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December 2025, Volume 48, Issue 2
- 795-802 Editorial: Special Issue on “Life insurance mathematics and actuarial science” dedicated to the memory of Ermanno Pitacco
by Annamaria Olivieri - 803-825 On the unfairness of actuarial fair annuities
by An Chen & Steven Vanduffel - 827-852 What is the value of the annuity market?
by Mogens Steffensen & Julie Bjørner Søe - 853-871 Solvency analysis of deferred annuities
by Khadija Gasimova & Steven Haberman & Pietro Millossovich - 873-911 The life care annuity: enhancing product features and refining pricing methods
by Giovanna Apicella & Marcellino Gaudenzi & Andrea Molent - 913-932 Stochastic assessment of special-rate life annuities
by Annamaria Olivieri & Daniela Tabakova - 933-970 Return smoothing in pooled annuity products
by Doreen Kabuche & Michael Sherris & Andrés M. Villegas & Jonathan Ziveyi - 971-991 The interaction between variable annuity providers and their customers under a dynamic approach
by Anna Rita Bacinello & Rosario Maggistro & Ivan Zoccolan - 993-1030 Optimal strategies for the decumulation of retirement savings under differing appetites for liquidity and investment risks
by Benjamin Avanzi & Lewis De Felice - 1031-1063 Optimal additional voluntary contribution in DC pension schemes to manage inadequacy risk
by Henrique Ferreira Morici & Elena Vigna - 1065-1092 Lee–Carter model: assessing the potential to capture gender-related mortality dynamics
by Giovanna Apicella & Emilia Di Lorenzo & Gabriella Piscopo & Marilena Sibillo - 1093-1130 Revisiting key mortality rate models: novel findings and application of CIR processes to describe mortality trends
by David Atance & Eliseo Navarro - 1131-1159 Mortality models ensemble via Shapley value
by Giovanna Bimonte & Maria Russolillo & Han Lin Shang & Yang Yang - 1161-1195 Modeling and forecasting mortality with economic, environmental and lifestyle variables
by Matteo Dimai - 1197-1217 Stochastic differential equations death rates models: the Portuguese case
by Daniel dos Santos Baptista & Nuno M. Brites & Alfredo D. Egídio dos Reis - 1219-1257 Modelling mortality by cause of death and socio-economic stratification: an analysis of mortality differentials in England
by Andrés M. Villegas & Madhavi Bajekal & Steven Haberman - 1259-1299 Profit testing of profit sharing life insurance policies when asset returns are variance gamma distributed
by Olivier Le Courtois & Li Shen - 1301-1335 Deterministic lifestyle investment strategy in mixed life insurance contracts
by Vanessa Hanna & Pierre Devolder - 1337-1367 An investigation of the Volatility Adjustment
by Emilio Barucci & Daniele Marazzina & Edit Rroji - 1369-1396 An undertaking specific approach to address diversifiable demographic risk within Solvency II framework
by Gian Paolo Clemente & Francesco Della Corte & Nino Savelli - 1397-1437 Actuarial modelling of Australian population retirement risks: an Australian functional disability and health state model
by Kyu Park & Michael Sherris - 1439-1452 Risk sharing rule and safety loading in a peer to peer cooperative insurance model
by Gian Paolo Clemente & Susanna Levantesi & Gabriella Piscopo - 1453-1480 Risk assessment for synthetic GICs: a quantitative framework for asset–liability management
by Behzad Alimoradian & Jeffrey Jakubiak & Stéphane Loisel & Yahia Salhi - 1481-1508 Empirical risk analysis of mining a Proof-of-Work blockchain
by Hansjörg Albrecher & Dina Finger & Pierre-O. Goffard - 1509-1526 On mean-variance optimal reinsurance-investment strategies in dynamic contagion claims models
by Marina Santacroce & Barbara Trivellato - 1527-1552 Financial impact of pandemics on pension sustainability: an application for Spain
by M. Carmen Boado-Penas & Julia Eisenberg & Zuochen Song - 1553-1556 Foreword to the special issue on “Discrete time dynamic modelling in economics, finance and social sciences”
