466 results on '"Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE"'
Search Results
2. Assessing harmfulness and vulnerability in global bipartite networks of terrorist-target relationships
- Author
-
Alessandro Spelta, Nicoló Pecora, and Paolo Pagnottoni
- Subjects
Sociology and Political Science ,Settore SECS-S/01 - STATISTICA ,Anthropology ,Terrorism network ,Bipartite networks ,Settore SECS-P/06 - ECONOMIA APPLICATA ,General Social Sciences ,Centrality measures ,Networks ,Null models ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,General Psychology - Published
- 2023
3. A stochastic model for capital requirement assessment for mortality and longevity risk, focusing on idiosyncratic and trend components
- Author
-
Gian Paolo Clemente, Francesco Della Corte, and Nino Savelli
- Subjects
Solvency II ,Statistics and Probability ,Economics and Econometrics ,Solvency Capital Requirement ,Risk theory ,Mortality & longevity risk ,Statistics, Probability and Uncertainty ,Life insurance ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE - Abstract
This paper provides a stochastic model, consistent with Solvency II and the Delegated Regulation, to quantify the capital requirement for demographic risk. In particular, we present a framework that models idiosyncratic and trend risks exploiting a risk theory approach in which results are obtained analytically. We apply the model to non-participating policies and quantify the Solvency Capital Requirement for the aforementioned risks in different time horizons.
- Published
- 2022
4. Backtesting the Bayesian Bornhuetter-Ferguson method against traditional approaches in claims reserving
- Author
-
Matteo Crisafulli and Gian Paolo Clemente
- Subjects
Bornhuetter-Ferguson methodologies ,Backtesting ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Claims reserves - Published
- 2022
5. On proper minimality in set optimization
- Author
-
L. Huerga, E. Miglierina, E. Molho, and V. Novo
- Subjects
Henig proper minimality ,Geoffrion proper minimality ,Control and Optimization ,Business, Management and Accounting (miscellaneous) ,Nonlinear scalarization ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Set optimization - Abstract
The aim of this paper is to extend some notions of proper minimality from vector optimization to set optimization. In particular, we focus our attention on the concepts of Henig and Geoffrion proper minimality, which are well-known in vector optimization. We introduce a generalization of both of them in set optimization with finite dimensional spaces, by considering also a special class of polyhedral ordering cone. In this framework, we prove that these two notions are equivalent, as it happens in the vector optimization context, where this property is well-known. Then, we study a characterization of these proper minimal points through nonlinear scalarization, without considering convexity hypotheses.
- Published
- 2023
6. Machine learning due diligence evaluation to increase NPLs profitability transactions on secondary market
- Author
-
Maria Carannante, Valeria D’Amato, Paola Fersini, Salvatore Forte, and Giuseppe Melisi
- Subjects
Machine learning ,Non Performing Loans ,secondary market ,NPLs ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,General Business, Management and Accounting - Abstract
In this paper, we contribute to the topic of the non-performing loans (NPLs) business profitability on the secondary market by developing machine learning-based due diligence. In particular, a loan became non-performing when the borrower is unlikely to pay, and we use the ability of the ML algorithms to model complex relationships between predictors and outcome variables, we set up an ad hoc dependent random forest regressor algorithm for projecting the recovery rate of a portfolio of the secured NPLs. Indeed the profitability of the transactions under consideration depends on forecast models of the amount of net repayments expected from receivables and related collection times. Finally, the evaluation approach we provide helps to reduce the ”lemon discount” by pricing the risky component of informational asymmetry between better-informed banks and potential investors in particular for higher quality, collateralised NPLs.
- Published
- 2023
7. Money Illusion and TIPS Demand
- Author
-
ABRAHAM LIOUI and ANDREA TARELLI
- Subjects
portfolio choice ,Economics and Econometrics ,Accounting ,term structure of interest rates ,TIPS ,money illusion ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Finance - Published
- 2022
8. Editorial on the Special Issue on Insurance: complexity, risks and its connection with social sciences
- Author
-
Zappa, Diego, Clemente, Gian Paolo, Della Corte, Francesco, and Savelli, Nino
- Subjects
Data science in Insurance ,Complex networks ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE - Published
- 2023
9. Heterogeneous expectations and equilibria selection in an evolutionary overlapping generations model
- Author
-
F. Cavalli, H.-J. Chen, M.-C. Li, A. Naimzada, N. Pecora, Cavalli, F, Chen, H, Li, M, Naimzada, A, and Pecora, N
- Subjects
Economics and Econometrics ,Overlapping generation ,Multiple equilibria ,Applied Mathematics ,Heterogeneous expectations ,Heterogeneous expectation ,Evolutionary switching ,Overlapping generations ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Settore SECS-P/01 - ECONOMIA POLITICA ,Equilibrium selection - Abstract
The way agents form their expectations, and which equilibria are consequently selected, are issues that come over macroeconomic growth models that study the transition between states characterized by different levels of capital. Existing theoretical works in this area have been mostly dominated by perfect foresight models although alternative expectations schemes have been proposed in the last decades. In the present paper we propose an OLG model with capital accumulation assuming that agents employ simple yet heterogeneous rules to forecast the future course of the interest rate and the real wage. The forecasting rules are selected according to an evolutionary mechanism that, on the basis of a fitness measure, evaluates the performance of the heuristics agents are currently adopting. We analytically show that, in the heterogeneous setting we consider, multiple equilibria are possible, but the evolutionary heuristic switching allows for a decrease in the number of possible steady states, drives their selection, and reduces the actual possibility that the economy might be locked into a poverty trap. (c) 2022 Elsevier B.V. All rights reserved.
