Sfoglia per Autore
Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
2014-01-01 Luciano Elisa; Regis Luca
Dependence Calibration and Portfolio Fit with FactorBased Time Changes
2013-01-01 E. Luciano; M. Marena; P. Semeraro
The organization of bank affiliates: a theoretical perspective on risk and efficiency
2013-01-01 Elisa Luciano; Clas Wihlborg
Demographic Risk Transfer with financial risk: is it Worth for Annuity Providers?
2013-01-01 Luciano E.; Regis L.
Mortality Surface by Means of Continuous Time Cohort Models
2013-01-01 P. Jevtić; E. Luciano; E. Vigna
On the (in)-dependence between financial and actuarial risk
2013-01-01 Dhaene J.; Kukush W.; Luciano E.; Schoutens W.; Stassen B.
Demographic Risk Transfer: is it Worth for Annuity Providers?
2012-01-01 Luciano E.; Regis L.
Default risk in business groups
2012-01-01 Elisa Luciano; Giovanna Nicodano
Demographic Risk Transfer
2012-01-01 Luciano E.; Regis L.
Delta-Gamma hedging of mortality and interest rate risk
2012-01-01 E. Luciano; L. Regis; E. Vigna
Equilibrium price of immediacy and infrequent trade
2011-01-01 Luciano E.
Multivariate variance gamma and gaussian dependence: a study with copulas
2010-01-01 E. Luciano; P. Semeraro
Cross generational comparison of stochastic mortality of coupled lives
2010-01-01 Elisa Luciano; Jaap Spreeuw; Elena Vigna
Calcolo finanziario. Temi di base e temi moderni.
2010-01-01 Mauro D' Amico; Elisa Luciano; Lorenzo Peccati
Business Time and New Credit Risk Models
2010-01-01 Elisa Luciano
A Generalized Normal Mean Variance Mixture for Return Processes in Finance
2010-01-01 Elisa Luciano; Patrizia Semeraro
Multivariate Time Changes for Lévy Asset Models: characterization and calibration
2010-01-01 Elisa Luciano; Patrizia Semeraro
Single and joint default in a structural model with purely discontinuous asset prices
2010-01-01 Filippo Fiorani; Elisa Luciano; Patrizia Semeraro
Credit risk and rating assignments with parent-subsidiary links
2009-01-01 Elisa Luciano; Giovanna Nicodano
Modelling stochastic mortality for dependent lives
2008-01-01 Elisa Luciano; Jaap Spreeuw; Elena Vigna
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