Program [UTC+2 (Please, check your local time)]

13:40-14:00 - Openings
14:00-15:30 - Parallel Sessions A

A.1 - Actuarial models for life and health insurance products I

Chair: Anna Rita Bacinello – Organizer: Anna Rita Bacinello

  • G. Piscopo, E. di Lorenzo, M. Sibillo, R. Tizzano
    Risk assessment in the reverse mortgage contract
  • P. De Angelis, F. Baione, D. Biancalana
    A risk-based approach for the solvency capital requirement for health plans
  • A. Balbas
    Optimal investment with information about the level II market data of the order book

A.2 - Modelling and forecasting financial time series

Chair: Marcella Niglio – Organizer: Marcella Niglio

  • G. Goracci, K.-S. Chan, S. Giannerini, H. Tong
    Tests for threshold effects in the ARMA framework
  • M. Niglio, F. Giordano
    Optimal nonlinear autoregressive predictors under asymmetric loss functions
  • P. Coretto, M. La Rocca, G. Storti
    A GARCH-type model with cross-sectional volatility clusters
  • M. Marchese, I. Kyriakou, M. Tamvakis, F. Di Iorio
    Forecasting co-movements in energy futures: the role of structural breaks in short and long-run correlation components

A.3 - Intelligent tools for decision making in finance I

Chair: Dominique Guegan – Organizer: Marco Corazza, Dominique Guegan

  • J. Chevallier, D. Guegan, S. Goutte
    Is it possible to forecast the price of Bitcoin?
  • E. Vittori, L. Bisi, L. Sabbioni, M. Papini, M. Restelli
    Risk-averse trust region optimization for reward-volatility reduction
  • M. Corazza
    A comparison among reinforcement learning algorithms in financial trading systems
  • M.N. Bernasconi de Luca, E. Vittori, F. Trovo, M. Restelli
    Using online gradient descent to deal with transaction costs in online portfolio optimization

A.4 - Optimization in finance I

Chair: Diana Barro – Organizer: eMAF2020

  • S. Kou
    A general Monte Carlo algorithm for stochastic control problems in economics with monotonicity
  • P. Johnson, A. Loukatou, P. Duck, S. Howell
    Optimally dispatching a battery storage unit to maximise the revenue of a wind farm
  • R. Maggistro, M. Corazza, R. Pesenti
    MFG-based trading model with information costs
  • A. Candelieri, S. Bencini, F. Archetti
    Adaptive trend following strategy using random forest based Bayesian optimization
15:30-16:30 - Parallel Sessions B

B.1 - Industry sponsored session

Chair: Emanuele B. Ferreri – Organizer: Egonon

  • R. Donati, M. Corazza
    Robomanagement, the virtualization of an entire investment committee
  • V. Arcadio Roy
    MIFID II and the impact on ETFs
  • R. Hochreiter
    Optimal asset allocations for Robo advisory tools using artificial intelligence

B.2 - Life insurance and related issues

Chair: Gabriella Piscopo – Organizer: eMAF2020

  • S. Yin, E. Valdez, D. Dey
    Skewed link regression models for imbalanced binary response with application to life insurance
  • J. Tang
    Efficient hedging of a guaranteed minimum accumulation benefit with Heston-type volatility-dependent fees
  • C. Di Palo
    Longevity risk sharing in life annuities under demographic compensation

B.3 - Econometric methods for financial risk management

Chair: TBA – Organizer: eMAF2020

  • U. Ulrych, P. Polak
    Dynamic currency hedging using non-Gaussian returns model
  • G. Rivieccio, G. De Luca, M.L. Bianchi
    Backtesting CoVaR with volatility clustering, heavy tails and non-linear dependence
16:30-17:20 - Tutorial
G. Fasano
An overview of metaheuristics for optimization
17:20-19:00 - Parallel Session C

