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Elisa Luciano

Personal Details

First Name:Elisa
Middle Name:
Last Name:Luciano
Suffix:
RePEc Short-ID:plu86
[This author has chosen not to make the email address public]
http://sites.carloalberto.org/luciano/

Affiliation

(50%) Collegio Carlo Alberto
Università degli Studi di Torino

Torino, Italy
https://www.carloalberto.org/
RePEc:edi:fccaait (more details at EDIRC)

(50%) Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche
Università degli Studi di Torino

Torino, Italy
http://www.esomas.unito.it/
RePEc:edi:dstorit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. Elisa Luciano & Matteo Cattaneo & Ron Kenett, 2023. "Adversarial AI in Insurance: Pervasiveness and Resilience," Papers 2301.07520, arXiv.org.
  2. Elisa Luciano & Jean-Charles Rochet, 2022. "The Fluctuations of Insurers’ Risk Appetite," Post-Print hal-04052327, HAL.
  3. Margherita Doria & Elisa Luciano & Patrizia Semeraro, 2022. "Machine learning techniques in joint default assessment," Papers 2205.01524, arXiv.org, revised Sep 2023.
  4. Elisa Luciano & Clas Wihlborg, 2022. "A new dimension of bank complexity: rescue agreements and default contamination," Carlo Alberto Notebooks 671 JEL Classification: G, Collegio Carlo Alberto.
  5. Elisa Luciano & Jean Charles Rochet, 2021. "Risk Appetite Fluctuations in the Insurance Industry," Carlo Alberto Notebooks 666 JEL Classification: G, Collegio Carlo Alberto.
  6. Roberto Fontana & Elisa Luciano & Patrizia Semeraro, 2019. "Model Risk in Credit Risk," Papers 1906.06164, arXiv.org.
  7. Clemente De Rosa & Elisa Luciano & Luca Regis, 2017. "Geographical diversification and longevity risk mitigation in annuity portfolios," Carlo Alberto Notebooks 546, Collegio Carlo Alberto, revised 2019.
  8. Elisa Luciano & Antonella Tolomeo, 2016. "Are information and portfolio diversification substitutes or complements?," Carlo Alberto Notebooks 456, Collegio Carlo Alberto.
  9. Elisa Luciano & Antonella Tolomeo, 2016. "“Information effects in longevity-linked vs purely financial portfolios”," CeRP Working Papers 160, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  10. Elisa Luciano & Antonella Tolomeo, 2016. "Equilibrium bid-ask spreads and the effect of competitive trading delays," Carlo Alberto Notebooks 467, Collegio Carlo Alberto.
  11. Elisa Luciano & Riccardo Giacomelli, 2016. "Equilibrium bid-ask spread and infrequent trade with outside options," Carlo Alberto Notebooks 445, Collegio Carlo Alberto.
  12. Elisa Luciano & Mariacristina Rossi & Dario Sansone, 2016. "Financial Inclusion and Life Insurance Demand; Evidence from Italian households," CeRP Working Papers 156, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  13. Clemente De Rosa & Elisa Luciano & Luca Regis, 2015. "Static versus dynamic longevity-risk hedging," Carlo Alberto Notebooks 403, Collegio Carlo Alberto.
  14. Clemente De Rosa & Elisa Luciano & Luca Regis, 2015. "Basis risk in static versus dynamic longevity-risk hedging," Carlo Alberto Notebooks 425, Collegio Carlo Alberto, revised Oct 2015.
  15. Elisa Luciano & Marina Marena & Patrizia Semeraro, 2013. "Dependence Calibration and Portfolio Fit with FactorBased Time Changes," Carlo Alberto Notebooks 307, Collegio Carlo Alberto, revised 2015.
  16. Elisa Luciano & Luca Regis, 2013. "Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk," Carlo Alberto Notebooks 308, Collegio Carlo Alberto.
  17. Elisa Luciano & Clas Wihlborg, 2013. "Financial synergies and the Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency," Carlo Alberto Notebooks 322, Collegio Carlo Alberto, revised 2014.
  18. Elisa Luciano & Clas Wihlborg, 2013. "The Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency," ICER Working Papers 06-2013, ICER - International Centre for Economic Research.
  19. Elisa Luciano & Luca Regis & Elena Vigna, 2012. "Single and cross-generation natural hedging of longevity and financial risk," Carlo Alberto Notebooks 257, Collegio Carlo Alberto.
  20. Elisa Luciano & Giovanna Nicodano, 2012. "Default risk in business groups," Carlo Alberto Notebooks 283, Collegio Carlo Alberto.
  21. Elisa Luciano & Luca Regis & Elena Vigna, 2012. "Natural delta gamma hedging of longevity and interest rate risk," ICER Working Papers - Applied Mathematics Series 21-2011, ICER - International Centre for Economic Research.
  22. Petar Jevtic & Elisa Luciano & Elena Vigna, 2012. "Mortality Surface by Means of Continuous Time Cohort Models," Carlo Alberto Notebooks 264, Collegio Carlo Alberto, revised 2013.
  23. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2012. "Evolution of coupled lives' dependency across generations and pricing impact," Carlo Alberto Notebooks 258, Collegio Carlo Alberto.
  24. Elisa Luciano & Luca Regis, 2012. "Demographic risk transfer: is it worth for annuity providers?," ICER Working Papers 11-2012, ICER - International Centre for Economic Research.