- Published
- 2023
10. Sentiment-driven business cycle dynamics: An elementary macroeconomic model with animal spirits
- Author
-
Laura Gardini, Davide Radi, Noemi Schmitt, Iryna Sushko, and Frank Westerhoff
- Subjects
Organizational Behavior and Human Resource Management ,Economics and Econometrics ,Mathematical economics ,Macroeconomics ,Investor sentiment ,Animal spirits ,Nonlinear dynamical systems ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Business cycle dynamics - Published
- 2023
11. Rotundity Properties, and Non-Extendability of Lipschitz Quasiconvex Functions
- Author
-
De Bernardi, Carlo Alberto and Libor, Vesely
- Subjects
LUR point ,Lipschitz function, quasiconvex function, LUR point, exposing functional ,Lipschitz function ,exposing functional ,quasiconvex function ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Settore MAT/05 - ANALISI MATEMATICA - Published
- 2023
12. Special Issue 'Data Science in Insurance'
- Author
-
Gian Paolo Clemente, Francesco Della Corte, Nino Savelli, and Diego Zappa
- Subjects
Data science in Insurance ,Strategy and Management ,Accounting ,Economics, Econometrics and Finance (miscellaneous) ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE - Abstract
Within the insurance field, the digital revolution has enabled the collection and storage of large quantities of information [...]
- Published
- 2023
13. On representation of preferences a la Debreu
- Author
-
Castagnoli, Erio, De Donno, Marzia, Favero, Gino, and Modesti, Paola
- Subjects
Benchmarking ,Debreu’s theorem ,Incomplete preferences ,Sure thing principle ,Certainty equivalents ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,State-dependent utility ,Representation of preferences - Published
- 2023
14. Strategic energy flows in input‐output relations: A temporal multilayer approach
- Author
-
Clemente, Gian Paolo, Cornaro, Alessandra, Grassi, Rosanna, and Rizzini, Giorgio
- Subjects
temporal multilayer networks ,multi-dimensional HITS ,energy security ,max flow problem ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,embodied energy - Published
- 2023
15. Gerd Weinrich: economic theory in the service of policy design
- Author
-
Colombo, Luca Vittorio Angelo, Longo, Michele, Motolese, Maurizio, and Nielsen, Carsten Krabbe
- Subjects
stochastic rationing ,asymmetric information ,risk aversion ,externalities ,Settore SECS-P/02 - POLITICA ECONOMICA ,regulations of banks ,Non-Walrasian economics, stochastic rationing, regulations of banks, risk aversion, asymmetric information, externalities ,Settore SECS-P/01 - ECONOMIA POLITICA ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Non-Walrasian economics - Published
- 2023
16. Extendability of continuous quasiconvex functions from subspaces
- Author
-
Carlo Alberto De Bernardi and Libor Veselý
- Subjects
Mathematics - Functional Analysis ,Topological vector space ,Extension ,Applied Mathematics ,Quasiconvex function ,FOS: Mathematics ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Analysis ,Functional Analysis (math.FA) ,Settore MAT/05 - ANALISI MATEMATICA - Abstract
Let $Y$ be a subspace of a topological vector space $X$, and $A\subset X$ an open convex set that intersects $Y$. We say that the property $(QE)$ [property $(CE)$] holds if every continuous quasiconvex [continuous convex] function on $A\cap Y$ admits a continuous quasiconvex [continuous convex] extension defined on $A$. We study relations between $(QE)$ and $(CE)$ properties, proving that $(QE)$ always implies $(CE)$ and that, under suitable hypotheses (satisfied for example if $X$ is a normed space and $Y$ is a closed subspace of $X$), the two properties are equivalent. By combining the previous implications between $(QE)$ and $(CE)$ properties with known results about the property $(CE)$, we obtain some new positive results about the extension of quasiconvex continuous functions. In particular, we generalize the results contained in \cite{DEQEX} to the infinite-dimensional separable case. Moreover, we also immediately obtain existence of examples in which $(QE)$ does not hold.