C.1 - High frequency data in economics and finance

Chair: Alessandra Amendola – Organizer: Alessandra Amendola

  • M. Restaino, F. Giordano, M. Niglio
    Screening covariates in presence of an unbalanced binary dependent variable
  • A. Amendola, V. Candila, F. Cipollini, G. Gallo
    On the use of mixed sampling in forecasting realized volatility: The MEM-MIDAS
  • V. Candila, L. Petrella
    Conditional quantile estimation for linear ARCH models with MIDAS components
  • L. Leonida, A. Iona
    Is monotonicity of the investment-cash flow sensitivity satisfied?
  • A. Santos
    Big-data for high-frequency volatility analysis with time-deformed observations

C.2 - Portfolio optimization

Chair: TBA – Organizer: eMAF2020

  • I. Foroni, A.M. Fiori, A. Avellone
    Portfolio optimization with nonlinear loss aversion and transaction costs
  • K. Colaneri, S. Herzel, M. Nicolosi
    The value of information for optimal portfolio management
  • A. Hitaj, R. Grassi, G.P. Clemente
    Network approaches based on performance and dependence structure for portfolio allocation
  • C. Pederzoli, I. Foroni, A. Avellone
    Portfolio optimization in the Basel III regulatory framework
  • M. Neffelli, M.E. De Giuli, M. Resta
    Global minimum variance portfolio with minimum regularised covariance determinant estimator

C.3 - Machine learning and related methods

Chair: Giacomo Di Tollo – Organizer: eMAF2020

  • A. Molent, L. Goudenege, A. Zanette
    Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
  • A. Laporta, L. Petrella, S. Levantesi
    Quantile regression neural network for quantile claim amount estimation
  • L. Barbaglia, E. Tosetti, S. Manzan
    Loan default analysis in Europe: Tracking regional variations using big data
  • G. Di Tollo, J. Andria, S. Tanev
    Neural networks to determine the relationships between business innovation and gender aspects
  • E. Valdez, H. Jeong, G. Gan
    Insurance premium optimization with policyholder loyalty

C.4 - Modelling and forecasting

Chair: TBA – Organizer: eMAF2020

  • M. Juillard
    An efficient implementation of the Kalman filter in Julia
  • D. Cucina, R. Baragona, F. Battaglia
    Periodic autoregressive models for stochastic seasonality
  • S. Bianchi, A. Pianese, M. Frezza, A.M. Palazzo
    Stochastic dominance in the outer distributions of the alfa-Efficiency domain
  • Y. Rakotondratsimba
    Data-driven models for forecasting and pricing
  • P. Uberti, C. Fassino, M. L. Torrente
    Numerical stability of optimal mean variance portfolios
14:00-15:00 - Parallel Sessions D

D.1 - Quantitative techniques for banking and finance

Chair: Leone Leonida – Organizer: Leone Leonida

  • M. Dolfin
    Analysing breakdowns of efficiency in stylized economic networks
  • A. Iona, L. Leonida, D. Assefa
    Political replacement effect and financial development: Evidence across countries
  • E. Muzzupappa, P. Calice
    Bank concentration and financial stability

D.2 - Evolutionary and heuristic computation in finance

Chair: Joseph Andria – Organizer: eMAF2020

  • A. Spelta, M.E. De Giuli, D. Lazzari, A. Flori
    Multidimensional visibility for describing the market dynamics around Brexit announcements
  • J. Andria, G. di Tollo
    An empirical investigation of heavy tails in emerging markets and robust estimation of the Pareto tail index

D.3 - Econometrics

Chair: TBA – Organizer: eMAF2020

  • L. Grossi, S. Golia, M. Pelagatti
    Machine learning models for the prediction of Italian electricity prices: Do they really outperform the benchmark?
  • W. Grabowski, A. Welfe
    Currency market tensions and real effective exchange rate in Switzerland
  • Z. Arfan
    A stochastic volatility model for optimal market making
15:00-16:30 - Parallel Session E

E.1 - Generalised quantiles and applications

Chair: Fabio Bellini – Organizer: Fabio Bellini

  • L. Merlo, L. Petrella, V. Raponi
    Forecasting multiple VaR and ES using a dynamic joint quantile regression with an application to portfolio optimization
  • A. Ince, I. Peri
    Risk contributions under generalised quantile risk measures
  • V. Bignozzi, M. Burzoni, C. Munari
    Risk measures based on benchmark loss distributions
  • F. Bellini, I. Peri
    On the properties of Lambda quantiles

