14
H index
16
i10 index
619
Citations
Università degli Studi di Torino (50% share) | 14 H index 16 i10 index 619 Citations RESEARCH PRODUCTION: 32 Articles 53 Papers 1 Books EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with elisa luciano. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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International Journal of Production Economics | 5 |
Insurance: Mathematics and Economics | 5 |
Quantitative Finance | 3 |
Decisions in Economics and Finance | 3 |
European Journal of Operational Research | 2 |
Year | Title of citing document |
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2020 | Portfolio Choice with Small Temporary and Transient Price Impact. (2019). Muhle-Karbe, Johannes ; Ekren, Ibrahim. In: Papers. RePEc:arx:papers:1705.00672. Full description at Econpapers || Download paper |
2020 | Hedging longevity risk in defined contribution pension schemes. (2019). Wang, Yongjie. In: Papers. RePEc:arx:papers:1904.10229. Full description at Econpapers || Download paper |
2020 | Asset Pricing with General Transaction Costs: Theory and Numerics. (2019). Shi, Xiaofei ; Muhle-Karbe, Johannes ; Gonon, Lukas. In: Papers. RePEc:arx:papers:1905.05027. Full description at Econpapers || Download paper |
2020 | Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs. (2019). Bayraktar, Erhan ; Dolinsky, Yan ; Dolinskyi, Leonid. In: Papers. RePEc:arx:papers:1912.08863. Full description at Econpapers || Download paper |
2020 | Sharing of longevity basis risk in pension schemes with income-drawdown guarantees. (2020). Wang, Yongjie ; Ewald, Christian-Oliver ; Agarwal, Ankush. In: Papers. RePEc:arx:papers:2002.05232. Full description at Econpapers || Download paper |
2021 | Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets. (2020). Scaillet, Olivier ; Shen, Yiwen. In: Papers. RePEc:arx:papers:2004.10096. Full description at Econpapers || Download paper |
2020 | Multivariate non-Gaussian models for financial applications. (2020). Tassinari, Gian Luca ; Hitaj, Asmerilda ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2005.06390. Full description at Econpapers || Download paper |
2021 | No arbitrage in insurance and the QP-rule. (2020). Schmidt, Thorsten ; Eisele, Karl-Theodor ; Artzner, Philippe. In: Papers. RePEc:arx:papers:2005.11022. Full description at Econpapers || Download paper |
2020 | Risk management of guaranteed minimum maturity benefits under stochastic mortality and regime-switching by Fourier space time-stepping framework. (2020). Hu, Wenlong. In: Papers. RePEc:arx:papers:2006.15483. Full description at Econpapers || Download paper |
2021 | Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Papers. RePEc:arx:papers:2007.08804. Full description at Econpapers || Download paper |
2020 | Volterra mortality model: Actuarial valuation and risk management with long-range dependence. (2020). Wong, Hoi Ying ; Chiu, Mei Choi ; Wang, Ling. In: Papers. RePEc:arx:papers:2009.09572. Full description at Econpapers || Download paper |
2021 | Insurance valuation: A two-step generalised regression approach. (2020). Bignozzi, Valeria ; Barigou, Karim ; Tsanakas, Andreas. In: Papers. RePEc:arx:papers:2012.04364. Full description at Econpapers || Download paper |
2021 | No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging. (2021). Nakagawa, Kei ; Minami, Kentaro ; Ito, Katsuya ; Imajo, Kentaro ; Imaki, Shota. In: Papers. RePEc:arx:papers:2103.01775. Full description at Econpapers || Download paper |
2021 | Multivariate tempered stable additive subordination for financial models. (2021). Semeraro, Patrizia. In: Papers. RePEc:arx:papers:2105.00844. Full description at Econpapers || Download paper |
2022 | Two-step actuarial valuations. (2021). Yang, Fan ; Linders, Daniel ; Barigou, Karim. In: Papers. RePEc:arx:papers:2109.13796. Full description at Econpapers || Download paper |
2022 | Deep Learning Algorithms for Hedging with Frictions. (2021). Zhang, Zhanhao ; Xu, Daran ; Shi, Xiaofei. In: Papers. RePEc:arx:papers:2111.01931. Full description at Econpapers || Download paper |
2022 | Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\evy Models. (2022). Bayer, Christian ; Tempone, Ra'Ul ; Samet, Michael ; Papapantoleon, Antonis ; ben Hammouda, Chiheb. In: Papers. RePEc:arx:papers:2203.08196. Full description at Econpapers || Download paper |
2020 | Market Price of Longevity Risk for a Multiâ€Cohort Mortality Model With Application to Longevity Bond Option Pricing. (2020). Ziveyi, Jonathan ; Sherris, Michael ; Xu, Yajing. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:3:p:571-595. Full description at Econpapers || Download paper |
2021 | Asset pricing with general transaction costs: Theory and numerics. (2021). Shi, Xiaofei ; Muhlekarbe, Johannes ; Gonon, Lukas. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:2:p:595-648. Full description at Econpapers || Download paper |
2021 | Life insurance demand and borrowing constraints. (2021). Lazzari, Valter ; Born, Patricia H ; Poposki, Klime ; Srbinoski, Bojan. In: Risk Management and Insurance Review. RePEc:bla:rmgtin:v:24:y:2021:i:1:p:37-69. Full description at Econpapers || Download paper |