- Published
- 2022
17. Regularity and Stability for a Convex Feasibility Problem
- Author
-
Carlo Alberto De Bernardi and Enrico Miglierina
- Subjects
47J25, 90C25, 90C48 ,Statistics and Probability ,Numerical Analysis ,Applied Mathematics ,Convex feasibility problem ,Stability (learning theory) ,Regular polygon ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Settore MAT/05 - ANALISI MATEMATICA ,Regularity ,Combinatorics ,Mathematics::Group Theory ,Optimization and Control (math.OC) ,Bounded function ,Convergence (routing) ,FOS: Mathematics ,Point (geometry) ,Geometry and Topology ,Alternating projections method ,Mathematics::Representation Theory ,Set-convergence ,Mathematics - Optimization and Control ,Stability ,Analysis ,Mathematics - Abstract
Let us consider two sequences of closed convex sets $\{A_n\}$ and $\{B_n\}$ converging with respect to the Attouch-Wets convergence to $A$ and $B$, respectively. Given a starting point $a_0$, we consider the sequences of points obtained by projecting on the "perturbed" sets, i.e., the sequences $\{a_n\}$ and $\{b_n\}$ defined inductively by $b_n=P_{B_n}(a_{n-1})$ and $a_n=P_{A_n}(b_n)$. Suppose that $A\cap B$ (or a suitable substitute if $A \cap B=\emptyset$) is bounded, we prove that if the couple $(A,B)$ is (boundedly) regular then the couple $(A,B)$ is $d$-stable, i.e., for each $\{a_n\}$ and $\{b_n\}$ as above we have $\mathrm{dist}(a_n,A\cap B)\to 0$ and $\mathrm{dist}(b_n,A\cap B)\to 0$., Comment: 16 pages. arXiv admin note: text overlap with arXiv:1907.13402
- Published
- 2021
18. A revised version of the Cathcart & El-Jahel model and its application to CDS market
- Author
-
Davide Radi, Hana Dvořáčková, Vu Phuong Hoang, and Gabriele Torri
- Subjects
Vasicek model ,Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie ,Credit default swap ,media_common.quotation_subject ,Credit default swaps ,Credit risk ,Hybrid models ,CDS ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Interest rate ,Cox process ,Goodness of fit ,Market data ,Econometrics ,Jump ,General Economics, Econometrics and Finance ,Finance ,Pricing ,media_common ,Mathematics ,Original Research - Abstract
The paper considers the pricing of credit default swaps (CDSs) using a revised version of the credit risk model proposed in Cathcart and El-Jahel (2003). Default occurs either the first time a signaling process breaches a threshold barrier or unexpectedly at the first jump of a Cox process. The intensity of default depends on the risk-free interest rate, which follows a Vasicek process, instead of a Cox-Ingersoll-Ross process as in the original model. This offers two advantages. On the one hand, it allows us to account for negative interest rates which are recently observed, on the other hand, it simplifies the formula for pricing CDSs. The goodness of fit of the model is tested using a dataset of CDS credit spreads related to European companies. The results obtained show a rather satisfactory agreement between theoretical predictions and market data, which is identical to the one obtained with the original model. In addition, the values of the calibrated parameters result to be stable over time and the semi-closed form solution ensures a very fast implementation.
- Published
- 2021
19. Foreword of the special issue: Nonlinear models and tools in economics, finance and social sciences
- Author
-
Gardini, L., Radi, Davide, and Tramontana, Fabio
- Subjects
Numerical Analysis ,Nonlinear Dynamics ,Applied Mathematics ,Modeling and Simulation ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE - Published
- 2023
20. Optimal exercise of American put options near maturity: A new economic perspective
- Author
-
Anna Battauz, Alessandro Sbuelz, Janusz Gajda, and Marzia De Donno
- Subjects
Geometric Brownian motion ,050208 finance ,Optimal exercise ,05 social sciences ,Economics, Econometrics and Finance (miscellaneous) ,Dividend yield ,Critical price ,European options ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Maturity (finance) ,Valuation ,Settore SECS-P/11 - ECONOMIA DEGLI INTERMEDIARI FINANZIARI ,Perspective (geometry) ,Intrinsic value (finance) ,American options ,0502 economics and business ,Portfolio ,050207 economics ,Put option ,Mathematical economics ,AMERICAN OPTIONS, VALUATION, OPTIMAL EXERCISE, CRITICAL PRICE, EUROPEAN OPTIONS ,Finance ,Stock (geology) ,Mathematics - Abstract
The critical price $$S^{*}\left( t\right) $$ S ∗ t of an American put option is the underlying stock price level that triggers its immediate optimal exercise. We provide a new perspective on the determination of the critical price near the option maturity T when the jump-adjusted dividend yield of the underlying stock is either greater than or weakly smaller than the riskfree rate. Firstly, we prove that $$S^{*}\left( t\right) $$ S ∗ t coincides with the critical price of the covered American put (a portfolio that is long in the put as well as in the stock). Secondly, we show that the stock price that represents the indifference point between exercising the covered put and waiting until T is the European-put critical price, at which the European put is worth its intrinsic value. Finally, we prove that the indifference point’s behavior at T equals $$S^{*}\left( t\right) $$ S ∗ t ’s behavior at T when the stock price is either a geometric Brownian motion or a jump-diffusion. Our results provide a thorough economic analysis of $$S^{*}\left( t\right) $$ S ∗ t and rigorously show the correspondence of an American option problem to an easier European option problem at maturity .
- Published
- 2021
21. Revisiting Samuelson’s models, linear and nonlinear, stability conditions and oscillating dynamics
- Author
-
Fabio Tramontana and Laura Gardini
- Subjects
Economics and Econometrics ,Work (thermodynamics) ,Difference equations ,Linear and nonlinear models ,Differential equation ,Economics, Econometrics and Finance (miscellaneous) ,Dynamics (mechanics) ,Economic growth, development, planning ,Stability of the equilibrium ,Stability (probability) ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Range (mathematics) ,Economics as a science ,Simple (abstract algebra) ,Business cycle ,ddc:330 ,HD72-88 ,Applied mathematics ,Economic modelling ,Constant (mathematics) ,Oscillatory dynamics ,HB71-74 ,Mathematics ,Samuelson model - Abstract
In this work we reconsider the dynamics of a few versions of the classical Samuelson's multiplier- accelerator model for national economy. First we recall that the classical one with constant governmental expenditure, represented by a linear second-order difference equation, is able to generate oscillations con- verging to the equilibrium for a wide range of values of the parameters, and give its analytic solution for all the possible cases. A delayed version proposed in the recent literature, represented by a linear third-order di¤erence equation, is also considered. We show that also this model is able to produce converging oscilla- tions, and give a complete analysis of the stability region of the equilibrium. A new simple nonlinear model is proposed, showing that it keeps oscillatory behavior, although coupled with other dynamics related to global effects. Our analysis confirms that the seminal work of Samuelson and simple modifications of it, may give powerful tools in the study of the business cycles.