  25. Riccardo Giacomelli & Elisa Luciano, 2011. "Equilibrium price of immediacy and infrequent trade," Carlo Alberto Notebooks 221, Collegio Carlo Alberto, revised 2013.
  26. Elisa Luciano & Luca Regis & Elena Vigna, 2011. "Delta and Gamma hedging of mortality and interest rate risk," ICER Working Papers - Applied Mathematics Series 01-2011, ICER - International Centre for Economic Research.
  27. E. Luciano, 2010. "Business Time and New Credit Risk Models," ICER Working Papers - Applied Mathematics Series 16-2010, ICER - International Centre for Economic Research.
  28. LUCIANO, Elisa & VIGNA, Elena, 2008. "Mortality risk via affine stochastic intensities: calibration and empirical relevance," MPRA Paper 59627, University Library of Munich, Germany.
  29. Elisa Luciano & Giovanna Nicodano, 2008. "Intercorporate guarantees, leverage and taxes," Carlo Alberto Notebooks 95, Collegio Carlo Alberto, revised 2010.
  30. Elisa Luciano & Giovanna Nicodano, 2008. "Ownership links, leverage and credit risk," Carlo Alberto Notebooks 69, Collegio Carlo Alberto, revised 2008.
  31. Elisa Luciano & Patrizia Semeraro, 2008. "A Generalized Normal Mean Variance Mixture for Return Processes in Finance," Carlo Alberto Notebooks 97, Collegio Carlo Alberto, revised 2009.
  32. Elisa Luciano & Patrizia Semeraro, 2008. "Multivariate Variance Gamma and Gaussian dependence: a study with copulas," Carlo Alberto Notebooks 96, Collegio Carlo Alberto.
  33. Elisa Luciano & Luca Regis, 2007. "Bank Efficiency and Banking Sector Development: the Case of Italy," ICER Working Papers - Applied Mathematics Series 5-2007, ICER - International Centre for Economic Research.
  34. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2007. "Modelling stochastic mortality for dependent lives," Carlo Alberto Notebooks 43, Collegio Carlo Alberto.
  35. Elisa Luciano, 2007. "Copula-Based Default Dependence Modelling: Where Do We Stand?," ICER Working Papers - Applied Mathematics Series 21-2007, ICER - International Centre for Economic Research.
  36. Elisa Luciano & Patrizia Semeraro, 2007. "Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators," Carlo Alberto Notebooks 42, Collegio Carlo Alberto.
  37. Elisa Luciano & Patrizia Semeraro, 2007. "Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion," ICER Working Papers - Applied Mathematics Series 42-2007, ICER - International Centre for Economic Research.
  38. Elisa Luciano, 2007. "Copulas and Dependence models in Credit Risk: Diffusions versus Jumps," ICER Working Papers - Applied Mathematics Series 31-2007, ICER - International Centre for Economic Research.
  39. Filippo Fiorani & Elisa Luciano & Patrizia Semeraro, 2007. "Single and joint default in a structural model with purely discontinuous assets," Carlo Alberto Notebooks 41, Collegio Carlo Alberto.
  40. Elisa Luciano & Wim Schoutens, 2006. "A Multivariate Jump-Driven Financial Asset Model," Carlo Alberto Notebooks 29, Collegio Carlo Alberto.
  41. Filippo Fiorani & Elisa Luciano, 2006. "Credit risk in pure jump structural models," ICER Working Papers - Applied Mathematics Series 6-2006, ICER - International Centre for Economic Research.
  42. Elisa Luciano & Elena Vigna, 2006. "Non mean reverting affne processes for stochastic mortality," Carlo Alberto Notebooks 30, Collegio Carlo Alberto.
  43. Elisa Luciano & Elena Vigna, 2005. "A note on stochastic survival probabilities and their calibration," ICER Working Papers - Applied Mathematics Series 1-2005, ICER - International Centre for Economic Research.
  44. Elisa Luciano, 2005. "Calibrating risk-neutral default correlation," ICER Working Papers - Applied Mathematics Series 12-2005, ICER - International Centre for Economic Research.
  45. Umberto Cherubini & Elisa Luciano, 2002. "Multivariate Option Pricing with Copulas," ICER Working Papers - Applied Mathematics Series 05-2002, ICER - International Centre for Economic Research.
  46. Umberto Cherubini & Elisa Luciano, 2002. "Pricing Vulnerable Options with Copulas," ICER Working Papers - Applied Mathematics Series 06-2002, ICER - International Centre for Economic Research.
  47. Luciano, elisa, 1999. "A note on loadings and deductibles: can a vicious circle arise?," MPRA Paper 59636, University Library of Munich, Germany.
  48. Enrico Colombatto & Elisa Luciano & Luca Gargiulo & Pietro Garibaldi & Giuseppe Russo, 1991. "The External Financing of Brazilian Imports (Special Series on Mixed Credits, in Collaboration with ICEPS)," OECD Development Centre Working Papers 46, OECD Publishing.
  49. Bernard Dumas & Elisa Luciano, 1990. "An exact solution to the portfolio choice problem under transactions costs," Working Papers hal-00612308, HAL.
  50. Bernard Dumas & Elisa Luciano, "undated". "An Exact Solution to the Portfolio Choice Problem Under Transactions Costs (Reprint 019)," Rodney L. White Center for Financial Research Working Papers 41-89, Wharton School Rodney L. White Center for Financial Research.