E.2 - Data driven management in actuarial science

Chair: Marilena Sibillo – Organizers: Emilia di Lorenzo, Marilena Sibillo, Gabriella Piscopo

  • F. Viviano, P. Millossovich, A.R. Bacinello
    Monte Carlo valuation of future annuity contracts
  • S. Levantesi, M. Marino
    Forecasting neural network Lee-Carter model with parameter uncertainty: The case of Italy
  • A. Orlando, M.F. Carfora, G. Palma
    Cyber risk analysis: Critical issues
  • F. Baione, D. Biancalana, P. De Angelis
    An application of zero-one inflated beta regression models for predicting health insurance reimbursement

E.3 - Higher moments in finance and insurance I

Chair: Nicola Loperfido – Organizer: Nicola Loperfido

  • H. Ogasawara
    The multiple Cantelli inequalities
  • H.-M. Kim, J. Zhao
    Multivariate measures of skewness for the scale mixtures of skew-normal distributions
  • C. Adcock, N. Loperfido
    The skew-normal and related distributions as a copula and as a model for skewness persistence
  • F. Javed, N. Loperfido, S. Mazur
    Fourth cumulant for multivariate aggregate claim models

E.4 - New developments in longevity and mortality

Chair: Aurea Grané  – Organizer: Aurea Grané

  • J.M. Pavia, J. Lledo Benito, N. Salazar Vesga
    Mid-year estimators in life tables construction
  • Z. Song, C. Boado Penas, S. Arnold
    Adequacy in notional defined contribution pension schemes: A solution
  • A. Grané, I. Albarran, R. Lumley
    Health and well-being profiles across Europe
  • A. Debon, P. Carracedo
    Implementation in R and Matlab of econometric models applied to ages after retirement in Europe
    16:30-17:20 - Keynote talk
    S. Giannerini, G. Goracci, H. Tong
    Testing for threshold regulation
    17:20-19:00 - Parallel Session F

    F.1 - Modeling and estimation of risk for optimal portfolio selection

    Chair: Davide Ferrari – Organizer: Davide Ferrari

    • A. Rigamonti, D. Ferrari, A. Weissensteiner, S. Paterlini
      Smoothed semicovariance estimation
    • S. Stoeckl, A. Weissensteiner, M. Hanke
      Portfolio rules and factor premia under ambiguity
    • D. Ferrari
      Robust portfolio diversification by exponential tilting
    • D.A. Mancuso, D. Zappa
      Optimal portfolio for basic DAG

    F.2 - Non parametric methods in insurance and finance

    Chair: Cira Perna – Organizer: Cira Perna

    • S. Milito, F. Giordano, M.L. Parrella
      A model-free screening selection approach by local derivative estimation
    • R. Metulini
      A semiparametric high-dimensional logistic model with overdispersion and spatial dependence for bankruptcy prediction
    • C. Iorio, G. Pandolfo, A. D Ambrosio, R. Siciliano
      Mean-variance portfolio through data depth
    • D. Karyampas, A. Didisheim, S. Scheidegger
      Implied risk aversion smile

    F.3 - Financial time series I

    Chair: TBA – Organizer: eMAF2020

    • M. Garcin
      Selection and estimation of fractional and multifractional models
    • J. Rastegari Koopaei, L. Stentoft, M. Escobar
      Affine multivariate GARCH models
    • J. Ojea Ferreiro
      Deconstructing systemic risk: A reverse stress testing approach
    • I.L. Amerise, A. Tarsitano
      Simultaneous prediction intervals for forecasting EUR/USD exchange rate
    • P. He, K. Binkowski, N. Kordzakhia, P. Shevchenko
      On modelling of crude oil futures in a bivariate state-space framework