- Published
- 2021
22. Extending assortativity: An application to weighted social networks
- Author
-
Rosanna Grassi, Anna Torriero, Alberto Arcagni, Silvana Stefani, Arcagni, A, Grassi, R, Stefani, S, and Torriero, A
- Subjects
Social network ,Physics::Physics and Society ,Marketing ,Assortativity ,Theoretical computer science ,Degree (graph theory) ,Generalization ,Computer science ,05 social sciences ,Weighted networks ,Random walk ,Computer Science::Social and Information Networks ,Complex network ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Social networks ,0502 economics and business ,050211 marketing ,SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Random walks ,Weighted network ,050203 business & management - Abstract
Assortativity by degree for complex networks is quantified by the Newman coefficient, and it describes a tendency for nodes to be connected to others with a similar degree. A generalization of the assortativity index has been proposed in the literature for undirected and unweighted networks, analysing the correlation between vertices that are not necessarily adjacent, but connected through paths, shortest paths and random walks. The aim of this study is to define a new class of higher-order assortativity measures for weighted networks. The effectiveness of these measures is evident in social networks, where both weights and connections are significant. Applications to Facebook and co-authorship networks are provided, analysing the assortativity beyond the nearest neighbours.
- Published
- 2021
23. Clustering coefficients as measures of the complex interactions in a directed weighted multilayer network
- Author
-
Paolo Bartesaghi, Gian Paolo Clemente, Rosanna Grassi, Bartesaghi, P, Clemente, G, and Grassi, R
- Subjects
FOS: Economics and business ,Statistics and Probability ,Complex systems ,Clustering coefficient ,Complex system ,Econometrics (econ.EM) ,Statistical and Nonlinear Physics ,Multilayer network ,World trade ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Economics - Econometrics - Abstract
In this paper, we provide novel definitions of clustering coefficient for weighted and directed multilayer networks. We extend in the multilayer theoretical context the clustering coefficients proposed in the literature for weighted directed monoplex networks. We quantify how deeply a node is involved in a cohesive structure focusing on a single node, a single layer or the entire system, respectively. The coefficients convey several characteristics inherent to the complex topology of the multilayer network. We test their effectiveness applying them to a particularly complex structure such as the international trade network. The trade data integrate different aspects and they can be described by a directed and weighted multilayer network, where each layer represents import and export relationships between countries for a given sector. The proposed coefficients find successful application in describing the interrelations of the trade network, allowing to disentangle the effects of countries and sectors and jointly consider the interactions between them.
- Published
- 2022
24. Necessary and sufficient conditions for the roots of a cubic polynomial and bifurcations of codimension-1, -2, -3 for 3D maps
- Author
-
Iryna Sushko, Laura Gardini, Frank Westerhoff, Fabio Tramontana, and Noemi Schmitt
- Subjects
Polynomial ,Pure mathematics ,three-dimensional maps ,Algebra and Number Theory ,Applied Mathematics ,stability conditions ,010102 general mathematics ,Codimension ,Roots of a cubic polynomial ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,01 natural sciences ,Stability (probability) ,nonlinear economic dynamics ,010101 applied mathematics ,Stability conditions ,codimension-1 bifurcations ,Unit circle ,necessary and sufficient conditions ,0101 mathematics ,Cubic function ,Analysis ,Mathematics - Abstract
We reconsider the well-known conditions which guarantee the roots of a third-degree polynomial to be inside the unit circle. These conditions are important in the stability analysis of equilibria a...
- Published
- 2021
25. An asset pricing model with accuracy-driven evolution of heterogeneous expectations
- Author
-
Anufriev, Mikhail, Tichý, Tomáš, Lamantia, Fabio, and Radi, Davide
- Subjects
Numerical Analysis ,Heterogeneous beliefs ,Nonlinear dynamics ,Applied Mathematics ,Modeling and Simulation ,Prediction accuracy ,Asset-pricing model ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE - Published
- 2023
26. Residential segregation: The role of inequality and housing subsidies
- Author
-
Philipp Harting and Davide Radi
- Subjects
Organizational Behavior and Human Resource Management ,Economics and Econometrics ,Inequality ,media_common.quotation_subject ,Population ,0211 other engineering and technologies ,Ethnic group ,Public policy ,02 engineering and technology ,Residential segregation ,Cultural diversity ,0502 economics and business ,Economics ,Ethnic income disparities ,Evolutionary dynamics ,Housing subsidies ,050207 economics ,education ,050205 econometrics ,media_common ,Consumption (economics) ,education.field_of_study ,05 social sciences ,1. No poverty ,021107 urban & regional planning ,Subsidy ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Demographic economics ,human activities ,Diversity (business) - Abstract
Residential segregation is a key public policy issue that is driven by economic factors on the one side, and individual attitudes towards ethnic diversity on the other side. We assume a modeling framework that consists of a population of two ethnic groups, a rental market for each neighborhood, and household's utility which depends on consumption and housing. Accounting for income disparities and heterogeneous preferences for living in ethnically diverse neighborhoods, we examine the residential segregation patterns that occur when households make their neighborhood choice by taking economic and diversity related aspects into account. The investigation reveals that ethnic income disparities and heterogeneous preferences are antagonistic forces such that a certain level of income stratification is the price for residential integration. In light of these findings, we discuss to which extent and under which conditions housing subsidy policies can favor residential integration. (c) 2020 Elsevier B.V. All rights reserved.
