and return in Loss Portfolio Transfer (LPT) treaties within Solvency II capital system: a reinsurer’s point of view
Risk classification	When is utilitarian welfare higher under insurance risk pooling? (Short Paper - pdf) When is utilitarian welfare higher under insurance risk pooling? (Abstract)
risk contribution	Left tail risk attribution in algorithmic portfolio strategies
Risk factors	EXTENSIONS OF FAMA AND FRENCH MODELS
Risk Management	International longevity risk pooling Forecasting risk with Markov-switching GARCH models: A large-scale performance study Probability of Default Modeling: A Machine Learning Approach Risk/Return analysis on credit exposure: do small banks really apply a pricing risk-based on their loans? Cyber risk management: a new challenge for actuarial mathematics
risk measure	Risk and return in Loss Portfolio Transfer (LPT) treaties within Solvency II capital system: a reinsurer’s point of view
Risk measurement	Latent risk in the correlation assumption under insurance regulations
risk measures	Monotone monetary preferences on large spaces Bridging risk measures and classical ruin theory
risk metrics	Bayesian Factorization Machines for Risk Management and Robust Decision Making
Risk minimisation	An electricity price index for volatile spatially dependent data
risk neutral probability	Pricing illiquid assets by entropy maximization through linear goal programming
Risk optimization	VaR Representation Theorem
risk spillover	Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets
risk taking	Illusion of control and decision making under risk: experimental results
risk-neutral measure	Real-world versus risk-neutral measures in the estimation of an interest rate model with stochastic volatility
robust decision making	Bayesian Factorization Machines for Risk Management and Robust Decision Making
Robust estimation	Robust time--varying undirected graphs
Robust GM-estimator	Forecasting the volatility of electricity prices by robust estimators: an application to the Italian market.
robust representation	A Boolean-valued model approach to conditional risk (Poster)
Robust Value at Risk	Value at Risk for heavy tailed ambiguous risks
rolling VAR model	An empirical analysis of the lead lag relationship between the CDS and stock market: Evidence in Europe and US
ruin theory	Bridging risk measures and classical ruin theory
S
S&P ERM Rating	The Drivers and Value of Enterprise Risk Management: Evidence from ERM Ratings
Safety loading	An individual risk model for premium calculation based on quantile: a comparison between Generalized Linear Models and Quantile Regression
Sample dependence of loss distributions	Loss data analysis with maximum entropy
sample dependence of risk premia	Loss data analysis with maximum entropy
Sampling and Model Error	An Integrated Approach to Explore the Complexity of Interest Rates Network Structure
Save more tomorrow	Nudging long-term saving: Might the “Save More Tomorrow” approach work in Spain?
Scoring -	Regulatory Learning: how to supervise machine learning models?
Seasonality	Pricing of agricultural derivatives: an approach based on models with mean reversion and seasonality
self-exciting process	A Self-Excited Switching Jump Diffusion (SESJD): properties, calibration and hitting time
semi-strong market efficiency	A generalized moving average convergence/divergence for testing semi-strong market efficiency
semimartingales	Equilibrium under imperfect competition and asymmetric information A continuous auction model with insiders and random time of information release
Sentiment	A continuous time model for BitCoin price dynamics
set-valued portfolio	The loss function approach in multivariate risk measurement
shareholder value	The Drivers and Value of Enterprise Risk Management: Evidence from ERM Ratings
Shrinkage	Bayesian nonparametric sparse Vector Autoregressive models
simulation-based loss	Left tail risk attribution in algorithmic portfolio strategies
Singula value decomposition	An Extension of Multidimensional Scaling to Several Distance Matrices, and its Application to the Italian Banking Sector
skewed normal distribution	An explicit solution of a portfolio optimization problem in a mean-variance-skewness model
Social Network Analysis	Community detection based association rules in bipartite networks
Social Security	A Basic Social Pension for Everyone? A minimum pension for older people via expenses rate
Social welfare	When is utilitarian welfare higher under insurance risk pooling? (Short Paper - pdf) When is utilitarian welfare higher under insurance risk pooling? (Abstract)
Socially Responsible Investment	Socially Responsible Ratings and Financial Performance Integration of non-financial criteria in equity investment
Solvency	Market-Consistent Valuation of Participating Life Insurance Contracts under Longevity Risk: The Case with Heterogeneous Groups of Policyholders
Solvency II	Tuning a Deep Learning Network for Solvency II: Preliminary Results Risk and return in Loss Portfolio Transfer (LPT) treaties within Solvency II capital system: a reinsurer’s point of view A market consistent framework for the fair evaluation of insurance contracts under Solvency II Bond Portfolio Management in a Post-Solvency II Regulatory Environment The assessment of longevity risk in a stochastic Solvency II perspective The Drivers and Value of Enterprise Risk Management: Evidence from ERM Ratings
Southern Italy's financial networks	Financial Networks and Mechanisms of Business Capture in Southern Italy over the First Global Wave (1812-1913). A Network Approach
Sovereign risk	DO GOOGLE TRENDS HELP TO FORECAST SOVEREIGN RISK IN EUROPE?
