Program for stream OR in Finance and Insurance

MA-09: Innovation in Insurance and Financial Risk Management
Stream: OR in Finance and Insurance
Room: Clarendon SR 2.01
Chair(s): Fabio Baione

• Life-cycle consumption, investment, and housing decisions under subjective survival beliefs with deferred annuities and home equity release
  Chul Jang, Seung Yeon Jeong, Iqbal Owadally
• Volatility Modelling of Climate Benchmarks: A Long-Short Term Memory Network Approach
  Salvatore scognamiglio, Francesca Battaglia
• Shapley risk sharing in peer-to-peer insurance
  Susanna Levantesi, Gian Paolo Clemente, Gabriella Piscopo
• Integrating energy-related risks in Bitcoin’s price
  Rosella Castellano

MB-09: Data Science in Insurance and Finance: New perspectives and Applications
Stream: OR in Finance and Insurance
Room: Clarendon SR 2.01
Chair(s): Gabriella Piscopo

• Integrated Crop and War Risk Insurance
  Anna Nagurney, Ismael Pour, Borys Kormych
• Finding robust profiles of mental well-being across Europe
  Irene Albarran
• Premium calculation using Parametric Quantile Regression for insurance count data
  Fabio Baione, Davide Biancalana, Aurora Ferri
• Implementing non-dominated sorting into asset preselection within portfolio problem
  Tomáš Tichý, David Neděla, Sergio Ortobelli Lozza

MC-09: New challenges for risk management
Stream: OR in Finance and Insurance
Room: Clarendon SR 2.01
Chair(s): Mariacristina Uberti

• Risk mitigation in distribution of organic liquid fertiliser by using combined discrete event simulation model and linear programming tools
  Remigio Berruto, Patrizia Busato
• A hidden Markov model for statistical arbitrage in international crude oil futures markets
  Francesco Rotondi, Viviana Fanelli, Claudio Fontana
• A resource management optimisation model for Industrial Symbiosis
  Rossana Mastrandrea, Giulia Sinisi, Mariacristina Uberti, Enrica Vesce
• Credit Scoring Model for Education Loan Using Data on Customers Rejected in Loan Screening
  Masahiro Toshiro, Yusuke Hikidera, Kenzo Ogi, Norio Hibiki

MD-09: Green Investment on Capital Market
Stream: OR in Finance and Insurance
Room: Clarendon SR 2.01
Chair(s): Rosella Castellano

• ESG Business Diversification and Investment Performance
  Rei Yamamoto, Akifumi Isogai, Masatoshi Nozaki
• Sustainability portfolio investing in the presence of the risk–free asset
  Janusz Miroforidis, Przemysław Juszczuk, Ignacy Kaliszewski
• Not all glitters but at least is green
  Rita D'Ecclesia, Kevyn Stefanelli
• Asymmetric Tail Dependence for Climate Risk
  Davide Lauria

TA-09: Statistical methods for finance
Stream: OR in Finance and Insurance
Room: Clarendon SR 2.01
Chair(s): Giulia Rotundo

• Synthetic networks generation and technology innovation
  Giulia Rotundo
• Edge-clustering coefficient in directed networks
  Giorgio Rizzini, Rosanna Grassi
• Organizational ambidexterity and financial performance in hotel industry
  Sebastian Ion Ceptureanu
• DCC-MGARCH AND WAVELET COHERENCE ANALYSIS IN EXPLORING THE CONTAGION EFFECT BETWEEN CRYPTOCURRENCIES AND FIAT CURRENCIES
  Tea Šestanović, Josip Arneric, Klara Luketa

TB-09: Complexity in finance
Stream: OR in Finance and Insurance
Room: Clarendon SR 2.01
Chair(s): Roy Cerqueti

• A Comprehensive Methodology for Predicting Volatility: Leveraging Intrinsic Entropy Estimates through the Integration of GARCH Models and LSTM Networks
  Claudiu Vinte, Marcel Ausloos, Bogdan Iftimie, Titus-Felix Furtună
• Rank-Size Analysis of Optimal Portfolio Weights Across Portfolio Optimization Models
  Valerio Ficcadenti, Alessio Di Paolo, Francesco Cesarone, Roy Cerqueti
• Resilience of multilayer networks through community detection with a portfolio stability application
  saverio storani, Roy Cerqueti, Raffaele Mattera
• Analytical adjustment of the IRB for Supervisory Formula for the estimation error
  Mariacristina Uberti, Simone Casellina, Simone Landini, Patrick Zoi