by Davide Radi & Anastasiia Panchuk & Iryna Sushko & Fabio Tramontana - 1557-1578 Disposition effect and its outcome on endogenous price fluctuations
by Alessia Cafferata & Marco Patacca & Fabio Tramontana - 1579-1612 A reappraisal of fundamentalists in a cobweb model with heterogeneous agents
by Fausto Cavalli & Ahmad Naimzada & Nicolò Pecora - 1613-1639 Evolution of dishonest behavior in public procurement: the role of updating control
by Raffaella Coppier & Elisabetta Michetti & Anastasiia Panchuk - 1641-1667 The long term implications of co-creation in economics education
by Eduardo Fé & Fabio Lamantia & Mario Pezzino - 1669-1692 Coevolution of stock prices and their perceived fundamental value
by Sarah Mignot - 1693-1717 Nonlinear dynamics of a simple behavioral model of inflation
by Anna Agliari & Fernando Bignami & Nicoló Pecora - 1719-1753 Stochastic optimal growth under state-dependent probabilities
by Davide La Torre & Simone Marsiglio & Franklin Mendivil & Fabio Privileggi - 1755-1781 The discrete solow model with time-to-build
by Akio Matsumoto & Márk Molnár & Ferenc Szidarovszky - 1783-1810 The investment gestation period in the so called Kaldor-Kalecki model. A new approach
by Luigi De Cesare & Andrea Di Liddo & Mario Sportelli - 1811-1836 Noise-induced multistage transitions in a dynamic model of rational consumer choice
by Jochen Jungeilges & Trygve Kastberg Nilssen & Makar Pavletsov & Tatyana Perevalova - 1837-1868 Effective management of invasive alien species in an optimal control framework
by Andrea Di Liddo & Angela Martiradonna - 1869-1895 Valuation and optimal exercise of derivatives under private information
by Jørgen Haug & Tommy Stamland - 1897-1930 Efficient valuation of barrier options under equity and interest rate risks
by Francesco Rotondi - 1931-1956 An efficient and robust computational approach to passport option pricing PDEs
by Saurabh Bansal & Srinivasan Natesan - 1957-1990 On the implied volatility of Inverse options under stochastic volatility models
by Elisa Alòs & Eulalia Nualart & Makar Pravosud - 1991-2024 Strategic international asset allocation under a quadratic model with exchange rate and inflation-deflation risks
by Bolorsuvd Batbold & Kentaro Kikuchi & Koji Kusuda - 2025-2059 Risk bounds under right-tail uncertainty
by Valeria Bignozzi & Corrado De Vecchi - 2061-2097 Funding liquidity and stocks’ market liquidity: structural estimation from high-frequency data
by Gian Piero Aielli & Davide Pirino - 2099-2135 Opportunity-based other-regarding preferences in general equilibrium: existence
by Maria Bernadette Donato & Chiara Sperati & Antonio Villanacci - 2137-2155 Uncertainty-driven (dis)trust behavior
by Yosuke Hashidate - 2157-2192 Pattern formation by advection-diffusion in new economic geography
by Kensuke Ohtake - 2193-2214 From Samuelson’s multiplier-accelerator to bifurcations and chaos in economic dynamics
by Gian Italo Bischi - 2215-2216 Correction: A new methodology to support wind investment decision: a combination of natural language processing and Monte Carlo option pricing technique
by Antonio Di Bari & Luca Grilli & Domenico Santoro & Giovanni Villani
June 2025, Volume 48, Issue 1
- 1-3 A bird’s eye view on decision theory and mathematical finance: a tribute to the legacy of Erio Castagnoli
by Gino Favero & Lorenzo Garlappi & Paolo Ghirardato & Marco LiCalzi & Paola Modesti - 5-12 Erio Castagnoli: scientist, teacher, mentor and friend
by Paola Modesti & Lorenzo Peccati - 13-35 American options with acceleration clauses
by Anna Battauz & Sara Staffolani - 37-57 Multivariate risk attitude: a comparison of alternative approaches in sustainability policies
by Francesca Beccacece - 59-72 Preferences over risk changes in variance
by Marzia Donno & Mario Menegatti - 73-92 Monotonic transformation and recovering the implied stock price process