SPA test	Forecasting energy price volatilities and comovements: New evidences from fractionally integrated multivariate GARCH models
Spain	Disability Pensions in Spain: A Factor to Compensate Lifetime Losses.
Spanish population	Analysis of the evolution of changes in the Spanish mortality rates using functional data
sparse estimation	Approximate EM algorithm for sparse estimation of multivariate location--scale mixture of normals
sparse financial networks	Sparse networks through regularised regressions
Sparsity	Bayesian Tensor Binary Regression Bayesian Tensor Regression Models
Spatial econometrics	An electricity price index for volatile spatially dependent data
spatial statistics	A spatio-temporal model for the inequality in the income distribution of Italy
spatio-temporal model	A spatio-temporal model for the inequality in the income distribution of Italy
spatio-temporal models	Multiple testing for different structures of Spatial Dynamic Panel Data models
Spikes	Forecasting the volatility of electricity prices by robust estimators: an application to the Italian market.
spot dependent volatility	Option price decomposition in spot-dependent volatility models and some applications
Spot electricity price markets	Modelling the Australian electricity spot prices: A VAR-BEKK approach
spot volatility	The Limits to Volatility Predictability: Quantifying Forecast Accuracy Across Horizons
Spread market	The optimal investment and consumption for financial markets generated by the spread of risky assets for the power utility
State-dependent fees	Variable Annuities with State-Dependent Fees
Statistical learning	An experience based premium rate discounts system in crop insurance using Tweedie’s regressions
Statistical robustness	The $d_\theta$-median as a tool to provide robust estimates of the location of interval-valued data: the influence of Brexit on IBEX 35
stochastic control	Equilibrium under imperfect competition and asymmetric information A continuous auction model with insiders and random time of information release
Stochastic integrals with non-adapted integrands	Extending classical stochastic calculus for insider trading scenarios
Stochastic Mortality	Stochastic Mortality in a Lévy Process Framework and Application to Longevity Products Some empirical evidence on the need of more advanced approaches in mortality modeling
Stochastic optimal control	Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
stochastic order	Some connections between stochastic orders and financial derivatives, the case of the condor financial derivatives
Stochastic processes	The optimal investment and consumption for financial markets generated by the spread of risky assets for the power utility
Stochastic volatility	Implied volatility indices: an empirical analysis based on stochastic volatility continuous-time models
Stochastic volatility stochastic	Hybrid tree-finite difference methods for stochastic volatility models
Stock market	An empirical analysis of the lead lag relationship between the CDS and stock market: Evidence in Europe and US European Insurers: Interest Rate Risk Management Revisiting the dynamics between CDS spreads and stock returns under a nonlinear approach
Stock return	Comparing possibilistic portfolios to probabilistic ones EXTENSIONS OF FAMA AND FRENCH MODELS
Stock Return Synchronicity	Price informativeness and rating revisions: Effects of reputational events and regulation reforms
Strategic policies	Risk/Return analysis on credit exposure: do small banks really apply a pricing risk-based on their loans?