- Published
- 2020
27. An optimization model for minimizing systemic risk
- Author
-
Rosanna Grassi, Gian Paolo Clemente, Roy Cerqueti, Rosella Castellano, Castellano, R, Cerqueti, R, Clemente, G, and Grassi, R
- Subjects
Optimization ,Statistics and Probability ,Credit default swap ,Computer science ,Complex networks ,Context (language use) ,01 natural sciences ,Set (abstract data type) ,Clustering coefficient ,Mean absolute deviation ,010104 statistics & probability ,Credit default swaps ,0502 economics and business ,Systemic risk ,Econometrics ,SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,0101 mathematics ,Proxy (statistics) ,050208 finance ,Mathematical finance ,05 social sciences ,Complex network ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Statistics, Probability and Uncertainty ,Finance ,Credit risk - Abstract
This paper proposes an optimal allocation model with the main aim to minimize systemic risk related to the sovereign risk of a set of countries. The reference methodological environment is that of complex networks theory. Specifically, we consider the weighted clustering coefficient as a proxy of systemic risk, while the interconnections among countries are captured by the relationships among default probabilities of the set of countries under consideration. The selected optimization criterion is based on minimization of the mean absolute deviation. We perform empirical analyses to validate the theoretical predictions, and interpret the findings in the context of the proposed model.
- Published
- 2020
28. Loss portfolio transfer treaties within Solvency II capital system: a reinsurer’s point of view
- Author
-
Giuseppe Melisi, Nicolino Ettore D’Ortona, and Gabriella Marcarelli
- Subjects
Reinsurance ,Index (economics) ,Financial economics ,market risk ,reserving risk ,Discount points ,lcsh:HG8011-9999 ,01 natural sciences ,lcsh:Insurance ,010104 statistics & probability ,Transfer (computing) ,0502 economics and business ,Economics ,best estimate liabilities ,0101 mathematics ,Publication ,Solvency ,050208 finance ,business.industry ,05 social sciences ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Cost of Capital ,Capital (economics) ,Portfolio ,business ,insurance pricing - Abstract
Loss portfolio transfer (LPT) is a reinsurance treaty in which an insurer cedes the policies that have already incurred losses to a reinsurer. This operation can be carried out by an insurance company in order to reduce reserving risk and consequently reduce its capital requirement calculated, according to Solvency II. From the viewpoint of the reinsurance company, being a very complex operation, importance must be given to the methodology used to determine the price of the treaty.Following the collective risk approach, the paper examines the risk profiles and the reinsurance pricing of LPT treaties, taking into account the insurance capital requirements established by European law. For this purpose, it is essential to calculate the capital need for the risk deriving from the LPT transaction. In the case analyzed, this requirement is calculated under Solvency II legislation, considering the measure of variability determined via simulation. This quantification was also carried out for different levels of the cost of capital rate, providing a range of possible loadings to be applied to the premium. In the case of the Cost of Capital (CoC) approach, the results obtained provide a lower level of premium compared to the percentile-based method with a range between 2.69% and 1.88%. Besides, the CoC approach also provides the advantage of having an explicit parameter, the CoC rate whose specific level can be chosen by the reinsurance company based on the risk appetite.
- Published
- 2020
29. No-arbitrage one-factor term structure models in zero- or negative-lower-bound environments
- Author
-
Andrea Tarelli
- Subjects
Economics and Econometrics ,term structure ,Strategy and Management ,Structure (category theory) ,forecasting ,zero-lower-bound ,Upper and lower bounds ,lcsh:Finance ,lcsh:HG1-9999 ,0502 economics and business ,Economics ,Statistical physics ,050207 economics ,Business and International Management ,Publication ,050208 finance ,business.industry ,05 social sciences ,Zero (complex analysis) ,Cox-Ingersoll-Ross ,Vasicek ,interest rates ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Term (time) ,Arbitrage ,business ,Finance - Abstract
One-factor no-arbitrage term structure models where the instantaneous interest rate follows either the process proposed by Vasicek (1977) or by Cox, Ingersoll, and Ross (1985), commonly known as CIR, are parsimonious and analytically tractable. Models based on the original CIR process have the important characteristic of allowing for a time-varying conditional interest rate volatility but are undefined in negative interest rate environments. A Shifted-CIR no-arbitrage term structure model, where the instantaneous interest rate is given by the sum of a constant lower bound and a non-negative CIR-like process, allows for negative yields and benefits from similar tractability of the original CIR model. Based on the U.S. and German yield curve data, the Vasicek and Shifted-CIR specifications, both considering constant and time-varying risk premia, are compared in terms of information criteria and forecasting ability. Information criteria prefer the Shifted-CIR specification to models based on the Vasicek process. It also provides similar or better in-sample and out-of-sample forecasting ability of future yield curve movements. Introducing a time variation of the interest rate risk premium in no-arbitrage one-factor term structure models is instead not recommended, as it provides worse information criteria and forecasting performance.