    F.4 - Optimization in finance and insurance

    Chair: TBA – Organizer: eMAF2020

    • M. Galeotti, G. Rabitti, E. Vannucci
      A block-chain approach to flood risk insurance
    • A. Riva
      Risk/return/retention efficient frontier discovery through evolutionary optimization for non-life insurance portfolio
    • C. Oarda
      Moral hazard in health insurance: Modelling the behaviour of the insured and the optimal contract
    • F. Parpinel, M. Corazza, C. Pizzi
      Trading system mixed-integer optimization by PSO
    13:00-14:00 - Parallel Sessions G

    G.1 - Building a fair and sustainable pension scheme

    Chair: Vincent Touze – Organizer: Vincent Touze

    • A.M. Garvey, M. Ventura-Marco, C. Vidal Melia
      The importance of reporting a pension systems income statement in a fair and sustainable scheme
    • C. Boado Penas, J. Eisenberg, R. Korn
      Optimal strategies for public pension systems: A mixed approach
    • V. Touze, F. Legros, F. Gannon
      ABM and discount rate: Towards an optimal transition to balance PAYG pension scheme without intertemporal dictatorship

    G.2 - Financial time series II

    Chair: Agnieszka Jach – Organizer: Agnieszka Jach

    • N. Ahlgren, L.T. Bui
      Hedging with constant conditional optimal hedge ratios
    • H. Nyberg
      Risk-return relation in stock returns under economic constraints
    • L. Vitale, M. La Rocca
      Clustering time series by nonlinear dependence
    • A. Jach
      A general comovement measure for time series

    G.3 - Higher moments in finance and insurance II

    Chair: Nicola Loperfido – Organizer: Nicola Loperfido

    • N. Loperfido
      Multivariate kurtosis for invariant coordinate selection
    • T. Kollo
      Asymptotic normality for parameter estimators of skew t copula
    • C. Kleiber
      Some moment-indeterminate distributions from actuarial science

    G.4 - Insurance I

    Chair: TBA – Organizer: eMAF2020

    • R. Anisa, D. Kusumaningrum, V.A. Sutomo, K.S. Tan
      Potential of reducing crop insurance subsidy based on willingness to pay and random forest analysis
    • S. Acemoglu, C. Kleiber
      Boosting actuarial regression models
    • G. Melisi, N.E. DOrtona, P. Fersini, S. Forte
      Financial reinsurance of the claims reserve through swap schemes
    • M. Pirra, M. Menzietti
      Weather index-based insurance in advanced agricultural risk management
    14:30-16:00 - Parallel Session H

    H.1 - Econometric methods for financial risk management

    Chair: Luca Trapin – Organizer: Luca Trapin

    • G. Buccheri, S.J. Koopman
      A high-dimensional realized covariance dynamic factor model: Analysis, estimation and forecasting
    • L. Trapin, D. Dupuis
      Liquidity tail risk in the wake of the financial crisis: Evidence from the U.S. stock market
    • R. Panzica, L. Alessi, E. Ossola
      The Greenium matters: Evidence on the pricing of climate risk
    • G. Vacca, M.G. Zoia, P. Quatto
      Modelling between-squares dependence in financial data via a Gram-Charlier-like copula

    H.2 - Optimization in finance II

    Chair: Maria L. Torrente – Organizer: eMAF2020

    • G. Albano, M. La Rocca, C. Perna
      A comparison among alternative parameters estimators in the Vasicek process: A small sample analysis
    • T. Kamma, A. Pelsser
      Near-optimal dynamic asset allocation in financial markets with trading constraints
    • A. Oyenubi
      Stochastic dominance and portfolio construction under heuristic optimization
    • M. Nardon, D. Barro, M. Corazza
      Behavioral aspects in portfolio selection

    H.3 - Insurance II

    Chair: Valeria D'Amato – Organizer: eMAF2020

    • F. Della Corte, N. Savelli, G.P. Clemente
      A stochastic model to quantify demographic profit and loss coherent with the market consistent valuation
    • D. Kusumaningrum, R. Anisa, K.S. Tan, V.A. Sutomo
      Developing alternative area yield index-based crop insurance policies in Indonesia
    • G. Cantaluppi, D. Zappa
      Modelling topics of car accidents events: A text mining approach
    • D. Makariou, P. Barrieu, Y. Chen
      A random forest based approach for predicting spreads in the primary catastrophe bond market