Structural model	Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps
Suboptimal saving	Nudging long-term saving: Might the “Save More Tomorrow” approach work in Spain?
subsampling	Drift in Transaction-Level Asset Price Models
suicide rates	Modelling and Forecasting Suicide: A Factor-Analytic Approach
Surrender option	Variable Annuities with State-Dependent Fees
Sustainability	Automatic Balancing Mechanisms for Mixed Pension Systems Sustainability of the Algerian retirement system: a multi scenarios analysis
Sustainability factor	Helping Long Term Care coverage via differential on mortality?
Sustainability of the Spanish public pensions system	Nudging long-term saving: Might the “Save More Tomorrow” approach work in Spain?
Sustainable benefits	A Basic Social Pension for Everyone? A minimum pension for older people via expenses rate
switching process	A Self-Excited Switching Jump Diffusion (SESJD): properties, calibration and hitting time
Systemic Risk	Dissecting Interbank Risk using Basis Swap Spreads A model-based measure of network heterogeneity with an application to the Austrian interbank market Conditional Autoregressive Quantile-Located Value-at-Risk Disagreement in Signed Financial Networks Forecasting Systemic Risk
T
tail dependence	Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets
Tail risk	Left tail risk attribution in algorithmic portfolio strategies
Target benefit plan	Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
Technical indicators	Forecasting the Equity Risk Premium in the European Monetary Union
Telematics	The Contribution of Usage-based Data Analytics to benchmark Semi-autonomous Vehicle Insurance
Tensor binary regression	Bayesian Tensor Binary Regression
Tensor regression	Bayesian Tensor Regression Models
term structure	The Limits to Volatility Predictability: Quantifying Forecast Accuracy Across Horizons
text analysis	Assessing news contagion in finance
Three-way Lee-Carter Model	Empirical Evidence from the Three-way LC model
Threshold estimator of integrated variance	Optimum Thresholding for Semimartingales with Levy Jumps under the mean-squared error
Threshold models	Forecasting the volatility of electricity prices by robust estimators: an application to the Italian market.
Time irreversibility	Detecting Time Irreversibility Using Quantile Autoregressive Models
Time series	Automatic detection and imputation of outliers in electricity price time series
Time series analysis	Two–Sided Skew and Shape Dynamic Conditional Score Models
time-variation	Left tail risk attribution in algorithmic portfolio strategies
Time-varying coefficients models	Reexamining financial and economic predictability with new estimators of realized variance
Time-varying dependence	Geographic Dependence and Diversification in House Price Returns: the Role of Leverage
Time-varying graphs	Robust time--varying undirected graphs
Time-varying risk aversion	The influence of dynamic risk aversion in the optimal portfolio context
Time-varying volatility	Modelling Time-Varying Volatility Interactions with an Application to Volatility Contagion
topic modeling	Assessing news contagion in finance
Trading stratégies	Approximate arbitrage with limit orders
tree methods	Hybrid tree-finite difference methods for stochastic volatility models
Trinomial tree	Evaluating variable annuities with GMWB when exogenous factors influence the policy-holder withdrawals
Tweedie regression	An experience based premium rate discounts system in crop insurance using Tweedie’s regressions
two moment decision problem	Bayesian Factorization Machines for Risk Management and Robust Decision Making
two step mixed pension system	A TWO-STEPS MIXED PENSION SYSTEM: AN AGGREGATE ANALYSIS
Two-step risk aggregation	Latent risk in the correlation assumption under insurance regulations
U
unbounded losses	Coherent risk measures and infinite expectation risks
Uncertainty	Risk and Uncertainty for Flexible Retirement Schemes
Uncertainty and Risk Minimization	Value at Risk for heavy tailed ambiguous risks
unconditional heteroscedasticity	Testing normality for unconditionally heteroscedastic macroeconomic variables
unisex life table	Consistently modeling unisex mortality rates
unisex pricing	Consistently modeling unisex mortality rates
unit correlations	Market Crashes and the Capital Asset Pricing Model
V
Valid inequalities	A Bi-level Programming Approach for Global Investment Strategies with Financial Intermediation