by Gianluca Fusai - 93-125 Equilibrium asset pricing with short rate risk
by Alessandro Sbuelz - 127-152 Risk management through proportional reinsurance: an efficient computational approach
by Laura Ziani & Flavio Pressacco & Paolo Serafini - 153-174 A contribution to the NPV-IRR debate
by Erio Castagnoli & Gino Favero - 175-178 Foreword to the Special Issue “Advances in optimal control and dynamic games in economics, finance, and insurance” of “Decision in economics and finance”
by Salvatore Federico & Giorgio Ferrari & Luca Regis - 179-204 Optimal investment strategies under the relative performance in jump-diffusion markets
by Burcu Aydoğan & Mogens Steffensen - 205-222 Optimal planning in habit formation models with multiple goods
by Mauro Bambi & Daria Ghilli & Fausto Gozzi & Marta Leocata - 223-240 Adaptation measures and stable international environmental agreements in a pollution dynamic game
by Marta Biancardi & Lucia Maddalena - 241-267 Two sided ergodic singular control and mean-field game for diffusions
by Sören Christensen & Ernesto Mordecki & Facundo Oliú - 269-299 A mean field game model for optimal trading in the intraday electricity market
by Sema Coskun & Ralf Korn - 301-328 Optimal portfolios with anticipating information on the stochastic interest rate
by Bernardo D’Auria & José A. Salmeron - 329-359 Stochastic optimal control problems with delays in the state and in the control via viscosity solutions and applications to optimal advertising and optimal investment problems
by Filippo Feo - 361-380 Representation of stochastic optimal control problems with delay in the control variable
by Cristina Di Girolami & Mauro Rosestolato - 381-413 Linear-quadratic-singular stochastic differential games and applications
by Jodi Dianetti - 415-436 Growth models with externalities on networks
by Giorgio Fabbri & Silvia Faggian & Giuseppe Freni - 437-463 Transboundary pollution control under evolving social norms: a mean-field approach
by Davide Torre & Rosario Maggistro & Simone Marsiglio - 465-484 A non-invariance result for the spatial AK model
by Cristiano Ricci - 485-516 The economic cost of social distancing during a pandemic: an optimal control approach in the SVIR model
by Alessandro Ramponi & M. Elisabetta Tessitore - 517-540 Altruistic behavior and international environmental agreements: a differential game approach
by Armando Sacco - 541-569 Backward hedging for American options with transaction costs
by Ludovic Goudenège & Andrea Molent & Antonino Zanette - 571-602 Identifying the number of latent factors of stochastic volatility models
by Erindi Allaj & Maria Elvira Mancino & Simona Sanfelici - 603-642 A Heath–Jarrow–Morton framework for energy markets: review and applications for practitioners
by Matteo Gardini & Edoardo Santilli - 643-692 Strategy complexity of limsup and liminf threshold objectives in countable MDPs, with applications to optimal expected payoffs
by Richard Mayr & Eric Munday - 693-746 Withdrawal success optimization
by Hayden Brown - 747-773 Convertible lease risk spread modeling with correlation
by Ons Triki & Fathi Abid - 775-793 On Specimen Theoriae Novae de Mensura Sortis of Daniel Bernoulli
by Paola Modesti
December 2024, Volume 47, Issue 2
- 347-348 Editorial
by Lorenzo Peccati & Fabrizio Cacciafesta - 349-377 Mortgages with non-random time-varying interest rates
by Laura Ziani - 379-399 Irr and equivalence of cash-flow streams, loans, and portfolios of bonds
by Gino Favero & Gherardo Piacitelli - 401-423 Input/output-style approach to standardized traditional amortization plans
by Flavio Pressacco & Laura Ziani - 425-443 Generally acceptable principles for financial amortization: a modest proposal
by Francesca Beccacece & Marco LiCalzi - 445-467 Designing amortization plans by fairness
