Ausgabe 1/2021
Special Issue: Innovating Actuarial Research on Financial Risk and Enterprise Risk Management
Inhalt (23 Artikel)
An application of Sigmoid and Double-Sigmoid functions for dynamic policyholder behaviour
Fabio Baione, Davide Biancalana, Paolo De Angelis
Reverse mortgages through artificial intelligence: new opportunities for the actuaries
Emilia di Lorenzo, Gabriella Piscopo, Marilena Sibillo, Roberto Tizzano
Modelling dynamic lapse with survival analysis and machine learning in CPI
Marco Aleandri, Alessia Eletti
Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
Ludovic Goudenège, Andrea Molent, Antonino Zanette
Challenges in approximating the Black and Scholes call formula with hyperbolic tangents
Michele Mininni, Giuseppe Orlando, Giovanni Taglialatela
Longevity risk and economic growth in sub-populations: evidence from Italy
Giuseppina Bozzo, Susanna Levantesi, Massimiliano Menzietti
On the determinants of data breaches: A cointegration analysis
Domenico De Giovanni, Arturo Leccadito, Marco Pirra
Optimal annuitisation in a deterministic financial environment
Griselda Deelstra, Pierre Devolder, Roberta Melis
Climate change management: a resilience strategy for flood risk using Blockchain tools
Emanuele Vannucci, Andrea Jonathan Pagano, Francesco Romagnoli
Asian options with zero cost-of-carry: EEX options on freight and iron ore futures
Espen Gaarder Haug
Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate
Tahereh Khodamoradi, Maziar Salahi, Ali Reza Najafi
Managing liquidity with portfolio staleness
Giuseppe Buccheri, Davide Pirino, Luca Trapin
Pricing basket default swaps using quasi-analytic techniques
Nneka Umeorah, Phillip Mashele, Matthias Ehrhardt
MURAME parameter setting for creditworthiness evaluation: data-driven optimization
Marco Corazza, Giovanni Fasano, Stefania Funari, Riccardo Gusso
Delay two-sector economic growth model with a Cobb–Douglas production function
Akio Matsumoto, Ferenc Szidarovszky
Wage bargaining as an optimal control problem: a dynamic version of the efficient bargaining model
Marco Guerrazzi
Nonlinear optimal control of coupled time-delayed models of economic growth
G. Rigatos, P. Siano, M. Abbaszadeh, T. Ghosh
Non-compliant behaviour in public procurement: an evolutionary model with endogenous monitoring
Raffaella Coppier, Francesca Grassetti, Elisabetta Michetti