PUBLICATIONS IN ENGLISH

Books

Papers Published in Peer-Reviewed Journals

  • Basis risk in Static versus dynamic longevity risk hedging, with C. De Rosa and L. Regis, Scandinavian Actuarial Journal, was CCA Notebook 425/2015 (a previous version was 403/2015), 2017 (4), pp.343-365.
  • Cross-generational comparison of stochastic mortality of coupled lives, with J. Spreeuw and E. Vigna, Risks, 2016, 4(2), was Collegio Carlo Alberto Notebook 258/2012 (a previous version appeared as 187/2010), presented at the Afmath Conference 2011, Brussels, February 2011 (poster), at the IME Conference, Trieste, 2011, Copenhagen 2013, at the VII Conference in Actuarial Science and Finance, Samos 2012.
  • Life insurance demand: evidence from Italian households; a micro-economic view and gender issue, with J. F. Outreville, M. Rossi, Geneva Papers on Risk and Insurance, 2016, 41(3), pp 468-490, was Netspar Working paper 2015-05-10, Top ten SSRN Downloads.
  • Dependence calibration and portfolio fit with factor-based time changes, with M. Marena and P. Semeraro, 2016, 16(7), pp 1037-52, Quantitative Finance, was Carlo Alberto Notebook 307/2013.
  • Single and cross-generation natural hedging of longevity and financial risk, with L. Regis and E. Vigna, forthcoming, Journal of Risk and Insurance. Previous versions have been circulated as ICER wp 4/2012 (Math series), ICER wp 21/2011 (Math series), CCA Notebook 257/2012, ISSN 2279-9362. Was top ten SSRN downloads in January, February and November 2012.
  • Guarantees, leverage and taxes, with G. Nicodano, Review of Financial Studies, 27 (9), September 2014, pp. 2736-2772.
  • Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk, with L. Regis, Insurance: Mathematics and Economics, 55C (2014), pp. 68-77.
  • Mortality surfaces by means of continuous-time cohort models, with P. Jevtic and E. Vigna, Insurance: Mathematics and Economics, 53 (1), July 2013, 122-133.
  • A note on the independence between financial and actuarial risks, with J. Dhaene, A. Kukush, W. Schoutens, B. Stassen, Insurance: Mathematics and Economics, 52 (3), May 2013, 522-31.
  • Delta and Gamma hedging of mortality and interest-rate risk, with L. Regis and E. Vigna, Insurance: Mathematics and Economics 50 (3) 2012, 402-412, presented at the AFMath Conference (Brussels, February 2011), at the AXA Longevity Conference (Paris, February 2011), at the Longevity and Capital Market Solutions VIIth Conference (Frankfurt, September 2011), top ten SSRN downloads, March 2011. A preliminary version has been accepted for publication in the Proceedings of the AFMath Conference, i.e. Actuarial and Financial Mathematics Conference "Interplay between finance and Insurance", edited by Michele Vanmaele, Griselda Deelstra, Ann De Schepper, Jan Dhaene, Wim Schoutens & Steven Vanduffel, KONINKLIJKE VLAAMSE ACADEMIE VAN BELGIE VOOR WETENSCHAPPEN EN KUNSTEN, Universa Press, Belgium, 2011.
  • A Generalized Normal Mean Variance Mixture for Return Processes in Finance, with P. Semeraro, International Journal of Theoretical and Applied Finance, 13 (3), May 2010.
  • Multivariate Time Changes for Lèvy Asset Models: characterization and calibration, with P. Semeraro, was Collegio Carlo Alberto Notebook 42/2007, Journal of Computational and Applied Mathematics, 233 (8), February 2010, 1937-53.
  • Single and joint default in a structural model with purely discontinuous assets, with Filippo Fiorani and Patrizia Semeraro, Quantitative Finance, 10 (3), March 2010, pp. 249-264.
  • Mortality risk via affine stochastic intensities: calibration and empirical evidence, with Elena Vigna, Belgian Actuarial Bulletin, 8 (1), 2008, pp. 5-16.
  • Modelling stochastic mortality for dependent lives, with Jaap Spreeuw and Elena Vigna, Insurance: Mathematics and Economics, 43, 2008, pp. 234-244 .
  • Calibrating risk-neutral default correlation, Journal of Risk Finance, 8 (5), 2007, pp. 450-64, winner of the Best paper award, Journal of Risk Finance, 2007.
  • Copulas and dependence models in credit risk: diffusions versus jumps, Statistica Applicata, 18 (4), 2006, pp. 573-588.
  • A multivariate jump-driven financial asset model, with Wim Schoutens, Quantitative Finance, 6(5), October 2006, pp.385-402.