- Published
- 2020
30. Causes of fragile stock market stability
- Author
-
L. Gardini, D. Radi, N. Schmitt, I. Sushko, and F. Westerhoff
- Subjects
Organizational Behavior and Human Resource Management ,Economics and Econometrics ,Boundedly rational speculators ,Dynamical systems ,Stock market dynamics ,Stability and bifurcation analysis ,Heterogeneous trading rules ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE - Published
- 2022
31. A multilayer approach for systemic risk in the insurance sector
- Author
-
Gian Paolo Clemente, Alessandra Cornaro, Clemente, G, and Cornaro, A
- Subjects
Market-based risk measure ,Market-based risk measures ,General Mathematics ,Applied Mathematics ,Insurance market ,Systemic risk ,General Physics and Astronomy ,Statistical and Nonlinear Physics ,Hubs and authority ,Multilayer network ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE - Abstract
In this paper, we provide a methodology suitable to identify relevant insurance companies in a systemic risk framework. To this end, we propose a complex network approach where insurers are linked to form a global interconnected system. In particular, we extend the current literature proposing an approach based on a directed weighted multilayer network. The reciprocal influence between insurers is indeed considered in each period and in subsequent periods, calibrating arc weights on the basis of specific risk measures. Hub and authority scores are then used to assess the prominence of a company in spreading and receiving risk from the others.
- Published
- 2022
32. On the exercise of American quanto options
- Author
-
Anna Battauz, Marzia De Donno, and Alessandro Sbuelz
- Subjects
Economics and Econometrics ,NEGATIVE INTEREST RATES ,VALUATION ,QUANTO OPTIONS, AMERICAN OPTIONS, VALUATION, OPTIMAL EXERCISE, NEGATIVE INTEREST RATES, FX MARKETS ,QUANTO OPTIONS ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Finance ,AMERICAN OPTIONS ,OPTIMAL EXERCISE ,FX MARKETS - Published
- 2022
33. Note di matematica
- Author
-
Bianchi, Monica, Miglierina, Enrico, Messineo, Grazia Caterina, and Vassallo, Salvatore Flavio
- Subjects
Matematica Algebra Funzioni Ottimizzazione Limiti Calcolo differenziale Calcolo integrale ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE - Published
- 2022
34. Analytical cyclical price–dividend ratios
- Author
-
Fausto Mignanego and Alessandro Sbuelz
- Subjects
Economics and Econometrics ,Endogenous heteroskedasticity ,Settore SECS-P/02 - POLITICA ECONOMICA ,Long-run risk ,Non-linearity ,Log-linear approximation ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Settore SECS-P/01 - ECONOMIA POLITICA ,Finance ,Price–dividend ratio - Published
- 2022
35. La funzione di gestione del rischio
- Author
-
Melisi, Giuseppe and Fersini, P.
- Subjects
iorp II ,risk management ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE - Published
- 2022
36. Community detection in attributed networks for global transfer market
- Author
-
G. P. Clemente, A. Cornaro, Clemente, G, and Cornaro, A
- Subjects
Economic trade ,Community detection ,Attributed network ,Attributed networks ,General Decision Sciences ,Management Science and Operations Research ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Data science - Abstract
In this work we analyse the global soccer player transfer market providing a network approach that takes into account both the number of transfers and the related costs for football players in the world market. We propose a community detection methodology that considers different features of the network. We cluster countries according to similarities in their roles in the transfer market and to the presence of indirect connections due to common neighbours. Numerical results show a strict relation between the composition of clusters and the economic value of the football leagues of different countries. Indeed, we observe that, on average, leagues with a similar economic value belongs to the same cluster. The analysis has been also extended providing a comparison based on the world trade network. We observe that prominent European players in the economic trades are also relevant in the soccer transfer network.
- Published
- 2022
37. Disruption of life insurance profitability in the aftermath of the COVID-19 pandemic
- Author
-
Maria Carannante, Valeria D’Amato, Paola Fersini, Salvatore Forte, and Giuseppe Melisi
- Subjects
SCR, profitability, annuity, mortality projections, COVID19 ,mortality projections ,COVID19 ,Strategy and Management ,Accounting ,Economics, Econometrics and Finance (miscellaneous) ,ddc:330 ,profitability ,annuity ,SCR ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,health care economics and organizations - Abstract
Life insurance profitability depends on reliable mortality risk projections and pricing. While the COVID-19 pandemic has caused disruptions around the world, this is a temporary mortality shock likely to dissipate. In this paper, we investigate the long-run impact of COVID-19 on life insurance profitability. Due to the long-run dynamics of the mortality characterised by a decreasing effect of the COVID-19 mortality acceleration, we suggest proactive mortality risk management by implementing prompt premium adjustments, in order to increase the resilience of the business.