Articles

  1. Behnaz Amerirad & Matteo Cattaneo & Ron S. Kenett & Elisa Luciano, 2023. "Adversarial Artificial Intelligence in Insurance: From an Example to Some Potential Remedies," Risks, MDPI, vol. 11(1), pages 1-17, January.
  2. Luciano, Elisa & Wihlborg, Clas, 2023. "Why are BHCs organized as parent-subsidiaries? How do they grow in value?," Journal of Financial Stability, Elsevier, vol. 67(C).
  3. Luciano, Elisa & Rochet, Jean Charles, 2022. "The fluctuations of insurers’ risk appetite," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
  4. Roberto Fontana & Elisa Luciano & Patrizia Semeraro, 2021. "Model risk in credit risk," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 176-202, January.
  5. De Rosa, Clemente & Luciano, Elisa & Regis, Luca, 2021. "Geographical Diversification And Longevity Risk Mitigation In Annuity Portfolios," ASTIN Bulletin, Cambridge University Press, vol. 51(2), pages 375-410, May.
  6. Bernard Dumas & Elisa Luciano, 2019. "From volatility smiles to the volatility of volatility," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 387-406, December.
  7. David Edmund Allen & Elisa Luciano, 2019. "Risk Analysis and Portfolio Modelling," JRFM, MDPI, vol. 12(4), pages 1-4, September.
  8. Luciano, Elisa & Wihlborg, Clas, 2018. "Financial synergies and systemic risk in the organization of bank affiliates," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 208-224.
  9. Elisa Luciano & Luca Regis & Elena Vigna, 2017. "Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 961-986, September.
  10. Clemente De Rosa & Elisa Luciano & Luca Regis, 2017. "Basis risk in static versus dynamic longevity-risk hedging," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2017(4), pages 343-365, April.
  11. Elisa Luciano & Marina Marena & Patrizia Semeraro, 2016. "Dependence calibration and portfolio fit with factor-based subordinators," Quantitative Finance, Taylor & Francis Journals, vol. 16(7), pages 1037-1052, July.
  12. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2016. "Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities," Risks, MDPI, vol. 4(2), pages 1-18, May.
  13. Elisa Luciano & J François Outreville & Mariacristina Rossi, 2016. "Life Insurance Ownership by Italian Households: A Gender-Based Differences Analysis," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 41(3), pages 468-490, July.
  14. Luciano, Elisa & Regis, Luca, 2014. "Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 68-77.
  15. Elisa Luciano & Giovanna Nicodano, 2014. "Guarantees, Leverage, and Taxes," The Review of Financial Studies, Society for Financial Studies, vol. 27(9), pages 2736-2772.
  16. Jevtić, Petar & Luciano, Elisa & Vigna, Elena, 2013. "Mortality surface by means of continuous time cohort models," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 122-133.
  17. Dhaene, Jan & Kukush, Alexander & Luciano, Elisa & Schoutens, Wim & Stassen, Ben, 2013. "On the (in-)dependence between financial and actuarial risks," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 522-531.
  18. Luciano, Elisa & Regis, Luca & Vigna, Elena, 2012. "Delta–Gamma hedging of mortality and interest rate risk," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 402-412.
  19. Elisa Luciano & Patrizia Semeraro, 2010. "A Generalized Normal Mean-Variance Mixture For Return Processes In Finance," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 415-440.