  • Pricing vulnerable options with copulas, with U. Cherubini, Journal of Risk Finance 5 (1), 27-39, 2003.
  • Pricing and hedging credit derivatives with copulas, with U. Cherubini, Economic Notes, 32, 2003, pp. 1-23.
  • VaR as a risk measure for multiperiod static inventory models, with D.M. Cifarelli and L. Peccati, International Journal of Production Economics, 55, 2003, pp. 375-84.
  • Copulae as a new tool in Financial Modelling, with M. Marena, Operational Research: An International Journal, 2, 2002, pp. 139-55.
  • Portfolio Value at Risk Bounds, with M. Marena, International Transactions in Operational Research, 9 (5), 2002, pp. 629-41.
  • Stationary Optimal Lenghts for the Plant Renewal Problem, with L. Peccati, International Journal of Production Economics, 78, 2002, pp. 287-93.
  • Bivariate option pricing with copulas, with U. Cherubini, Applied Mathematical Finance, 9 (2), 2002, pp. 69-86.
  • A Value at Risk Approach to Background Risk, with R. Kast, Geneva Papers on Risk and Insurance Theory, 26 (2), 2001, pp. 91-117.
  • Dynamic value at risk under optimal and suboptimal portfolio policies,, with G. Fusai, European Journal of Operational Research, 135, 2, 2001, pp. 249-69.
  • Value at risk trade-off and capital allocation, with U. Cherubini, Economic Notes, 30 (2), 2001, pp. 235-56.
  • Cycles optimization: the equivalent annuity and the NPV approaches (formerly circulated as On the equivalent annuity principle in some production problems), with L. Peccati, International Journal of Production Economics, 69 (1), 2001, pp. 65-83.
  • Fulfillment of Regulatory Requirements on VAR and Optimal Portfolio Policies, Rivista Internazionale di Scienze Economiche e Commerciali, XLVII, 4, December 2000, pp.579-601.
  • Some Basic Problems in Inventory Theory: the Financial Perspective, with L. Peccati, European Journal of Operational Research, 114, 1999, pp. 294-303.
  • A note on Loadings and Deductibles: can a vicious circle arise?, Scandinavian Actuarial Journal, 1999 (2), pp. 157-69.
  • Capital Structure and Inventory Management: the Temporary Sale Price Problem, with L. Peccati, International Journal of Production Economics, 59 (1), 1998, pp. 169-78.
  • Swap pricing and hedging of general DCFs, Rivista di Matematica Applicata alle Scienze Economiche e Sociali, XXI, 1998, pp.73-95.
  • A Note on the Pricing Solution to Bilateral Monopoly and its Efficiency, in cooperation with L. Peccati, Rivista Internazionale di Scienze Economiche e Commerciali, XLV (3), 1998, pp. 443-62.
  • Revision of Industrial Supply Conditions and Game theory, with P. Gallo and L. Peccati, International Journal of Production Economics, 49, 1997, pp.17-28.
  • On Optimal Insurance Arrangements, in cooperation with L. Peccati, Giornale dell'Istituto Italiano degli Attuari, 59, 1996, pp. 27-37
  • Bond Pricing through Bargaining, in Recent Research in Financial Modelling, ed. by L. Peccati and M. Virèn, Berlin: Physica-Verlag (Springer-Verlag), 1993, pp. 17-23.
  • Market making with noise: the case of a specialist financial market with heterogeneous traders, in Recent Research in Financial Modelling, ed. by E.J. Stokking and G. Zambruno, Heidelberg: Physica-Verlag (Springer-Verlag), 1993, pp. 135-45.
  • Institutionally heterogeneous agents in an imitative stock market, with L. Ferrari and L. Peccati, in Recent Research in Financial Modelling, ed. by E.J. Stokking and G. Zambruno, Heidelberg: Physica-Verlag (Springer-Verlag), 1993, pp. 117-124.
  • A decomposition of random net present values, with L. Peccati, in Recent Research in Financial Modelling, ed. by E.J. Stokking and G. Zambruno, Heidelberg: Physica-Verlag (Springer-Verlag), 1993, pp. 17-23.
  • Bonds Yield in thin markets, in cooperation with L. Peccati, Rendiconti del Comitato per gli Studi Economici, Ca' Foscari, Venice, 29, 1991, pp. 107-115.
  • An exact solution to a dynamic portfolio choice problem with transaction costs, with B. Dumas, Journal of Finance, 46 (2), 1991, pp. 577-595.
  • A new perspective on dynamic portfolio choices, Rivista di Matematica Applicata alle Scienze Economiche e Sociali, 12 (1), 1990, pp. 91-106.

