Mathematical and statistical methods for actuarial sciences and finance: MAF 2018

Intro -- Preface -- Contents -- Absolute and Relative Gender Gap in Pensions: The Impact of the Transition from DB to NDC in Italy -- 1 Introduction -- 2 Data and Methodology -- 2.1 Data -- 2.2 Methodology -- 3 Preliminary Results -- 4 Remarks -- References -- TPPI: Textual Political Polarity Indices. The Case of Italian GDP -- 1 Introduction -- 2 Data -- 2.1 The Italian Senate Verbatim Reports -- 2.2 The Italian Yearly GDP Time Series -- 3 Determining Words Sentiment Polarities -- 4 Polarity Indices Time Series -- 4.1 Total Textual Political Polarity Index (TPPI-T) -- 4.2 Group Specific Textual Political Polarity Indices (TPPI-GS) -- 4.3 Polarity Divergence Indices (TPPI-D) -- 5 Evaluating Indices Configurations -- 6 Conclusion -- References -- Quantile Regression Forest for Value-at-Risk Forecasting Via Mixed-Frequency Data -- 1 Introduction -- 2 Methodology -- 3 Empirical Application -- 4 Conclusions -- References -- Gender Attitudes Toward Longevity and Retirement Planning: Theory and Evidence -- 1 Introduction -- 2 Drivers of Retirement Behaviour: the State-of-the-Art -- 3 Subjective Longevity, Gender and Economic Choices -- 4 Our Research Framework and Directions -- References -- Semiclassical Pricing of Variance Swaps in the CEV Model -- 1 Introduction -- 2 The Model -- 2.1 Variance Swap Pricing -- 3 Realized Variance Replication -- 3.1 The Semiclassical Approximation for the Log Contract -- 4 Numerical Results -- References -- Indexing Pensions to Life Expectancy: Keeping the System Fair Across Generations -- 1 Introduction -- 2 Intergenerational Fairness and Neutrality Condition -- 3 Policy Options -- 3.1 Adjusting the Contribution Rate -- 3.2 Adjusting the Retirement Age While Keeping the Replacement Rate Constant -- 3.3 Adjusting the Retirement Age While Improving Pension Adequacy.

This volume gathers selected peer-reviewed papers presented at the international conference "MAF 2016 - Mathematical and Statistical Methods for Actuarial Sciences and Finance", held in Paris (France) at the Université Paris-Dauphine from March 30 to April 1, 2016. The contributions highlight new ideas on mathematical and statistical methods in actuarial sciences and finance. The cooperation between mathematicians and statisticians working in insurance and finance is a very fruitful field, one that yields unique theoretical models and practical applications, as well as new insights in the discussion of problems of national and international interest. This volume is addressed to academicians, researchers, Ph.D. students and professionals

Intro -- Preface -- Contents -- The Effects of Credit Rating Announcements on Bond Liquidity: An Event Study -- 1 Introduction -- 2 The Expected Response of Liquidity to Rating Actions -- 3 Data Description -- 4 Proxies of Liquidity -- 4.1 Amivest -- 4.2 Bao -- 4.3 Imputed Roundtrip Cost -- 4.4 Price Dispersion -- 4.5 Market Share -- 5 Effects of Rating Change Announcements on Liquidity -- 5.1 Methodology -- 5.2 Event Study Results for Downgrades and Upgrades -- 6 Determinants of the Liquidity Response to Credit Rating Changes -- 7 Concluding Remarks -- References -- The Effect of Credit Rating Events on the Emerging CDS Market -- 1 Introduction -- 2 Data -- 3 Methodology -- 4 Results -- 5 Conclusions -- References -- A Generalised Linear Model Approach to Predict the Result of Research Evaluation -- 1 Introduction -- 2 Two Generalised Linear Models for Research Evaluation -- 3 Using GLMs to Predict the Results of REF Evaluation -- 4 An Empirical Investigation on REF Data -- 5 Predicting the Results of Next REF -- 6 Concluding Remarks -- References -- Projecting Dynamic Life Tables Using Data Cloning -- 1 Introduction -- 2 Bayesian Approach to LC Model -- 3 The Data Cloning Methodology -- 4 Validating the Estimation Procedure -- 5 Application to Real Data -- 6 Conclusions -- References -- Markov Switching GARCH Models: Filtering, Approximations and Duality -- 1 Introduction -- 2 Markov Switching GARCH and Its Auxiliary Models -- 3 Filtering and Duality -- 4 An Application on US Treasury Bill Rates -- 5 Conclusions -- Appendix -- References -- A Network Approach to Risk Theory and Portfolio Selection -- 1 Introduction -- 2 The Set of Portfolios -- 3 Risk Measure of Portfolio -- 4 Rewriting the Markowitz Model -- 4.1 First Model -- 4.2 Second Model -- 4.3 Some Results -- 5 Conclusions