by Rosario Maggistro & Mario Marino & Renato Pelessoni & Liviana Picech - 469-484 Amortization plans in simple, compound and hybrid framework: a unifying approach
by Laura Ziani & Flavio Pressacco - 485-495 Amortization dismantling to remove any doubt of anatocism
by Viviana Fanelli & Silvana Musti - 497-512 Optimality conditions for differentiable linearly constrained pseudoconvex programs
by Riccardo Cambini & Rossana Riccardi - 513-543 Two-stage super-efficiency model for measuring efficiency of education in South-East Asia
by M. Mujiya Ulkhaq & Giorgia Oggioni & Rossana Riccardi - 545-564 Optimal scale sizes in economic efficiency models with integer measures: a case study of foundry industry
by Somayye Karimi Omshi & Sohrab Kordrostami & Alireza Amirteimoori & Armin Ghane Kanafi - 565-596 The emergence of chaos in productivity distribution dynamics
by Orlando Gomes - 597-626 The role of taxation in an integrated economic-environmental model: a dynamical analysis
by Fausto Cavalli & Alessandra Mainini & Daniela Visetti - 627-653 Ellsberg 1961: text, context, influence
by Ivan Moscati
June 2024, Volume 47, Issue 1
- 1-42 On entropy martingale optimal transport theory
by Alessandro Doldi & Marco Frittelli & Emanuela Rosazza Gianin - 43-82 Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model
by Chinonso I. Nwankwo & Weizhong Dai - 83-120 The geometry of risk adjustments
by Hans-Peter Bermin & Magnus Holm - 121-136 The impact of a winner takes all tournament on managers’ strategies and asset mispricing
by Enrico Lupi - 137-149 Fundamental Theorem of Asset Pricing under fixed and proportional costs in multi-asset setting and finite probability space
by Tomasz Zastawniak - 151-181 The power of derivatives in portfolio optimization under affine GARCH models
by Marcos Escobar-Anel & Eric Molter & Rudi Zagst - 183-198 Optimal liquidation with high risk aversion and small linear price impact
by Leonid Dolinskyi & Yan Dolinsky - 199-213 Modeling financial leasing by optimal stopping approach
by Luigi De Cesare & Lucianna Cananà & Tiziana Ciano & Massimiliano Ferrara - 215-258 Variance of entropy for testing time-varying regimes with an application to meme stocks
by Andrey Shternshis & Piero Mazzarisi - 259-273 Hedging and the regret theory of the firm
by Udo Broll & Peter Welzel & Kit Pong Wong - 275-298 Optimal control in linear-quadratic stochastic advertising models with memory
by Michele Giordano & Anton Yurchenko-Tytarenko - 299-325 Rank-two programs involving linear fractional functions
by Riccardo Cambini & Giovanna D’Inverno - 327-346 Simon’s bounded rationality
by Alfio Giarlotta & Angelo Petralia
December 2023, Volume 46, Issue 2
- 355-377 Dini and Hadamard directional derivatives in multiobjective optimization: an overview of some results
by Giorgio Giorgi & Bienvenido Jiménez & Vicente Novo - 379-413 The insider trading problem in a jump-binomial model
by Hélène Halconruy - 415-460 Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions
by Lars Palapies - 461-475 On statistical indistinguishability of complete and incomplete discrete time market models
by Nikolai Dokuchaev - 477-504 Implied higher order moments in the Heston model: a case study of S &P500 index
by Farshid Mehrdoust & Idin Noorani - 505-542 Revisiting the 1/N-strategy: a neural network framework for optimal strategies
by Marcos Escobar-Anel & Lorenz Theilacker & Rudi Zagst - 543-543 Correction: Revisiting the 1/N-strategy: a neural network framework for optimal strategies
by Marcos Escobar-Anel & Lorenz Theilacker & Rudi Zagst - 545-567 Heterogeneity-adjusted management of pension funds using adaptive representative agents
by Thepdanai Danswasvong & Sira Suchintabandid - 569-582 Mortality projections for higher educational attainment with semi-parametric accelerated hazard relational models
by Meitner Cadena & Michel Denuit - 583-609 Multi-population mortality modeling with Lévy processes