2020 | Household Finance. (2020). Gomes, Francisco J ; Haliassos, Michael ; Ramadorai, Tarun. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14502. Full description at Econpapers || Download paper |
2021 | Robust and accurate construction of the local volatility surface using the Black–Scholes equation. (2021). Kim, Junseok. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:150:y:2021:i:c:s0960077921004707. Full description at Econpapers || Download paper |
2021 | Alpha decay and Sharpe ratio: Two measures of investor performance. (2021). Ou-Yang, Hui ; Guo, Ming. In: Economic Modelling. RePEc:eee:ecmode:v:104:y:2021:i:c:s0264999321001474. Full description at Econpapers || Download paper |
2020 | Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA. (2020). Pérez-RodrÃÂguez, Jorge ; Lopez-Valcarcel, Beatriz Gonzalez ; Perez-Rodriguez, Jorge V ; Qian, Huanhuan ; Zhou, Xinmiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300723. Full description at Econpapers || Download paper |
2021 | Who is more important, parents or children? Economic and environmental factors and health insurance purchase. (2021). Gao, Feng ; Wang, Jun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000991. Full description at Econpapers || Download paper |
2021 | On sales effort and pricing decisions under alternative risk criteria. (2021). Qi, Xiangtong ; Li, Xiang. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:2:p:603-614. Full description at Econpapers || Download paper |
2021 | Mean-variance analysis of wholesale price contracts with a capital-constrained retailer: Trade credit financing vs. bank credit financing. (2021). Talluri, Srinivas ; Shao, Lusheng ; Zhuo, Wenyan ; Yang, Honglin. In: European Journal of Operational Research. RePEc:eee:ejores:v:294:y:2021:i:2:p:525-542. Full description at Econpapers || Download paper |
2022 | Optimal dynamic longevity hedge with basis risk. (2022). Zhang, Jinggong ; Weng, Chengguo ; Tan, Ken Seng. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:1:p:325-337. Full description at Econpapers || Download paper |
2022 | The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing. (2022). Kimura, Herbert ; Sobreiro, Vinicius Amorim ; Belitsky, Vladimir ; Arismendi-Zambrano, Juan. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921001261. Full description at Econpapers || Download paper |
2021 | Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting. (2021). Stadje, Mitja ; Bosserhoff, Frank. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:130-146. Full description at Econpapers || Download paper |
2021 | Optimal retirement products under subjective mortality beliefs. (2021). Rach, Manuel ; Hieber, Peter ; Chen, AN. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pa:p:55-69. Full description at Econpapers || Download paper |
2021 | Fourier based methods for the management of complex life insurance products. (2021). Ballotta, Laura ; Zeineddine, Raghid ; Schmidt, Thorsten ; Eberlein, Ernst. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:320-341. Full description at Econpapers || Download paper |
2022 | Valuing guaranteed minimum accumulation benefits by a change of numéraire approach. (2022). Xiong, Heng ; Mamon, Rogemar ; Huang, Yiming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:1-26. Full description at Econpapers || Download paper |
2020 | Optimal consumption–investment and life-insurance purchase strategy for couples with correlated lifetimes. (2020). Cheng, Xiang ; Wei, Jiaqin ; Wang, Hao ; Jin, Zhuo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:244-256. Full description at Econpapers || Download paper |
2020 | Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age?. (2020). Milevsky, Moshe A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:92:y:2020:i:c:p:147-161. Full description at Econpapers || Download paper |
2020 | Modeling stochastic mortality for joint lives through subordinators. (2020). Brockett, Patrick ; Zhang, Yuxin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:166-172. Full description at Econpapers || Download paper |
2020 | Spatial patterns of mortality in the United States: A spatial filtering approach. (2020). Paez, Antonio ; Jevti, Petar ; Cupido, Kyran. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:28-38. Full description at Econpapers || Download paper |
2021 | Volterra mortality model: Actuarial valuation and risk management with long-range dependence. (2021). Wong, Hoi Ying ; Chiu, Mei Choi ; Wang, Ling. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:1-14. Full description at Econpapers || Download paper |
2021 | Model-independent price bounds for Catastrophic Mortality Bonds. (2021). Sabanis, Sotirios ; Bahl, Raj Kumari . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:276-291. Full description at Econpapers || Download paper |
