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Access Statistics for Elisa Luciano

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Generalized Normal Mean Variance Mixture for Return Processes in Finance 0 0 0 146 0 0 1 447
A Multivariate Jump-Driven Financial Asset Model 0 0 0 144 0 0 0 393
A Multivariate Jump-Driven Financial Asset Model 0 0 1 154 0 0 1 459
A new dimension of bank complexity: rescue agreements and default contamination 0 0 0 14 0 2 3 22
A note on loadings and deductibles: can a vicious circle arise? 0 0 0 0 0 0 0 24
A note on stochastic survival probabilities and their calibration 0 0 0 11 0 0 0 66
A note on stochastic survival probabilities and their calibration 0 0 0 94 0 0 0 239
Adversarial AI in Insurance: Pervasiveness and Resilience 0 0 0 9 0 0 1 3
An Exact Solution to the Portfolio Choice Problem Under Transactions Costs (Reprint 019) 0 0 0 0 0 1 1 347
An exact solution to the portfolio choice problem under transactions costs 0 0 0 0 0 0 1 18
Are information and portfolio diversification substitutes or complements? 0 0 0 5 0 0 0 24
Bank Efficiency and Banking Sector Development: the Case of Italy 0 0 0 87 0 0 2 212
Basis risk in static versus dynamic longevity-risk hedging 0 0 1 14 0 0 4 41
Business Time and New Credit Risk Models 0 0 0 58 0 0 0 104
Calibrating risk-neutral default correlation 0 0 0 215 0 0 1 436
Copula-Based Default Dependence Modelling: Where Do We Stand? 0 0 0 48 0 1 2 123
Copulas and Dependence models in Credit Risk: Diffusions versus Jumps 0 0 0 45 0 0 0 108
Copulas and dependence models in credit risk: diffusions versus jumps 0 0 0 4 0 0 1 26
Credit risk in pure jump structural models 0 0 0 362 0 0 0 460
Default risk in business groups 0 0 1 33 0 0 2 100
Delta and Gamma hedging of mortality and interest rate risk 0 0 2 43 0 0 4 226
Demographic risk transfer: is it worth for annuity providers? 0 0 0 4 0 0 0 39
Dependence Calibration and Portfolio Fit with FactorBased Time Changes 0 0 0 24 0 0 0 68
Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk 0 0 0 31 1 1 2 111
Equilibrium bid-ask spread and infrequent trade with outside options 0 0 0 18 0 1 3 132
Equilibrium bid-ask spreads and the effect of competitive trading delays 1 1 1 5 2 6 11 26
Equilibrium price of immediacy and infrequent trade 1 3 4 28 6 14 29 248
Evolution of coupled lives' dependency across generations and pricing impact 0 0 0 7 0 0 0 54
Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators 0 0 2 206 0 0 2 472
Financial Inclusion and Life Insurance Demand; Evidence from Italian households 0 0 0 34 4 5 9 79
Financial synergies and the Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency 0 0 0 19 0 0 1 89
Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion 0 0 0 52 0 0 2 132
Geographical diversification and longevity risk mitigation in annuity portfolios 0 0 0 1 0 0 0 18
Information effects in longevity-linked vs purely financial portfolios 0 0 0 1 0 0 0 30
Intercorporate guarantees, leverage and taxes 0 0 0 52 0 0 0 240
Machine learning techniques in joint default assessment 0 0 0 13 0 0 0 10
Model Risk in Credit Risk 0 0 0 22 0 0 0 40
Modelling Stochastic Mortality for Dependent Lives 0 0 0 75 1 1 1 236
Modelling stochastic mortality for dependent lives 0 0 0 125 1 1 2 386
Mortality Surface by Means of Continuous Time Cohort Models 0 0 0 39 0 0 1 143
Mortality risk via affine stochastic intensities: calibration and empirical relevance 0 0 0 17 1 3 4 73
Multivariate Option Pricing with Copulas 0 3 6 1,437 0 6 10 2,810
Multivariate Variance Gamma and Gaussian dependence: a study with copulas 0 0 0 75 0 0 0 245
Natural delta gamma hedging of longevity and interest rate risk 0 0 0 66 1 1 2 188
Non mean reverting affine processes for stochastic mortality 0 0 1 194 0 0 5 597
Non mean reverting affne processes for stochastic mortality 0 0 2 116 0 0 8 849
Ownership links, leverage and credit risk 0 0 0 155 0 0 2 556
Pricing Vulnerable Options with Copulas 0 0 0 331 0 0 1 739
Risk Appetite Fluctuations in the Insurance Industry 0 1 2 24 2 4 10 38
Single and cross-generation natural hedging of longevity and financial risk 0 0 0 38 0 0 2 143
Single and cross-generation natural hedging of longevity and financial risk 0 0 0 10 0 0 0 45
Single and joint default in a structural model with purely discontinuous assets 0 0 2 784 0 2 10 1,471
Static versus dynamic longevity-risk hedging 0 0 0 18 0 0 0 56
The External Financing of Brazilian Imports (Special Series on Mixed Credits, in Collaboration with ICEPS) 0 0 0 14 0 0 1 346
The Fluctuations of Insurers’ Risk Appetite 0 0 1 1 0 0 3 4
The Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency 0 0 0 37 0 0 0 126
Total Working Papers 2 8 26 5,559 19 49 145 14,717

