Mathematical and Statistical Methods for Actuarial Sciences and Finance

Transcription

1 Mathematical and Statistical Methods for Actuarial Sciences and Finance

2 Marco Corazza Florence Legros Cira Perna Marilena Sibillo Editors Mathematical and Statistical Methods for Actuarial Sciences and Finance MAF

3 Editors Marco Corazza Department of Economics Ca Foscari University of Venice Venezia, Italy Cira Perna Department of Economics and Statistics University of Salerno Florence Legros Département Finance, Audit, Comptabilité et Contrôle ICN Business School Nancy, France Marilena Sibillo Department of Economics and Statistics University of Salerno ISBN ISBN (ebook) Library of Congress Control Number: Springer International Publishing AG 2017 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. The publisher remains neutral with regard to jurisdictional claims in published maps and institutional affiliations. Printed on acid-free paper This Springer imprint is published by Springer Nature The registered company is Springer International Publishing AG The registered company address is: Gewerbestrasse 11, 6330 Cham, Switzerland

4 Preface This volume is a collection of referred papers from the several tens that were presented at the international conference MAF 2016 Mathematical and Statistical Methods for Actuarial Sciences and Finance. The conference was held in Paris (France), from March 30 to April 1, 2016, at the Université Paris-Dauphine. It was organized by the Executive MBA CHEA Centre des Hautes Etudes d Assurances and by the Department of Economics of the Ca Foscari University of Venice (Italy), with the collaboration of the Department of Economics and Statistics of the University of Salerno (Italy). The conference was the seventh of an international biennial series which began in It was born out of the idea that enhanced cooperation between mathematicians and statisticians working in actuarial sciences, in insurance, and in finance can result in improved research in these fields. The wide participation at all the conferences in the series constitutes proof of the merits of this idea. The papers published in this volume present theoretical and methodological contributions and their applications to real contexts. Of course, the success of MAF 2016 would not have been possible without the valuable help of all members of the Scientific Committee, the Organizing Committee, and the Local Committee. Finally, we are pleased to inform readers that the organizing machine for the next edition is already in action: the conference MAF 2018 will be held in Madrid (Spain), from April 4 to 6, 2018 (for details visit the website uc3m.es/maf2018/). We look forward to seeing you there. Venezia, Italy Nancy, France August 2017 Marco Corazza Florence Legros Cira Perna Marilena Sibillo v

5 Contents The Effects of Credit Rating Announcements on Bond Liquidity: An Event Study... 1 Pilar Abad, Antonio Diaz, Ana Escribano, and M. Dolores Robles The Effect of Credit Rating Events on the Emerging CDS Market Laura Ballester and Ana González-Urteaga A Generalised Linear Model Approach to Predict the Result of Research Evaluation Antonella Basso and Giacomo di Tollo Projecting Dynamic Life Tables Using Data Cloning Andrés Benchimol, Irene Albarrán, Juan Miguel Marín, and Pablo Alonso- González Markov Switching GARCH Models: Filtering, Approximations and Duality Monica Billio and Maddalena Cavicchioli A Network Approach to Risk Theory and Portfolio Selection Roy Cerqueti and Claudio Lupi An Evolutionary Approach to Improve a Simple Trading System Marco Corazza, Francesca Parpinel, and Claudio Pizzi Provisions for Outstanding Claims with Distance-Based Generalized Linear Models Teresa Costa and Eva Boj Profitability vs. Attractiveness Within a Performance Analysis of a Life Annuity Business Emilia Di Lorenzo, Albina Orlando, and Marilena Sibillo vii

6 viii Contents Uncertainty in Historical Value-at-Risk: An Alternative Quantile-Based Risk Measure Dominique Guégan, Bertrand Hassani, and Kehan Li Modeling Variance Risk Premium Kossi Gnameho, Juho Kanniainen, and Ye Yue Covered Call Writing and Framing: A Cumulative Prospect Theory Approach Martina Nardon and Paolo Pianca Optimal Portfolio Selection for an Investor with Asymmetric Attitude to Gains and Losses Sergei Sidorov, Andrew Khomchenko, and Sergei Mironov