2021 | Pricing longevity derivatives via Fourier transforms. (2021). Vidal, Joo Pedro ; Bravo, Jorge M. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:81-97. Full description at Econpapers || Download paper |
2021 | Fair dynamic valuation of insurance liabilities via convex hedging. (2021). Dhaene, Jan ; Chen, ZE ; Yang, Tianyu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:1-13. Full description at Econpapers || Download paper |
2021 | Joint and survivor annuity valuation with a bivariate reinforced urn process. (2021). Cirillo, Pasquale ; Souto, Luis A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:174-189. Full description at Econpapers || Download paper |
2021 | Time-consistent longevity hedging with long-range dependence. (2021). Wong, Hoi Ying ; Wang, Ling. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:25-41. Full description at Econpapers || Download paper |
2022 | The impact of bank regulation on firms’ capital structure: Evidence from multinationals. (2022). Raes, Louis ; Huizinga, Harry ; Avezum, Lucas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000590. Full description at Econpapers || Download paper |
2020 | Liquidity regimes and optimal dynamic asset allocation. (2020). Salam, Mehmet ; Daniel, Kent ; Collin-Dufresne, Pierre. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:2:p:379-406. Full description at Econpapers || Download paper |
2020 | Political institutions, stock market liquidity and firm dividend policy: Some international evidence. (2020). Liu, Yiye ; Zhu, Xindong ; Saffar, Walid. In: Journal of Contemporary Accounting and Economics. RePEc:eee:jocaae:v:16:y:2020:i:1:s1815566919301201. Full description at Econpapers || Download paper |
2021 | Chief stores officer and retailer performance. (2021). Fay, Scott ; Feng, Cong. In: Journal of Retailing and Consumer Services. RePEc:eee:joreco:v:58:y:2021:i:c:s0969698920313291. Full description at Econpapers || Download paper |
2021 | Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches. (2021). Belkacem, Lotfi ; de Peretti, Christian ; Bedoui, Rihab ; Talbi, Marwa. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001549. Full description at Econpapers || Download paper |
2022 | Thirst for money: External guarantees and stock price crash risk. (2022). Xu, Maobin ; Jin, Zejun ; Wu, Kai. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:72:y:2022:i:c:s0927538x22000191. Full description at Econpapers || Download paper |
2020 | Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying. (2020). Benito, Sonia ; Garcia-Jorcano, Laura. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920300192. Full description at Econpapers || Download paper |
2021 | Willingness to take financial risks and insurance holdings: A European survey. (2021). Ghavibazoo, Omid ; Hanewald, Katja ; Eling, Martin. In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:95:y:2021:i:c:s221480432100121x. Full description at Econpapers || Download paper |
2021 | Modeling of Bank Credit Risk Management Using the Cost Risk Model. (2021). Yanenkova, Iryna ; Berezovska, Lyudmyla ; Zavhorodnii, Andrii ; Drobyazko, Svetlana ; Nehoda, Yuliia. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:211-:d:549906. Full description at Econpapers || Download paper |
2022 | Integrated Intellectual Investment Portfolio as an Efficient Instrument to Manage Personal Financial Investment. (2022). Stasytyt, Viktorija ; Rutkauskas, Aleksandras Vytautas. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:1:p:30-:d:722100. Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2022 | Unit-Linked Tontine: Utility-Based Design, Pricing and Performance. (2022). Sehner, Thorsten ; Nguyen, Thai ; Chen, AN. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:4:p:78-:d:788706. Full description at Econpapers || Download paper |
2020 | Stochastic Mortality Modelling for Dependent Coupled Lives. (2020). Pamen, Olivier Menoukeu ; Constantinescu, Corina ; Henshaw, Kira. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:17-:d:319039. Full description at Econpapers || Download paper |
2020 | Longevity Modelling and Pricing under a Dependent Multi-Cohort Framework. (2020). Devolder, Pierre ; Zeddouk, Fadoua. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:121-:d:445668. Full description at Econpapers || Download paper |
2021 | Immunization Strategies for Funding Multiple Inflation-Linked Retirement Income Benefits. (2021). Bravo, Jorge M ; Oliveira, Luis ; Simes, Claudia . In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:4:p:60-:d:524060. Full description at Econpapers || Download paper |
2020 | Sharing of longevity basis risk in pension schemes with income-drawdown guarantees. (2020). Wang, Yongjie ; Ewald, Christian-Oliver ; Agarwal, Ankush. In: Working Papers. RePEc:gla:glaewp:2020_18. Full description at Econpapers || Download paper |
2021 | Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2021). Delong, Lukasz ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-02896141. Full description at Econpapers || Download paper |