Validation criteria	Dimension selection in distance-based generalized linear models with application to pricing
Value at Risk	The assessment of longevity risk in a stochastic Solvency II perspective
Value of the information	Valuing insider information on interest rates in financial markets
Value-at-Risk	The Rearrangement algorithm of Puccetti and Rüschendorf: proving the convergence Forecasting risk with Markov-switching GARCH models: A large-scale performance study Quantitative Risk Management for Cryptocurrencies A copula-based quantile model
VaR	Forecasting energy price volatilities and comovements: New evidences from fractionally integrated multivariate GARCH models
VaR representation theorem	VaR Representation Theorem
Variable annuities	Variable Annuities with State-Dependent Fees
Variable annuity	Evaluating variable annuities with GMWB when exogenous factors influence the policy-holder withdrawals
variable selection	Variable selection in estimating bank default
Variance risk premium	Reexamining financial and economic predictability with new estimators of realized variance
variance swap	The behaviour of energy-related volatility indices around scheduled news announcements: Implications for variance swap investments
Vasicek interest rate model	Valuing insider information on interest rates in financial markets
Vasicek process	Small Sample Analysis in Diffusion Processes: a Simulation Study What if two different interest rates datasets allow for discribing the same financial product?
vector scaling regular variation	On the tail behavior of a class of multivariate conditionally heteroskedastic processes
Vine copula	Latent risk in the correlation assumption under insurance regulations Dependence modelling: Vine Copula
VIX	Reexamining financial and economic predictability with new estimators of realized variance
volatility	Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility Real-world versus risk-neutral measures in the estimation of an interest rate model with stochastic volatility
Volatility co-movements	Bayesian semiparametric multivariate stochastic volatility with an application to international volatility co-movements
Volatility forecasting	The Limits to Volatility Predictability: Quantifying Forecast Accuracy Across Horizons Forecasting the volatility of electricity prices by robust estimators: an application to the Italian market.
Volatility index	Implied volatility indices: an empirical analysis based on stochastic volatility continuous-time models The behaviour of energy-related volatility indices around scheduled news announcements: Implications for variance swap investments
Volatility spillovers	Modelling Time-Varying Volatility Interactions with an Application to Volatility Contagion
Volatility term structure	What if two different interest rates datasets allow for discribing the same financial product?
Volatility Transmission	Revisiting the dynamics between CDS spreads and stock returns under a nonlinear approach
Volatility-based contagion	Modelling Time-Varying Volatility Interactions with an Application to Volatility Contagion
Volterra integral equation	Optimal stopping and Volterra type equations: application to the Brownian bridge
W
Wasserstein distance	Insurance premium principles to price future contracts. Applications in Energy markets. Optimal insurance contract under ambiguity. Applications in extreme climatic events.
wealth effect	Household wealth and portfolio choice when tail events are salient
wealth inequality	The challenges of wealth and its intergenerational transmission in an aging society
Wealth transfer	Market-Consistent Valuation of Participating Life Insurance Contracts under Longevity Risk: The Case with Heterogeneous Groups of Policyholders
wealth transfer taxation	The challenges of wealth and its intergenerational transmission in an aging society
Weighted forward search	Forecasting the volatility of electricity prices by robust estimators: an application to the Italian market.
Weighted networks	A model-based measure of network heterogeneity with an application to the Austrian interbank market
Wild bootstrap	Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors
Y
Yield curve estimation	What if two different interest rates datasets allow for discribing the same financial product?
Z
zonal prices	Price convergence within and between the Italian electricity day-ahead and dispatching services markets