Mathematical and Statistical Methods for Actuarial Sciences and Finance

doi:10.1007/978-88-470-2342-0

2012

DOI: 10.1007/978-88-470-2342-0

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Mathematical and Statistical Methods for Actuarial Sciences and Finance

Abstract: Abstract. Referring to the Solvency II regulation, aim of the paper is to obtain an estimate for the Solvency Capital Requirement of a life annuity portfolio when stochastic interest and mortality rates are considered. We propose a computationally tractable approach that yields an estimate for the required solvency capital when mortality and interest rates are forecasted by means of diffusion processes. To this aim we determine the capital requirements for each considered risk factor and then we compute the Gl… Show more

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Cited by 3 publications

References 16 publications

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Portfolio Implementation Risk Management Using Evolutionary Multiobjective Optimization

et al. 2017

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Portfolio management based on mean-variance portfolio optimization is subject to different sources of uncertainty. In addition to those related to the quality of parameter estimates used in the optimization process, investors face a portfolio implementation risk. The potential temporary discrepancy between target and present portfolios, caused by trading strategies, may expose investors to undesired risks. This study proposes an evolutionary multiobjective optimization algorithm aiming at regions with solutions more tolerant to these deviations and, therefore, more reliable. The proposed approach incorporates a user's preference and seeks a fine-grained approximation of the most relevant efficient region. The computational experiments performed in this study are based on a cardinality-constrained problem with investment limits for eight broad-category indexes and 15 years of data. The obtained results show the ability of the proposed approach to address the robustness issue and to support decision making by providing a preferred part of the efficient set. The results reveal that the obtained solutions also exhibit a higher tolerance to prediction errors in asset returns and variance-covariance matrix.

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Portfolio Implementation Risk Management Using Evolutionary Multiobjective Optimization

et al. 2017

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Quantiles in Abstract Convex Structures

Cardin¹

2018

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Abstract:In this short paper, we aim at a qualitative framework for modeling multivariate decision problems where each alternative is characterized by a set of properties. To this extent, we consider convex spaces as underlying universes and make use of lattice operations in convex spaces to formalize the notion of quantiles. We also put in evidence that many important models of decision problems can be viewed as convex spaces-based models. Several properties of aggregation operators are translated into this general setting, and independence and invariance are used to provide axiomatic characterizations of quantiles.

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Parameters Tuning Approach for Proportion Integration Differentiation Controller of Magnetorheological Fluids Brake Based on Improved Fruit Fly Optimization Algorithm

Liu

Shi

2017

Symmetry

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Abstract:In order to improve the response performance of a proportion integration differentiation (PID) controller for magnetorheological fluids (MRF) brake and to reduce the braking fluctuation rate, an improved fruit fly optimization algorithm for PID controller parameters tuning of MRF brake is proposed. A data acquisition system for MRF brake is designed and the transfer function of MRF brake is identified. Moreover, an improved fruit fly optimization algorithm (IFOA) through integration of PID control strategy and cloud model algorithm is proposed to design a PID controller for MRF brake. Finally, the simulation and experiment are carried out. The results show that IFOA, with a faster response output and no overshoot, is superior to the conventional PID and fruit fly optimization algorithm (FOA) PID controller.

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Mathematical and Statistical Methods for Actuarial Sciences and Finance

Cited by 3 publications

References 16 publications

Portfolio Implementation Risk Management Using Evolutionary Multiobjective Optimization

Portfolio Implementation Risk Management Using Evolutionary Multiobjective Optimization

Quantiles in Abstract Convex Structures

Parameters Tuning Approach for Proportion Integration Differentiation Controller of Magnetorheological Fluids Brake Based on Improved Fruit Fly Optimization Algorithm

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