by Petar Jevtić & Chengwei Qin & Hongjuan Zhou - 611-633 Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business
by Maria-Laura Torrente - 635-665 Optimisation of drawdowns by generalised reinsurance in the classical risk model
by Leonie Violetta Brinker & Hanspeter Schmidli - 667-680 Green economy with efficient public incentives
by Marcello Galeotti & Emanuele Vannucci - 681-711 Recycled and non-recycled exhaustible resource: an optimal control strategy for input allocation
by Silvia Bertarelli & Chiara Lodi & Stefania Ragni - 713-730 The Black–Scholes paper: a personal perspective
by Anthony Neuberger - 731-733 Correction to: Beating the market? A mathematical puzzle for market efficiency
by Michael Heinrich Baumann
June 2023, Volume 46, Issue 1
- 1-43 Risk-sharing and optimal contracts with large exogenous risks
by Jessica Martin & Stéphane Villeneuve - 45-96 Multivariate Wold decompositions: a Hilbert A-module approach
by Simone Cerreia-Vioglio & Fulvio Ortu & Federico Severino & Claudio Tebaldi - 97-128 Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach
by Yumo Zhang - 129-156 Construction of voting situations concordant with ranking patterns
by Emilio De Santis & Fabio Spizzichino - 157-176 Locally-coherent multi-population mortality modelling via neural networks
by Francesca Perla & Salvatore Scognamiglio - 177-220 Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods
by Antonio L. Martire & Emilio Russo & Alessandro Staino - 221-253 Cognitive limits and preferences for information
by Áron Tóbiás - 255-276 Modelplasticity and abductive decision making
by Subhadeep Mukhopadhyay - 277-304 Quasivariational inequalities for dynamic competitive economic equilibrium problems in discrete time
by Shapour Heidarkhani & David Barilla & Giuseppe Caristi - 305-318 Differentiated goods in a dynamic Cournot duopoly with emission charges on output
by Ahmad Naimzada & Marina Pireddu - 319-333 On game value of a differential game problem with Grönwall-type constraints on players control functions
by Jewaidu Rilwan & Pasquale Fotia & Massimiliano Ferrara - 335-354 Inverse data envelopment analysis without convexity: double frontiers
by Farzaneh Asadi & Sohrab Kordrostami & Alireza Amirteimoori & Morteza Bazrafshan
December 2022, Volume 45, Issue 2
- 451-480 Dangerous tangents: an application of $$\Gamma $$ Γ -convergence to the control of dynamical systems
by Rosario Maggistro & Paolo Pellizzari & Elena Sartori & Marco Tolotti - 481-502 Equalizing solutions for bankruptcy problems revisited
by José Alcalde & Josep E. Peris - 503-519 Optimality and duality in nonsmooth semi-infinite optimization, using a weak constraint qualification
by David Barilla & Giuseppe Caristi & Nader Kanzi - 521-539 The robustness of the generalized Gini index
by S. Settepanella & A. Terni & M. Franciosi & L. Li - 541-547 Two representations of information structures and their comparisons
by Jerry R. Green & Nancy L. Stokey - 549-549 Introduction to the Milestones series
by Marco LiCalzi - 551-568 Bipartite choices
by Marco LiCalzi
June 2022, Volume 45, Issue 1
- 1-34 Calibration to FX triangles of the 4/2 model under the benchmark approach
by Alessandro Gnoatto & Martino Grasselli & Eckhard Platen - 35-56 Monetary risk measures for stochastic processes via Orlicz duality
by Christos E. Kountzakis & Damiano Rossello - 57-81 Option pricing: a yet simpler approach
by Jarno Talponen & Minna Turunen - 83-99 Complex dynamics in the market for loans
by Nivedita Mukherji - 101-135 Expressions of forward starting option price in Hull–White stochastic volatility model
by Hiroaki Hata & Nien-Lin Liu & Kazuhiro Yasuda - 137-185 Bias-optimal vol-of-vol estimation: the role of window overlapping
by Giacomo Toscano & Maria Cristina Recchioni - 187-207 Portfolio choice in the model of expected utility with a safety-first component
