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Article
Open AccessLearning fused lasso parameters in portfolio selection via neural networks
In recent years, fused lasso models are becoming popular in several fields, such as computer vision, classification and finance. In portfolio selection, they can be used to penalize active positions and portfo...
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Article
Fused Lasso approach in portfolio selection
In this work we present a new model based on a fused Lasso approach for the multi-period portfolio selection problem in a Markowitz framework. In a multi-period setting, the investment period is partitioned in...
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Chapter and Conference Paper
Machine Learning in Nested Simulations Under Actuarial Uncertainty
The Solvency II directive states that in order to be solvent the insurance undertakings must to hold eligible own funds covering the Solvency Capital Requirement (SCR), which is defined as the Value-at-Risk of...
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Chapter
Wavelets in Multi-Scale Time Series Analysis: An Application to Seismic Data
Forecasting earthquakes is one of the most important problems in Earth science because of their devastating consequences. Current scientific studies related to earthquake forecasting focus on three key points:...
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Chapter
Effectiveness of Investments in Prevention of Geological Disasters
Research on geological disasters has made several achievements in monitoring, early warning, and risk assessment. Substantial resources are being invested in prevention projects, but, due to geographical and d...
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Article
\(l_1\) -Regularization for multi-period portfolio selection
In this work we present a model for the solution of the multi-period portfolio selection problem. The model is based on a time consistent dynamic risk measure. We apply
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Chapter
Numerical Solution of the Regularized Portfolio Selection Problem
We investigate the use of Bregman iteration method for the solution of the portfolio selection problem, both in the single and in the multi-period case. Our starting point is the classical Markowitz mean-varia...
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Chapter
Tuning a Deep Learning Network for Solvency II: Preliminary Results
Under the Solvency II Directive, insurance and reinsurance undertakings are required to perform continuous monitoring of risks and market consistent valuation of assets and liabilities. Solvency II application...
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Chapter
Financial Evaluation of Life Insurance Policies in High Performance Computing Environments
The European Directive Solvency II has increased the request of stochastic asset–liability management models for insurance undertakings. The Directive has established that insurance undertakings can develop th...
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Chapter and Conference Paper
Wavelet Techniques for Option Pricing on Advanced Architectures
This work focuses on the development of a parallel pricing algorithm for Asian options based on the Discrete Wavelet Transform. Following the approach proposed in [6], the pricing process requires the solution...
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Chapter and Conference Paper
Measuring Default Risk in a Parallel ALM Software for Life Insurance Portfolios
In this paper we investigate the computational issues in the use of a stochastic model – the doubly stochastic intensity default model – to measure default risk in the development of “internal models”, according ...