2021 | Insurance valuation: A two-step generalised regression approach. (2021). Tsanakas, Andreas ; Bignozzi, Valeria ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-03043244. Full description at Econpapers || Download paper |
2021 | Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Working Papers. RePEc:hal:wpaper:hal-02896141. Full description at Econpapers || Download paper |
2021 | Insurance valuation: A two-step generalised regression approach. (2020). Barigou, Karim ; Tsanakas, Andreas ; Bignozzi, Valeria. In: Working Papers. RePEc:hal:wpaper:hal-03043244. Full description at Econpapers || Download paper |
2021 | Dynamic Bivariate Mortality Modelling. (2021). Wang, Shihua ; Salhi, Yahia ; Jiao, Ying. In: Working Papers. RePEc:hal:wpaper:hal-03244324. Full description at Econpapers || Download paper |
2022 | Two-step actuarial valuations. (2021). Yang, Fan ; Linders, Daniel ; Barigou, Karim. In: Working Papers. RePEc:hal:wpaper:hal-03327710. Full description at Econpapers || Download paper |
2021 | A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes. (2021). Yang, Xuewei ; Cai, Ning. In: INFORMS Journal on Computing. RePEc:inm:orijoc:v:33:y:2021:i:1:p:216-229. Full description at Econpapers || Download paper |
2021 | Robust Solutions to the Life-Cycle Consumption Problem. (2021). Fabozzi, Frank J ; Reus, Lorenzo. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:2:d:10.1007_s10614-019-09964-1. Full description at Econpapers || Download paper |
2020 | Towards a $$\Delta $$Δ-Gamma Sato multivariate model. (2020). Guillaume, Florence ; Boen, Lynn. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:1:d:10.1007_s11147-019-09155-y. Full description at Econpapers || Download paper |
2020 | Another look at the implied and realised volatility relation: a copula-based approach. (2020). Pérez-RodrÃÂguez, Jorge ; Perez-Rodriguez, Jorge V. In: Risk Management. RePEc:pal:risman:v:22:y:2020:i:1:d:10.1057_s41283-019-00054-y. Full description at Econpapers || Download paper |
2022 | Ramsey rule with forward/backward utility for long-term yield curves modeling. (2022). Mrad, Mohamed ; Hillairet, Caroline ; el Karoui, Nicole. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:45:y:2022:i:1:d:10.1007_s10203-022-00370-1. Full description at Econpapers || Download paper |
2022 | Stressed portfolio optimization with semiparametric method. (2022). Wang, Kun ; Han, Chuan-Hsiang. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00333-w. Full description at Econpapers || Download paper |
2020 | Extended weak convergence and utility maximisation with proportional transaction costs. (2020). Bayraktar, Erhan ; Dolinsky, Yan ; Dolinskyi, Leonid. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:4:d:10.1007_s00780-020-00437-0. Full description at Econpapers || Download paper |
2021 | Some Properties of the Multivariate Generalized Hyperbolic Laws. (2021). Paparas, Alex ; Jandhyala, Venkata K ; Fotopoulos, Stergios B. In: Sankhya A: The Indian Journal of Statistics. RePEc:spr:sankha:v:83:y:2021:i:1:d:10.1007_s13171-019-00173-4. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2021 | Tail risk interdependence. (2021). Chiu, Chingwai ; Stoja, Evarist ; Polanski, Arnold. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5499-5511. Full description at Econpapers || Download paper |
2020 | Dynamic programming for valuing American options under a varianceâ€gamma process. (2020). Remillard, Bruno ; Cherif, Rim ; ben Ameur, Hatem ; BenAmeur, Hatem . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1548-1561. Full description at Econpapers || Download paper |
2020 | Household finance. (2020). Haliassos, Michael ; Gomes, Francisco J ; Ramadorai, Tarun. In: IMFS Working Paper Series. RePEc:zbw:imfswp:138. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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Year | Title | Type | Cited |
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2019 | Model Risk in Credit Risk In: Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Model risk in credit risk.(2021) In: Mathematical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2001 | Value-at-risk Trade-off and Capital Allocation with Copulas In: Economic Notes. [Full Text][Citation analysis] | article | 18 |
1991 | An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs. In: Journal of Finance. [Full Text][Citation analysis] | article | 136 |
2017 | Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 16 |
2012 | Single and cross-generation natural hedging of longevity and financial risk.(2012) In: Carlo Alberto Notebooks. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
2012 | Single and cross-generation natural hedging of longevity and financial risk.(2012) In: ICER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
2013 | Equilibrium price of immediacy and infrequent trade In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 1 |
2012 | Evolution of coupled lives dependency across generations and pricing impact In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 1 |
2013 | Mortality Surface by Means of Continuous Time Cohort Models In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 16 |