TC-09: ESG investing and sustainable finance
Stream: OR in Finance and Insurance
Room: Clarendon SR 2.01
Chair(s): Hayette Gatfaoui

• Do Commodity Prices Reflect ESG and Sustainability Factors? An Empirical Analysis and Implications for Investors
  Hayette Gatfaoui
• Sustainable Diversified Portfolios
  Francesco Cesarone
• Reaction of rates of returns on ESG ratings - greenwashing problem
  Patrycja Chodnicka-Jaworska
• Portfolio optimization integrating financial and ESG risks
  Valentina Piantoni, Sergio Ortobelli Lozza, Denise Mirabella

TD-09: Insurance and financial innovation for sustainable growth
Stream: OR in Finance and Insurance
Room: Clarendon SR 2.01
Chair(s): Susanna Levantesi

• The role of households in financing the move towards a sustainable economy: results from a lab-in-the-field experiment in Italy
  Beatrice Bertelli, Marianna Brunetti, Costanza Torricelli, Mariangela Zoli
• A Prospective Analysis of LTC Insurance: model risk and subjective utility assessment
  Gabriella Piscopo, Emilia Di Lorenzo, Alba Roviello, Marilena Sibillo
• The greenium in the European banking sector: an application to the fixed income market
  Chiara Pederzoli, Edit Rroji, Anna Maria Fiori
• Risk sharing assessment in health insurance: a loss function approach
  Alberto Piscitelli, Emilia Di Lorenzo, Massimiliano Menzietti, Marilena Sibillo

WA-09: Optimization methods and models for finance
Stream: OR in Finance and Insurance
Room: Clarendon SR 2.01
Chair(s): Paolo Falbo

• Stochastic Optimization for Efficient Incentive Policies of Renewable Energy Communities
  Alessandra Ruffini, Paolo Falbo, Carlos Ruiz
• Optimal Investment and Fair Sharing Rules for Incentives in Virtual Renewable Energy Communities
  Paolo Falbo
• Fear-Driven Pricing of Nuclear Stocks
  Kevyn Stefanelli, Roy Cerqueti

WB-09: Algotrading and Market strategies
Stream: OR in Finance and Insurance
Room: Clarendon SR 2.01
Chair(s): Mario Maggi

• High-Frequency Trading and Risk Sharing Capacity in Market Making with Asymmetric Information
  Katsumasa Nishide
• Measuring variability of nodes in the yield term structure
  Ilaria Stefani, Edit Rroji, Lorenzo Mercuri, Andrea Perchiazzo
• Leveraging RNNs, LSTMs, and Recurrence Quantification for Synchronization in the Indian Stock Market
  Charu Sharma, Sanjay Sathish
• Reducing Investment Risk through Diversification in Benchmark Investing
  Mario Maggi, Pierpaolo Uberti

WC-09: Methods and models in portfolio and risk management
Stream: OR in Finance and Insurance
Room: Clarendon SR 2.01
Chair(s): Marcel Marohn

• Portfolio Optimization with Quality Constraints
  Marcel Marohn
• Credit Scoring Model of Small Sized Firms Using Default Data during COVID-19 Pandemic
  Hiroumi Naganuma, Masaru Iwase, Masahiro Toshiro, Shinsuke Sasaki, Kenzo Ogi, Norio Hibiki
• A simulation approach to robust risk management of derivative products
  Bertrand Tavin
• Optimizing Uncertain Multi-Period Portfolios Under a Conditional Value-at-Risk Measure
  Julián Benavides, Anibal Sosa, Andrés Salas

WD-09: Quantitative methods in finance
Stream: OR in Finance and Insurance
Room: Clarendon SR 2.01
Chair(s): Ben Moews

• Investment, financing, strategic debt service, and liquidation
  Takashi Shibata, Michi Nishihara, Yuan Tian
• Domain applications of privacy-preserving mechanisms in synthetic data disclosure of financial regulators
  Ben Moews
• How to choose a model? A consequentialist approach applied to portfolio selection in continuous-time
  Moris Strub, Thaleia Zariphopoulou