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