2013 | Mortality surface by means of continuous time cohort models.(2013) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | article | |
2012 | Default risk in business groups In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 0 |
2006 | A Multivariate Jump-Driven Financial Asset Model In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 41 |
2005 | A Multivariate Jump-Driven Financial Asset Model..(2005) In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
2006 | A multivariate jump-driven financial asset model.(2006) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | article | |
2006 | Non mean reverting affne processes for stochastic mortality In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 34 |
2005 | Non mean reverting affine processes for stochastic mortality..(2005) In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
2014 | Dependence Calibration and Portfolio Fit with FactorBased Time Changes In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 7 |
2013 | Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 4 |
2014 | Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk.(2014) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2014 | Financial synergies and the Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 0 |
2015 | Static versus dynamic longevity-risk hedging In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 0 |
2007 | Single and joint default in a structural model with purely discontinuous assets In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 7 |
2007 | Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 2 |
2015 | Basis risk in static versus dynamic longevity-risk hedging In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 3 |
2007 | Modelling stochastic mortality for dependent lives In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 27 |
2007 | Modelling Stochastic Mortality for Dependent Lives.(2007) In: CeRP Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
2008 | Modelling stochastic mortality for dependent lives.(2008) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | article | |
2016 | Equilibrium bid-ask spread and infrequent trade with outside options In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 0 |
2016 | Are information and portfolio diversification substitutes or complements? In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 0 |
2016 | Equilibrium bid-ask spreads and the effect of competitive trading delays In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 0 |
2019 | Geographical diversification and longevity risk mitigation in annuity portfolios In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 1 |
2021 | GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS.(2021) In: ASTIN Bulletin. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2021 | Risk Appetite Fluctuations in the Insurance Industry In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 0 |
2022 | A new dimension of bank complexity: rescue agreements and default contamination In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 0 |
2008 | Ownership links, leverage and credit risk In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 0 |
2010 | Intercorporate guarantees, leverage and taxes In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 1 |
2008 | Multivariate Variance Gamma and Gaussian dependence: a study with copulas In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 2 |
2009 | A Generalized Normal Mean Variance Mixture for Return Processes in Finance In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 6 |
2010 | A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE.(2010) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2016 | Financial Inclusion and Life Insurance Demand; Evidence from Italian households In: CeRP Working Papers. [Full Text][Citation analysis] | paper | 3 |
2016 | “Information effects in longevity-linked vs purely financial portfolios†In: CeRP Working Papers. [Full Text][Citation analysis] | paper | 0 |
1999 | Some basic problems in inventory theory: The financial perspective In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 1 |
2001 | Dynamic value at risk under optimal and suboptimal portfolio policies In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 6 |
2012 | Delta–Gamma hedging of mortality and interest rate risk In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 22 |
2013 | On the (in-)dependence between financial and actuarial risks In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 13 |
2018 | Financial synergies and systemic risk in the organization of bank affiliates In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 2 |
1997 | Revision of industrial supply conditions and game theory In: International Journal of Production Economics. [Full Text][Citation analysis] | article | 2 |
1999 | Capital structure and inventory management:: The temporary sale price problem In: International Journal of Production Economics. [Full Text][Citation analysis] | article | 14 |