  20. Filippo Fiorani & Elisa Luciano & Patrizia Semeraro, 2010. "Single and joint default in a structural model with purely discontinuous asset prices," Quantitative Finance, Taylor & Francis Journals, vol. 10(3), pages 249-263.
  21. Luciano, Elisa & Spreeuw, Jaap & Vigna, Elena, 2008. "Modelling stochastic mortality for dependent lives," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 234-244, October.
  22. Elisa Luciano, 2007. "Calibrating risk‐neutral default correlation," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 8(5), pages 450-464, November.
  23. Elisa Luciano & Wim Schoutens, 2006. "A multivariate jump-driven financial asset model," Quantitative Finance, Taylor & Francis Journals, vol. 6(5), pages 385-402.
  24. Umberto Cherubini & Elisa Luciano, 2003. "Pricing Vulnerable Options With Copulas," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 5(1), pages 27-39, April.
  25. Luciano, Elisa & Peccati, Lorenzo & Cifarelli, Donato M., 2003. "VaR as a risk measure for multiperiod static inventory models," International Journal of Production Economics, Elsevier, vol. 81(1), pages 375-384, January.
  26. Luciano, E. & Peccati, L., 2002. "Stationary optimal lengths for the plant renewal problem," International Journal of Production Economics, Elsevier, vol. 78(3), pages 287-293, August.
  27. U. Cherubini & E. Luciano, 2002. "Bivariate option pricing with copulas," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(2), pages 69-85.
  28. Elisa Luciano & Robert Kast, 2001. "A Value at Risk Approach to Background Risk," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 26(2), pages 91-115, September.
  29. Fusai, Gianluca & Luciano, Elisa, 2001. "Dynamic value at risk under optimal and suboptimal portfolio policies," European Journal of Operational Research, Elsevier, vol. 135(2), pages 249-269, December.
  30. Luciano, Elisa & Peccati, Lorenzo, 2001. "Cycles optimization: The equivalent annuity and the NPV approaches," International Journal of Production Economics, Elsevier, vol. 69(1), pages 65-83, January.
  31. Umberto Cherubini & Elisa Luciano, 2001. "Value-at-risk Trade-off and Capital Allocation with Copulas," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 30(2), pages 235-256, July.
  32. Elisa Luciano, 1999. "A Note on Loadings and Deductibles: Can a Vicious Circle Arise?," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 1999(2), pages 157-169.
  33. Luciano, Elisa & Peccati, Lorenzo, 1999. "Some basic problems in inventory theory: The financial perspective," European Journal of Operational Research, Elsevier, vol. 114(2), pages 294-303, April.
  34. Luciano, Elisa & Peccati, Lorenzo, 1999. "Capital structure and inventory management:: The temporary sale price problem," International Journal of Production Economics, Elsevier, vol. 59(1-3), pages 169-178, March.
  35. Elisa Luciano, 1998. "Swap pricing and hedging of general DCFs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 21(1), pages 73-95, June.
  36. Gallo, Paolo & Luciano, Elisa & Peccati, Lorenzo, 1997. "Revision of industrial supply conditions and game theory," International Journal of Production Economics, Elsevier, vol. 49(1), pages 17-28, March.
  37. Elisa Luciano, 1995. "Funzioni di Green per equazioni differenziali ordinarie e applicazioni in finanza," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 18(2), pages 199-227, September.
  38. Dumas, Bernard & Luciano, Elisa, 1991. "An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs," Journal of Finance, American Finance Association, vol. 46(2), pages 577-595, June.
    RePEc:eme:jrfpps:v:8:y:2007:i:5:p:450-464 is not listed on IDEAS

