Mathematical and Statistical Methods for Actuarial Sciences and Finance

Marco Corazza PhD in "Mathematics for the Analysis of Financial Markets" is an associate professor at the Department of Economics of the Ca' Foscari University of Venice (Italy). His main research interests include static and dynamic portfolio management theories; trading system models; machine learning applications in finance; bio-inspired optimization techniques; multi-criteria methods for economic decision support; port scheduling models and algorithms; non-standard probability distributions in finance. He has participated in several research projects, both at national and international level, and is the author/coauthor of about one hundred and twenty scientific publications; some of which have received national and international awards. He is also editor-in-chief of the international scientific journal "Mathematical Methods in Economics and Finance", and is a member of the scientific committees of several conferences and of some private companies. His combines his academic activities with consulting services.

1 The effects of credit rating announcements on bond liquidity: An event study.- 2 The effect of credit rating events on the emerging CDS market.- 3 A generalised linear model approach to predict the result of research evaluation.- 4 Projecting dynamic life tables using Data Cloning.- 5 Markov switching GARCH models: Filtering, approximations and duality.- 6 A network approach to risk theory and portfolio selection.- 7 A PSO-based approach for improving simple trading systems.- 8 Provisions for outstanding claims with distance-based generalized linear models.- 9 Profitability vs. attractiveness within a performance analysis of a life annuity business.- 10 Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure.- 11 Modeling volatility risk premium.- 12 Covered call writing and framing: A cumulative prospect theory approach.- 13 Optimal portfolio selection for an investor with asymmetric attitude to gains and losses.