Papers published in refereed collective works

  • Risk-Return Appraisal of Longevity Swaps, with L. Regis, in Guide to Pension and Longevity Risk Transfer for Institutional Investors, Institutional Investor Group, 2014.
  • Multivariate Variance Gamma and Gaussian dependence: a study with copulas, with Patrizia Semeraro, in Mathematical and Statistical Methods for Actuarial Sciences and Finance, ed. by M. Corazza and R. Pizzi, Springer Verlag, 2010.
  • Credit risk and rating assignments with parent-subsidiary links, with Giovanna Nicodano, in FINANCIAL RISKS: New Developments in Structured Product & Credit Derivatives, ed. By Monique Jeanblanc and Christian Gourieroux, 2010.
  • Spark spread options when commodity prices are represented as time-changed processes, in Financial Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy, ed. by H. Geman, J. Wiley, Finance Series 2008.
  • Copula-based default dependence modelling and invariance: where do we stand?, in Credit Risk: Models, Derivatives, and Management, ed. by N. Wagner, Chapman & Hall, Financial Mathematics Series, 2008.
  • Introduction to Developing an annuity market in Europe, with E. Fornero, E. Elgar, 2004.
  • Value at risk bounds for portfolios of non-normal returns, with M. Marena, in New Trends in Banking Management, edited by C. Zopoudinis, Physica-Verlag, 2003, pp. 207-222.
  • Copula vulnerability, with U. Cherubini, in Credit Risk Modelling, London: Risk Books, 2003.

Papers published in refereed proceedings

  • Demographic Risk Transfer: is it worth for annuity providers?, with L. Regis (extended abstract), in Interplay between Finance and Insurance - Actuarial Financial Mathematics Conference, M. Vanmaele, G. Deelstra, A. De Schepper, J. Dhaene, W. Schoutens, S. Vanduffel (Eds.), 2013.
  • Mortality surfaces by means of continuous-time cohort models, with P. Jevtic and E. Vigna, (extended abstract), to appear in Interplay between Finance and Insurance - Actuarial Financial Mathematics Conference, ed. by M. Vanmaele, G. Deelstra, A. De Schepper, J. Dhaene, W. Schoutens, S. Vanduffel, 2013, to appear.
  • Delta and Gamma hedging of mortality and interest-rate risk, with L. Regis and E. Vigna, (extended abstract), Interplay between Finance and Insurance - Actuarial Financial Mathematics Conference, ed. by M. Vanmaele, G. Deelstra, A. De Schepper, J. Dhaene, W. Schoutens, S. Vanduffel, 2011, pp. 61-68, ISSN 9789065690876.
  • Cross-generational comparison of stochastic mortality of coupled lives, with J. Spreeuw and E. Vigna, Interplay between Finance and Insurance - Actuarial Financial Mathematics Conference, ed. by M. Vanmaele, G. Deelstra, A. De Schepper, J. Dhaene, W. Schoutens, S. Vanduffel, 2011, pp. 101-106, ISSN 9789065690876.
  • Value at Risk for Inventory Models, Proceedings of the X International Symposium on Inventories, Budapest, August 1998.
  • Optimal Design of Premium Schedules in a Bilateral Setting, in Proceedings of the International Congress of Actuaries, Birmingham, 1998.
  • Bid-ask Portfolio Choice and Option Pricing, in cooperation with B. Dumas, Financial Markets Developments and Reforms, Foundation HEC, vol. D, 1988.

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