- Published
- 2022
38. Sustainable investing with ESG rating uncertainty
- Author
-
Si Cheng, Doron Avramov, Abraham Lioui, and Andrea Tarelli
- Subjects
Economics and Econometrics ,Financial economics ,Strategy and Management ,Social impact ,ESG ,Rating Uncertainty ,Portfolio Choice ,Capital Asset Pricing Model ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Accounting ,Economics ,Portfolio ,Capital asset pricing model ,Economic welfare ,Proxy (statistics) ,Finance - Abstract
This paper analyzes the asset pricing and portfolio implications of an important barrier to sustainable investing: uncertainty about the corporate ESG profile. In equilibrium, the market premium increases and demand for stocks declines under ESG uncertainty. In addition, the CAPM alpha and effective beta both rise with ESG uncertainty and the negative ESG-alpha relation weakens. Employing the standard deviation of ESG ratings from six major providers as a proxy for ESG uncertainty, we provide supporting evidence for the model predictions. Our findings help reconcile the mixed evidence on the cross-sectional ESG-alpha relation and suggest that ESG uncertainty affects the risk-return trade-off, social impact, and economic welfare.
- Published
- 2022
39. Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions
- Author
-
Laura Gardini, Davide Radi, Noemi Schmitt, Iryna Sushko, and Frank Westerhoff
- Subjects
Economics and Econometrics ,Central bank interventions ,Control and Optimization ,Applied Mathematics ,Currency manipulation and currency wars ,Piecewise-linear maps ,Exchange rate dynamics ,Stability and bifurcation analysis ,Heterogeneous traders ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE - Published
- 2022
40. Foreword of the Special Issue: Nonlinear Economic Dynamics (2019)
- Author
-
Laura Gardini, Davide Radi, and Fabio Tramontana
- Subjects
Economics and Econometrics ,Business and International Management ,Nonlinear Economic Dynamics ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE - Published
- 2022
41. Catastrophic and systemic risk in the non-life insurance sector: A micro-structural contagion approach
- Author
-
Gabriele Torri, Davide Radi, and Hana Dvorackova
- Subjects
Insurance ,Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie ,Contagion ,Reinsurance ,Networks ,Systemic risk ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Finance - Published
- 2022
42. Perception of Fundamental Values and Financial Market Dynamics: Mathematical Insights from a 2D Piecewise Linear Map
- Author
-
Laura Gardini, Davide Radi, Noemi Schmitt, Iryna Sushko, and Frank Westerhoff
- Subjects
bifurcation structure ,boom-bust cycles ,Modeling and Simulation ,border collision bifurcation ,2D discontinuous piecewise linear map ,financial market model ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Analysis - Published
- 2022
43. Appunti di matematica per l’analisi economica. Sistemi dinamici
- Author
-
Bianchi, Monica and Messineo, Grazia Caterina
- Subjects
Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Matematica ,Sistemi dinamici - Published
- 2022
44. Iorp II: il ruolo dell’Organo di Vigilanza
- Author
-
Melisi, Giuseppe and Fersini, P.
- Subjects
iorp II ,risk management ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE - Published
- 2022
45. Taxonomy of cohesion coefficients for weighted and directed multilayer networks
- Author
-
Gian Paolo Clemente, PAOLO BARTESAGHI, Rosanna Grassi, Bartesaghi, P, Clemente, G, and Grassi, R
- Subjects
Physics - Physics and Society ,General Mathematics ,Applied Mathematics ,General Topology (math.GN) ,FOS: Physical sciences ,General Physics and Astronomy ,Multiplex networks ,Statistical and Nonlinear Physics ,Multiplex network ,Tensors ,Physics and Society (physics.soc-ph) ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Clustering coefficient ,Tensor ,FOS: Mathematics ,SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Clumping coefficient ,Mathematics - General Topology - Abstract
Clustering and closure coefficients are among the most widely applied indicators in the description of the topological structure of a network. Many distinct definitions have been proposed over time, particularly in the case of weighted networks, where the choice of the weight attributed to the triangles is a crucial aspect. In the present work, in the framework of weighted directed multilayer networks, we extend the classical clustering and closure coefficients through the introduction of the clumping coefficient, which generalizes them to incomplete triangles of any type. We then organize the class of these coefficients in a systematic taxonomy in the more general context of weighted directed multilayer networks. Such cohesion coefficients have also been adapted to the different scales that characterize a multilayer network, in order to grasp their structure from different perspectives. We also show how the tensor formalism allows incorporating the new definitions, as well as all those existing in the literature, in a single unified writing, in such a way that a suitable choice of the involved adjacency tensors allows obtaining each of them. Finally, through some applications to simulated networks, we show the effectiveness of the proposed coefficients in capturing different peculiarities of the network structure on different scales.
- Published
- 2023
46. Risk estimation for short-term financial data through pooling of stable fits
- Author
-
Paola Modesti, M. De Donno, Gino Favero, and R. Donati
- Subjects
Finance ,050208 finance ,Risk Class ,business.industry ,Sector pool ,Risk measure ,Stable distribution ,05 social sciences ,Pooling ,Interval (mathematics) ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Stability (probability) ,Term (time) ,Expected shortfall ,Stability index ,0502 economics and business ,Economics ,Heavy tails ,Asset (economics) ,050207 economics ,business ,Expected Shortfall - Abstract
We suggest a new, parsimonious, method to fit financial data with a stable distribution. As a result of a stable fitting via maximum likelihood estimation (MLE), we find that some assets have similar values as stability indices, independently of the time interval considered. This fact can be exploited to pool the assets in groups and to choose a parameter $$\alpha $$ as an ex ante stability index, valid for every asset in the pool sector. With this fixed parameter, MLE is used again to obtain the other stable parameters. We discuss an innovative risk measure, based on the Expected Shortfall, which exploits the above procedure. We show that it gives a good estimation of risk even when only short time series are available. Finally, we introduce the notion of Risk Class, which allows us to classify assets according to their risk exposition and to compare different methods for the computation of the Expected Shortfall.