    H.4 - General

    Chair: TBA – Organizer: eMAF2020

    • Y. Kaniovski, S. Kaniovski, T. Gaertner
      Numerical estimation of some characteristics of credit and systemic risk
    • M. Boccia
      Formal and informal microfinance in Nigeria: Which of them works?
    • A. Berardi
      Cross-country term premia interactions in the euro area
    • S. Zedda, M. Patane, L. Miggiano
      The role of correlation in systemic risk: Mechanisms, effects, and policy implications
    16:00-16:20 - Break
    16:20-17:20 - Parallel Session I

    I.1 - Credit risk methods and models

    Chair: Marco Tolotti – Organizer: eMAF2020

    • J. Giacomelli, L. Passalacqua
      Improved precision in calibrating CreditRisk+ model for credit insurance applications
    • A. Didisheim, S. Scheidegger, H. Chen
      Adaptive machine learning: An application to credit risk modeling
    • L. Tibiletti, M. Uberti
      A measure for the extra-costs to evaluate the global cost of credit

    I.2 - Intelligent tools for decision making in finance II

    Chair: Marco Corazza – Organizers: Marco Corazza, Dominique Guegan

    • D. Guegan
      Bias in machine learning systems and how to analyse it
    • M.E. De Giuli, M. Resta
      Object-oriented Bayesian networks for the detection of the determinants of money laundering
    • A. Flori, D. Regoli
      Pairs-trading strategies with recurrent neural networks market predictions

    I.3 - The natural rate of interest: Methods, issues, and developments

    Chair: Daniel Buncic – Organizer: Daniel Buncic

    • D. Buncic
      Econometric issues with Laubach and Williams' estimates of the natural rate of interest
    • K. Pallara, J.-P. Renne
      Fiscal limits and sovereign credit spreads
    • L. Milivojevic, R. Beyer
      R star track: Dynamics and determinants of world equilibrium interest rates

    I.4 - Forecasting

    Chair: TBA – Organizer: eMAF2020

    • Mora Valencia, E. Molina, J. Perote
      On the prediction of financial market crashes through the analysis of the tail index behavior
    • K. Syuhada
      Risk sharing allocation based on the improved VaR and dependent expected shortfall for aggregate risk models
    • L. Botev, P. Johnson
      Applications of statistical process control in the management of Unaccounted for Gas
    17:20-18:50 - Parallel Session J

    J.1 - Actuarial models for life and health insurance products II

    Chair: Anna Rita Bacinello – Organizer: Anna Rita Bacinello

    • E. Russo, M. Costabile, I. Massabo, A. Staino
      A lattice approach to evaluate participating policies in a stochastic interest rate framework
    • E. Pitacco, D. Tabakova
      Heterogeneity and uncertainty in a multistate framework
    • S. Scognamiglio, Z. Marino, L. Passalacqua, F. Perla, U. Fiore, P. Zanetti, G. Castellani
      Nested stochastic simulations under actuarial uncertainty
    • M. Menzietti, S. Levantesi
      Modelling health transitions in Italy: A generalized linear model with disability duration

    J.2 - Risk analysis

    Chair: Pierpaolo Uberti – Organizer: eMAF2020

    • R. Pang, L. Veraart
      Assessing fire-sales risk in reconstructed financial networks
    • R. Casarin, G. Carallo, C. Robert
      A Bayesian generalized Poisson model for cyber risk analysis
    • D.A. Kancs
      Green stress testing and sustainable finance
    • M. Rahsepar, F. Xanthos
      Transformed norm risk measures on their natural domain

    J.3 - Derivatives

    Chair: TBA – Organizer: eMAF2020

    • G. Villani, G. D Amico
      Valuation of R&D sequential exchange option using a Markov chain approach
    • G. Alobaidi
      Valuing semi-American putable bonds under CIR
    • F. Zeddouk, P. Devolder
      Pricing of longevity derivatives and cost of capital
    • E. Rroji, A. Perchiazzo, L. Mercuri
      Pricing of futures with a CARMA(p,q) model driven by a time changed Brownian motion

    18:50-19:10 - Closing