2001 | Cycles optimization: The equivalent annuity and the NPV approaches In: International Journal of Production Economics. [Full Text][Citation analysis] | article | 2 |
2002 | Stationary optimal lengths for the plant renewal problem In: International Journal of Production Economics. [Full Text][Citation analysis] | article | 0 |
2003 | VaR as a risk measure for multiperiod static inventory models In: International Journal of Production Economics. [Full Text][Citation analysis] | article | 17 |
2007 | Calibrating risk-neutral default correlation In: Journal of Risk Finance. [Full Text][Citation analysis] | article | 1 |
2005 | Calibrating risk-neutral default correlation..(2005) In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
1989 | An Exact Solution to the Portfolio Choice Problem Under Transactions Costs (Reprint 019) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] | paper | 2 |
2019 | Risk Analysis and Portfolio Modelling In: JRFM. [Full Text][Citation analysis] | article | 3 |
2016 | Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities In: Risks. [Full Text][Citation analysis] | article | 5 |
1990 | An exact solution to the portfolio choice problem under transactions costs In: Working Papers. [Citation analysis] | paper | 2 |
2013 | The Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency In: ICER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2012 | Demographic risk transfer: is it worth for annuity providers? In: ICER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2011 | Delta and Gamma hedging of mortality and interest rate risk In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] | paper | 1 |
2002 | Multivariate Option Pricing with Copulas. In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] | paper | 23 |
2002 | Pricing Vulnerable Options with Copulas. In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] | paper | 13 |
2005 | A note on stochastic survival probabilities and their calibration. In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] | paper | 1 |
2006 | A note on stochastic survival probabilities and their calibration.(2006) In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2010 | Business Time and New Credit Risk Models In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] | paper | 0 |
2007 | Copula-Based Default Dependence Modelling: Where Do We Stand? In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] | paper | 1 |
2012 | Natural delta gamma hedging of longevity and interest rate risk In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] | paper | 1 |
2007 | Copulas and Dependence models in Credit Risk: Diffusions versus Jumps In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] | paper | 0 |
2006 | Copulas and dependence models in credit risk: diffusions versus jumps.(2006) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2007 | Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] | paper | 0 |
2007 | Bank Efficiency and Banking Sector Development: the Case of Italy In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] | paper | 5 |
2006 | Credit risk in pure jump structural models In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] | paper | 2 |
2017 | The Economics of Continuous-Time Finance In: MIT Press Books. [Citation analysis] | book | 3 |
1991 | The External Financing of Brazilian Imports (Special Series on Mixed Credits, in Collaboration with ICEPS) In: OECD Development Centre Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Guarantees, Leverage, and Taxes In: Review of Financial Studies. [Full Text][Citation analysis] | article | 19 |
2001 | A Value at Risk Approach to Background Risk In: The Geneva Risk and Insurance Review. [Full Text][Citation analysis] | article | 4 |
2016 | Life Insurance Ownership by Italian Households: A Gender-Based Differences Analysis In: The Geneva Papers on Risk and Insurance - Issues and Practice. [Full Text][Citation analysis] | article | 6 |
2008 | Mortality risk via affine stochastic intensities: calibration and empirical relevance In: MPRA Paper. [Full Text][Citation analysis] | paper | 46 |
1999 | A note on loadings and deductibles: can a vicious circle arise? In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
1995 | Funzioni di Green per equazioni differenziali ordinarie e applicazioni in finanza In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 0 |
1998 | Swap pricing and hedging of general DCFs In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 0 |
2019 | From volatility smiles to the volatility of volatility In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 2 |
2002 | Bivariate option pricing with copulas In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 41 |
2010 | Single and joint default in a structural model with purely discontinuous asset prices In: Quantitative Finance. [Full Text][Citation analysis] | article | 4 |
2016 | Dependence calibration and portfolio fit with factor-based subordinators In: Quantitative Finance. [Full Text][Citation analysis] | article | 8 |
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