Chapters

  1. Elsa Fornero & Elisa Luciano, 2004. "Introduction," Chapters, in: Elsa Fornero & Elisa Luciano (ed.), Developing an Annuity Market in Europe, chapter 1, pages 1-12, Edward Elgar Publishing.

Books

  1. Dumas, Bernard & Luciano, Elisa, 2017. "The Economics of Continuous-Time Finance," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262036541, April.
  2. Elsa Fornero & Elisa Luciano (ed.), 2004. "Developing an Annuity Market in Europe," Books, Edward Elgar Publishing, number 3181.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 31 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (18) 2003-07-10 2003-07-10 2005-05-07 2005-06-05 2006-11-04 2007-04-09 2007-11-24 2008-02-02 2010-06-26 2012-07-08 2013-01-19 2013-02-16 2013-11-16 2015-04-02 2015-09-18 2019-06-24 2022-03-28 2022-06-20. Author is listed
  2. NEP-HEA: Health Economics (6) 2005-04-16 2005-05-07 2006-11-04 2007-09-24 2007-11-24 2011-06-25. Author is listed
  3. NEP-BAN: Banking (4) 2010-06-26 2013-09-25 2019-06-24 2022-05-02
  4. NEP-CFN: Corporate Finance (3) 2006-11-04 2008-02-02 2013-11-16
  5. NEP-CMP: Computational Economics (3) 2005-04-24 2022-06-20 2023-02-20
  6. NEP-FIN: Finance (3) 2003-07-10 2005-04-16 2005-06-05
  7. NEP-IAS: Insurance Economics (3) 2013-01-19 2017-01-01 2022-03-28
  8. NEP-BIG: Big Data (2) 2022-06-20 2023-02-20
  9. NEP-ECM: Econometrics (2) 2007-11-24 2009-02-14
  10. NEP-FOR: Forecasting (2) 2006-11-04 2012-09-22
  11. NEP-AGE: Economics of Ageing (1) 2015-04-02
  12. NEP-CWA: Central and Western Asia (1) 2022-03-28
  13. NEP-DEM: Demographic Economics (1) 2012-09-22
  14. NEP-DGE: Dynamic General Equilibrium (1) 2022-03-28
  15. NEP-ETS: Econometric Time Series (1) 2013-11-16
  16. NEP-LAM: Central and South America (1) 2013-09-25
  17. NEP-LTV: Unemployment, Inequality and Poverty (1) 2013-09-25
  18. NEP-MST: Market Microstructure (1) 2016-05-28
  19. NEP-NEU: Neuroeconomics (1) 2013-09-25

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