by Dennis W. Jansen & Liqun Liu - 209-239 A new class of multidimensional Wishart-based hybrid models
by Gaetano La Bua & Daniele Marazzina - 241-256 Production and hedging under correlated price and background risks
by Kit Pong Wong - 257-278 Long versus short time scales: the rough dilemma and beyond
by Matthieu Garcin & Martino Grasselli - 279-325 Beating the market? A mathematical puzzle for market efficiency
by Michael Heinrich Baumann - 327-341 Grey Verhulst model and its chaotic behaviour with application to Bitcoin adoption
by P. Gatabazi & J. C. Mba & E. Pindza - 343-374 Performance measurement with expectiles
by Damiano Rossello - 375-414 Ramsey rule with forward/backward utility for long-term yield curves modeling
by Nicole El Karoui & Caroline Hillairet & Mohamed Mrad - 415-446 A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders
by Paolo Angelis & Roberto Marchis & Antonio L. Martire & Emilio Russo - 447-449 Correction to: Semi-analytical prices for lookback and barrier options under the Heston model
by Luca Gennaro Aquino & Carole Bernard
December 2021, Volume 44, Issue 2
- 485-487 Nonlinear dynamics in economic modelling
by Laura Gardini & Fabio Lamantia & Davide Radi & Ferenc Szidarovszky & Fabio Tramontana - 489-505 CSR leadership, spillovers, and first-mover advantage
by Michael Kopel - 507-531 A note on symmetry breaking in a non linear marketing model
by Andrea Caravaggio & Lorenzo Cerboni Baiardi & Mauro Sodini - 533-557 Delay dynamics in nonlinear monopoly with gradient adjustment
by Akio Matsumoto & Ferenc Szidarovszky - 559-577 Hybrid dynamics of multi-species resource exploitation
by Davide Radi & Fabio Lamantia & Tomáš Tichý - 579-611 Learning in a double-phase cobweb model
by Fausto Cavalli & Ahmad Naimzada & Lucia Parisio - 613-639 Dynamics of a business cycle model with two types of governmental expenditures: the role of border collision bifurcations
by Mauro Gallegati & Laura Gardini & Iryna Sushko - 641-667 Speculative asset price dynamics and wealth taxes
by Sarah Mignot & Fabio Tramontana & Frank Westerhoff - 669-705 A revised version of the Cathcart & El-Jahel model and its application to CDS market
by Davide Radi & Vu Phuong Hoang & Gabriele Torri & Hana Dvořáčková - 707-726 Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach
by Giovanni Campisi & Silvia Muzzioli & Fabio Tramontana - 727-754 Cross-section instability in financial markets: impatience, extrapolation, and switching
by Roberto Dieci & Xue-Zhong He - 755-779 Envy effects on conflict dynamics in supervised work groups
by Arianna Dal Forno & Ugo Merlone - 781-787 Blockchain and cryptocurrencies: economic and financial research
by Alessandra Cretarola & Gianna Figà-Talamanca & Cyril Grunspan - 789-816 Can fiat currencies really hedge Bitcoin? Evidence from dynamic short-term perspective
by Jihed Majdoub & Salim Ben Sassi & Azza Bejaoui - 817-843 Investigating the relationship between volatilities of cryptocurrencies and other financial assets
by Achraf Ghorbel & Ahmed Jeribi - 845-861 Investigating the diversifying or hedging nexus of cannabis cryptocurrencies with major digital currencies
by Nikolaos A. Kyriazis - 863-882 Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages
by Gianna Figá-Talamanca & Sergio Focardi & Marco Patacca - 883-903 Betting on bitcoin: a profitable trading between directional and shielding strategies
by Paolo Angelis & Roberto Marchis & Mario Marino & Antonio Luciano Martire & Immacolata Oliva - 905-940 Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume
by Nino Antulov-Fantulin & Tian Guo & Fabrizio Lillo - 941-955 Complexity traits and synchrony of cryptocurrencies price dynamics
by Davide Provenzano & Rodolfo Baggio - 957-980 Cross-listings of blockchain-based tokens issued through initial coin offerings: Do liquidity and specific cryptocurrency exchanges matter?