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE 0 0 1 2 0 0 2 10
A Note on Loadings and Deductibles: Can a Vicious Circle Arise? 0 0 0 0 0 0 0 0
A Value at Risk Approach to Background Risk 0 0 0 27 0 1 1 124
A multivariate jump-driven financial asset model 0 0 0 9 0 0 0 46
Adversarial Artificial Intelligence in Insurance: From an Example to Some Potential Remedies 0 0 3 5 0 4 18 36
An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs 0 1 5 257 2 5 12 630
Basis risk in static versus dynamic longevity-risk hedging 0 0 0 0 0 0 0 0
Bivariate option pricing with copulas 0 1 4 290 0 1 9 832
Calibrating risk‐neutral default correlation 0 0 0 0 0 0 1 2
Capital structure and inventory management:: The temporary sale price problem 0 0 1 45 0 0 3 245
Cycles optimization: The equivalent annuity and the NPV approaches 0 0 0 48 0 0 0 346
Delta–Gamma hedging of mortality and interest rate risk 0 0 2 24 1 1 11 120
Dependence calibration and portfolio fit with factor-based subordinators 0 0 0 2 0 0 0 8
Dynamic value at risk under optimal and suboptimal portfolio policies 0 0 0 28 0 0 0 84
Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk 0 0 0 4 1 1 2 37
Financial synergies and systemic risk in the organization of bank affiliates 0 0 0 26 0 1 2 125
From volatility smiles to the volatility of volatility 0 1 2 16 0 1 2 55
Funzioni di Green per equazioni differenziali ordinarie e applicazioni in finanza 0 0 0 24 0 0 2 144
GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS 0 0 0 0 0 0 0 10
Guarantees, Leverage, and Taxes 0 0 0 14 1 1 1 64
Life Insurance Ownership by Italian Households: A Gender-Based Differences Analysis 0 1 5 60 0 2 10 167
Model risk in credit risk 0 0 0 2 0 0 2 15
Modelling stochastic mortality for dependent lives 0 1 2 45 0 1 4 168
Mortality surface by means of continuous time cohort models 0 0 1 10 0 0 1 71
On the (in-)dependence between financial and actuarial risks 0 0 2 29 1 2 5 73
Pricing Vulnerable Options With Copulas 0 0 0 0 0 0 1 1
Revision of industrial supply conditions and game theory 0 0 0 13 0 0 0 107
Risk Analysis and Portfolio Modelling 0 0 0 13 0 0 2 58
Single and joint default in a structural model with purely discontinuous asset prices 0 0 0 8 1 1 1 65
Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk 0 0 0 2 0 0 0 28
Some basic problems in inventory theory: The financial perspective 0 0 1 30 0 0 1 221
Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities 0 0 0 6 0 0 0 105
Stationary optimal lengths for the plant renewal problem 0 0 0 4 0 0 0 47
Swap pricing and hedging of general DCFs 0 0 0 33 0 0 0 107
The fluctuations of insurers’ risk appetite 0 0 1 5 1 4 14 27
VaR as a risk measure for multiperiod static inventory models 0 0 0 120 1 1 3 353
Value-at-risk Trade-off and Capital Allocation with Copulas 0 1 2 11 0 1 4 44
Why are BHCs organized as parent-subsidiaries? How do they grow in value? 0 0 2 2 0 1 7 7
Total Journal Articles 0 6 34 1,214 9 29 121 4,582
1 registered items for which data could not be found

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
The Economics of Continuous-Time Finance 0 0 0 0 2 3 13 127
Total Books 0 0 0 0 2 3 13 127

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Introduction 0 0 0 0 0 0 0 0
Total Chapters 0 0 0 0 0 0 0 0

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Statistics updated 2024-12-04