Research Article
The Rating of Insurance Companies Based on The Regulatory Indicators Using Three Different Scenarios

Asma Hamzeh; Faezeh Banimostafaarab; Fatemeh Atatalab

Articles in Press, Accepted Manuscript, Available Online from 06 September 2022

https://doi.org/10.22054/jmmf.2022.68907.1062

Abstract
  The rating of insurance companies is one of the necessary and operational policies to regulate and evaluate the performance of the insurance industry. It informs shareholders, customers, insurers, and even regulatory authorities, as well as formal and informal support bodies, about the current performance ...  Read More

Journal of Mathematics and Modeling in Finance (JMMF)
Measuring the Accuracy and Precision of Random Forest, Long Short-Term Memory, and Recurrent Neural Network Models in Predicting the Top and Bottom of Bitcoin price

Emad Koosha; Mohsen Seighaly; Ebrahim Abbasi

Articles in Press, Accepted Manuscript, Available Online from 14 September 2022

https://doi.org/10.22054/jmmf.2022.69198.1068

Abstract
  The purpose of the present research is to use machine learning models to predict the price of Bitcoin, representing the cryptocurrency market. The price prediction model can be considered as the most important component in algorithmic trading. The performance of machine learning and its models, due to ...  Read More

Original Article
INTRODUCTION A METHOD OF DETERMINING RETURNS TO SCALE IN NETWORK DATA ENVELOPMENT ANALYSIS

Hadi Bagherzadeh Valami; Zeinab Sinaei nasab

Articles in Press, Accepted Manuscript, Available Online from 14 September 2022

https://doi.org/10.22054/jmmf.2022.68634.1057

Abstract
  Data Envelopment Analysis (DEA) is an effective method for measuring the efficiency of Decision Making Units (DMUs) In the process of evaluating the Decision Making Unitss, two factors of efficiency and production size can be used. When the production size of a unit is not optimal, its Returns To Scale ...  Read More

Journal of Mathematics and Modeling in Finance (JMMF)
Design of a Pure Endowment Life Insurance Contract Based on Optimal Stochastic Control

Saman Vahabi; Amir Teimour Payandeh Najafabadi

Articles in Press, Accepted Manuscript, Available Online from 04 October 2022

https://doi.org/10.22054/jmmf.2022.69386.1070

Abstract
  There are a variety of products in the life insurance literature. These products differ in how the benefits are paid and the execution time. In this paper, we designed pure-endowment insurance contract and obtain the optimal strategy and consumption for a policyholder with CRRA utility function. In ...  Read More

Research Article
Pricing life settlements in the secondary market using fuzzy internal rate of return

Mahboubeh Aalaei

Articles in Press, Accepted Manuscript, Available Online from 18 October 2022

https://doi.org/10.22054/jmmf.2022.69780.1071

Abstract
  In this paper‎, ‎fuzzy set theory is implemented to model internal rate of return for calculating the price of life ‎settlements‎‎. ‎D‎eterministic‎, ‎probabilistic and stochastic ‎approaches ‎is ‎used ‎to ‎price life ‎settlements‎ in the ...  Read More

Original Article
Bayesian Inference Using Hyper Product Inverse Moment Prior in the Ultrahigh-Dimensional Generalized Linear Models

Robabeh Hosseinpour Samim Mamaghani; Farzad ESkandari

Articles in Press, Accepted Manuscript, Available Online from 01 November 2022

https://doi.org/10.22054/jmmf.2022.69844.1072

Abstract
  In this paper, we considered a Bayesian hierarchical method using the hyper product inverse moment prior in the ultrahigh-dimensional generalized linear model (UDGLM), that was useful in the Bayesian variable selection. We showed the posterior probabilities of the true model converge to 1 as the sample size ...  Read More

Original Article
Ridge Shrinkage Estimators in Finite Mixture of Generalized Estimating Equations.

Sajad Nezamdoust; Farzad Eskandari

Articles in Press, Accepted Manuscript, Available Online from 02 November 2022

https://doi.org/10.22054/jmmf.2022.69854.1073

Abstract
  The paper considers the problem of estimation of the parameters in finite mixture models. In this article, a new method is proposed for of estimation of the parameters in finite mixture models. Traditionally, the parameter estimation in finite mixture models is performed from a likelihood point of view ...  Read More

Original Article
Presenting a comparative model of stock investment portfolio optimization based on Markowitz model

Samaneh Mohammadi Jarchelou; Kianoush Fathi Vajargah; Parvin Azhdari

Articles in Press, Accepted Manuscript, Available Online from 20 November 2022

https://doi.org/10.22054/jmmf.2022.70394.1077

Abstract
  The investment process is related to how investors act in deciding on the types of tradable securities to invest in and the amount and timing. Various methods have been proposed for the investment process, but the lack of rapid computational methods for determining investment policies in securities analysis ...  Read More

Research Article
Stochastic optimal control with Contingent Convertible Bond in banking industry

Asma Khadimallah; Fathi Abid

Articles in Press, Accepted Manuscript, Available Online from 20 November 2022

https://doi.org/10.22054/jmmf.2022.70265.1075

Abstract
  This paper has potential implications for the management of the bank. We examine a bank capital structure with contingent convertible debt to improve financial stability. This type of debt converts to equity when the bank is facing financial difficulties and a conversion trigger occurs. We use a leverage ...  Read More

Original Article
Option valuation in markets with finite liquidity under fractional CEV assets

Azadeh Ghasemifard; Seddigheh Banihashemi; Afshin Babaei

Articles in Press, Accepted Manuscript, Available Online from 28 November 2022

https://doi.org/10.22054/jmmf.2022.70529.1078

Abstract
  ‎The aim of this paper is to numerically price the European double barrier option by calculating the governing fractional Black-Scholes equation in illiquid markets‎. ‎Incorporating the price impact into the underlying asset dynamic‎, ‎which means that trading strategies affect the ...  Read More