by Lennart Ante & André Meyer - 981-1014 The rise and fall of cryptocurrency coins and tokens
by Neil Gandal & J. T. Hamrick & Tyler Moore & Marie Vasek - 1015-1020 Introduction to Special Issue on Energy Finance
by Loretta Mastroeni & Ralf Wunderlich - 1021-1037 A deep learning model for gas storage optimization
by Nicolas Curin & Michael Kettler & Xi Kleisinger-Yu & Vlatka Komaric & Thomas Krabichler & Josef Teichmann & Hanna Wutte - 1039-1062 Gaussian clustering and jump-diffusion models of electricity prices: a deep learning analysis
by Carlo Mari & Emiliano Mari - 1063-1085 A machine learning-based price state prediction model for agricultural commodities using external factors
by Prilly Oktoviany & Robert Knobloch & Ralf Korn - 1087-1110 Fundamental ratios as predictors of ESG scores: a machine learning approach
by Valeria D’Amato & Rita D’Ecclesia & Susanna Levantesi - 1111-1146 The impact of Clean Spark Spread expectations on storage hydropower generation
by Claudia Condemi & Loretta Mastroeni & Pierluigi Vellucci - 1147-1178 Optimal switch from a fossil-fueled to an electric vehicle
by Paolo Falbo & Giorgio Ferrari & Giorgio Rizzini & Maren Diane Schmeck - 1179-1209 Optimal installation of renewable electricity sources: the case of Italy
by Almendra Awerkin & Tiziano Vargiolu - 1211-1233 Responsible investments reduce market risks
by Giacomo Morelli & Rita D’Ecclesia - 1235-1252 A new approach to wind power futures pricing
by Markus Hess - 1253-1280 Correlating Lévy processes with self-decomposability: applications to energy markets
by Matteo Gardini & Piergiacomo Sabino & Emanuela Sasso
June 2021, Volume 44, Issue 1
- 1-4 Introduction to Special Issue on “Innovating Actuarial Research on Financial Risk and Enterprise Risk Management”
by Marcello Galeotti - 5-22 An application of Sigmoid and Double-Sigmoid functions for dynamic policyholder behaviour
by Fabio Baione & Davide Biancalana & Paolo Angelis - 23-35 Reverse mortgages through artificial intelligence: new opportunities for the actuaries
by Emilia Lorenzo & Gabriella Piscopo & Marilena Sibillo & Roberto Tizzano - 37-56 Modelling dynamic lapse with survival analysis and machine learning in CPI
by Marco Aleandri & Alessia Eletti - 57-72 Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
by Ludovic Goudenège & Andrea Molent & Antonino Zanette - 73-100 Challenges in approximating the Black and Scholes call formula with hyperbolic tangents
by Michele Mininni & Giuseppe Orlando & Giovanni Taglialatela - 101-115 Longevity risk and economic growth in sub-populations: evidence from Italy
by Giuseppina Bozzo & Susanna Levantesi & Massimiliano Menzietti