- Published
- 2019
47. A novel measure of edge and vertex centrality for assessing robustness in complex networks
- Author
-
Alessandra Cornaro, Gian Paolo Clemente, Clemente, G, and Cornaro, A
- Subjects
Spatial economics ,0209 industrial biotechnology ,Kirchhoff Index ,Computer science ,Complex Network ,Computational intelligence ,02 engineering and technology ,Complex network ,Topology ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Graph ,Theoretical Computer Science ,020901 industrial engineering & automation ,Air Transportation Network ,Robustness (computer science) ,Robustne ,0202 electrical engineering, electronic engineering, information engineering ,020201 artificial intelligence & image processing ,Geometry and Topology ,Spatial economic ,Robustness ,Centrality ,Software ,MathematicsofComputing_DISCRETEMATHEMATICS - Abstract
In this work, we propose a novel robustness measure for networks, which we refer to as Effective Resistance Centrality of a vertex (or an edge), defined as the relative drop of the Kirchhoff index due to deletion of this vertex (edge) from the network. Indeed, we provide a local robustness measure, able to catch which is the effect of either a specific vertex or a specific edge on the network robustness. The validness of this new measure is illustrated on some typical graphs and on a wide variety of well-known model networks. Furthermore, we analyse the topology of the US domestic flight connections. In particular, we investigate the role that airports play in maintaining the structure of the entire network.
- Published
- 2019
48. On the relationship between comparisons of risk aversion of different orders
- Author
-
Marzia De Donno and Mario Menegatti
- Subjects
strongly greater nth degree risk aversion ,Economics and Econometrics ,strongly greater downside risk aversion ,greater nth degree risk aversion ,Applied Mathematics ,greater risk aversion ,comparison of risk aversion ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,greater downside risk aversion - Published
- 2022
49. The impact of the SARS-CoV-2 pandemic on financial markets: a seismologic approach
- Author
-
Alessandro Spelta, Nicolò Pecora, Paolo Giudici, and Andrea Flori
- Subjects
Stylized fact ,050208 finance ,Stimulus (economics) ,Omori law ,Financial economics ,Investment strategy ,Financial markets ,05 social sciences ,Financial market ,General Decision Sciences ,Management Science and Operations Research ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,Efficient-market hypothesis ,Work (electrical) ,Agent-based modeling ,Settore SECS-S/01 - STATISTICA ,0502 economics and business ,Economics ,SARS covid-2 ,050207 economics ,Volatility (finance) ,Stock (geology) - Abstract
This work investigates financial volatility cascades generated by SARS-CoV-2 related news using concepts developed in the field of seismology. We analyze the impact of socio-economic and political announcements, as well as of financial stimulus disclosures, on the reference stock markets of the United States, United Kingdom, Spain, France, Germany and Italy. We quantify market efficiency in processing SARS-CoV-2 related news by means of the observed Omori power-law exponents and we relate these empirical regularities to investors’ behavior through the lens of a stylized Agent-Based financial market model. The analysis reveals that financial markets may underreact to the announcements by taking a finite time to re-adjust prices, thus moving against the efficient market hypothesis. We observe that this empirical regularity can be related to the speculative behavior of market participants, whose willingness to switch toward better performing investment strategies, as well as their degree of reactivity to price trend or mispricing, can induce long-lasting volatility cascades.
- Published
- 2021
50. Can Bertrand and Cournot oligopolies be combined?
- Author
-
Tönu Puu and Fabio Tramontana
- Subjects
Single model ,Cournot–Bertrand ,General Mathematics ,Applied Mathematics ,General Physics and Astronomy ,Statistical and Nonlinear Physics ,Price discrimination ,Cournot competition ,Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE ,01 natural sciences ,010305 fluids & plasmas ,Microeconomics ,Oligopoly ,Local bifurcations ,Work (electrical) ,Global analysis ,Nothing ,Obstacle ,0103 physical sciences ,Economics ,010301 acoustics ,Commodity (Marxism) - Abstract
There have been some recent attempts to combine Cournot and Bertrand duopolies in one single model. Unfortunately, these attempts do not work. A commodity cannot be homogenous and non-homogenous at the same time. It is always the consumers, who decide whether they perceive competing products as identical or as different brands for which they are willing to pay different prices. There is, of course, nothing that forbids the coexistence of both such consumer groups. Neither is there any obstacle for the competing sellers to sell to both markets. Then we only need an old idea from economic theory, i.e., price discrimination, to rectify the logic. By this the challenging combination idea comes on a stable footing. The model also results in some interesting mathematical facts, such as mulistability and coexistence of attractors.
- Published
- 2019
Catalog
Discovery Service for Jio Institute Digital Library
For full access to our library's resources, please sign in.