elisa luciano
Names
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elisa |
| last: |
luciano |
Identifer
Contact
Affiliations
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Università degli Studi di Torino
/ Collegio Carlo Alberto (weight: 50%)
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Università degli Studi di Torino
/ Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche (weight: 50%)
Research profile
author of:
- Model Risk in Credit Risk (RePEc:arx:papers:1906.06164)
by Roberto Fontana & Elisa Luciano & Patrizia Semeraro - Machine learning techniques in joint default assessment (RePEc:arx:papers:2205.01524)
by Margherita Doria & Elisa Luciano & Patrizia Semeraro - Adversarial AI in Insurance: Pervasiveness and Resilience (RePEc:arx:papers:2301.07520)
by Elisa Luciano & Matteo Cattaneo & Ron Kenett - Value-at-risk Trade-off and Capital Allocation with Copulas (RePEc:bla:ecnote:v:30:y:2001:i:2:p:235-256)
by Umberto Cherubini & Elisa Luciano - An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs (RePEc:bla:jfinan:v:46:y:1991:i:2:p:577-95)
by Dumas, Bernard & Luciano, Elisa - Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk (RePEc:bla:jrinsu:v:84:y:2017:i:3:p:961-986)
by Elisa Luciano & Luca Regis & Elena Vigna - Model risk in credit risk (RePEc:bla:mathfi:v:31:y:2021:i:1:p:176-202)
by Roberto Fontana & Elisa Luciano & Patrizia Semeraro - Equilibrium price of immediacy and infrequent trade (RePEc:cca:wpaper:221)
by Riccardo Giacomelli & Elisa Luciano - Single and cross-generation natural hedging of longevity and financial risk (RePEc:cca:wpaper:257)
by Elisa Luciano & Luca Regis & Elena Vigna - Evolution of coupled lives' dependency across generations and pricing impact (RePEc:cca:wpaper:258)
by Elisa Luciano & Jaap Spreeuw & Elena Vigna - Mortality Surface by Means of Continuous Time Cohort Models (RePEc:cca:wpaper:264)
by Petar Jevtic & Elisa Luciano & Elena Vigna - Default risk in business groups (RePEc:cca:wpaper:283)
by Elisa Luciano & Giovanna Nicodano - A Multivariate Jump-Driven Financial Asset Model (RePEc:cca:wpaper:29)
by Elisa Luciano & Wim Schoutens - Non mean reverting affne processes for stochastic mortality (RePEc:cca:wpaper:30)
by Elisa Luciano & Elena Vigna - Dependence Calibration and Portfolio Fit with FactorBased Time Changes (RePEc:cca:wpaper:307)
by Elisa Luciano & Marina Marena & Patrizia Semeraro - Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk (RePEc:cca:wpaper:308)
by Elisa Luciano & Luca Regis - Financial synergies and the Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency (RePEc:cca:wpaper:322)
by Elisa Luciano & Clas Wihlborg - Static versus dynamic longevity-risk hedging (RePEc:cca:wpaper:403)
by Clemente De Rosa & Elisa Luciano & Luca Regis - Single and joint default in a structural model with purely discontinuous assets (RePEc:cca:wpaper:41)
by Filippo Fiorani & Elisa Luciano & Patrizia Semeraro - Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators (RePEc:cca:wpaper:42)
by Elisa Luciano & Patrizia Semeraro - Basis risk in static versus dynamic longevity-risk hedging (RePEc:cca:wpaper:425)
by Clemente De Rosa & Elisa Luciano & Luca Regis - Modelling stochastic mortality for dependent lives (RePEc:cca:wpaper:43)
by Elisa Luciano & Jaap Spreeuw & Elena Vigna - Equilibrium bid-ask spread and infrequent trade with outside options (RePEc:cca:wpaper:445)
by Elisa Luciano & Riccardo Giacomelli - Are information and portfolio diversification substitutes or complements? (RePEc:cca:wpaper:456)
by Elisa Luciano & Antonella Tolomeo - Equilibrium bid-ask spreads and the effect of competitive trading delays (RePEc:cca:wpaper:467)
by Elisa Luciano & Antonella Tolomeo - Geographical diversification and longevity risk mitigation in annuity portfolios (RePEc:cca:wpaper:546)
by Clemente De Rosa & Elisa Luciano & Luca Regis - Risk Appetite Fluctuations in the Insurance Industry (RePEc:cca:wpaper:666)
by Elisa Luciano & Jean Charles Rochet - A new dimension of bank complexity: rescue agreements and default contamination (RePEc:cca:wpaper:671)
by Elisa Luciano & Clas Wihlborg - Ownership links, leverage and credit risk (RePEc:cca:wpaper:69)
by Elisa Luciano & Giovanna Nicodano - Intercorporate guarantees, leverage and taxes (RePEc:cca:wpaper:95)
by Elisa Luciano & Giovanna Nicodano - Multivariate Variance Gamma and Gaussian dependence: a study with copulas (RePEc:cca:wpaper:96)
by Elisa Luciano & Patrizia Semeraro - A Generalized Normal Mean Variance Mixture for Return Processes in Finance (RePEc:cca:wpaper:97)
by Elisa Luciano & Patrizia Semeraro - Financial Inclusion and Life Insurance Demand; Evidence from Italian households (RePEc:crp:wpaper:156)
by Elisa Luciano & Mariacristina Rossi & Dario Sansone - “Information effects in longevity-linked vs purely financial portfolios” (RePEc:crp:wpaper:160)
by Elisa Luciano & Antonella Tolomeo - Modelling Stochastic Mortality for Dependent Lives (RePEc:crp:wpaper:58)
by Elisa Luciano & Jaap Spreeuw & Elena Vigna - Geographical Diversification And Longevity Risk Mitigation In Annuity Portfolios (RePEc:cup:astinb:v:51:y:2021:i:2:p:375-410_2)
by De Rosa, Clemente & Luciano, Elisa & Regis, Luca - The fluctuations of insurers’ risk appetite (RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002469)
by Luciano, Elisa & Rochet, Jean Charles - Some basic problems in inventory theory: The financial perspective (RePEc:eee:ejores:v:114:y:1999:i:2:p:294-303)
by Luciano, Elisa & Peccati, Lorenzo - Dynamic value at risk under optimal and suboptimal portfolio policies (RePEc:eee:ejores:v:135:y:2001:i:2:p:249-269)
by Fusai, Gianluca & Luciano, Elisa - Why are BHCs organized as parent-subsidiaries? How do they grow in value? (RePEc:eee:finsta:v:67:y:2023:i:c:s1572308923000554)
by Luciano, Elisa & Wihlborg, Clas - Modelling stochastic mortality for dependent lives (RePEc:eee:insuma:v:43:y:2008:i:2:p:234-244)
by Luciano, Elisa & Spreeuw, Jaap & Vigna, Elena - Delta–Gamma hedging of mortality and interest rate risk (RePEc:eee:insuma:v:50:y:2012:i:3:p:402-412)
by Luciano, Elisa & Regis, Luca & Vigna, Elena - On the (in-)dependence between financial and actuarial risks (RePEc:eee:insuma:v:52:y:2013:i:3:p:522-531)
by Dhaene, Jan & Kukush, Alexander & Luciano, Elisa & Schoutens, Wim & Stassen, Ben - Mortality surface by means of continuous time cohort models (RePEc:eee:insuma:v:53:y:2013:i:1:p:122-133)
by Jevtić, Petar & Luciano, Elisa & Vigna, Elena - Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk (RePEc:eee:insuma:v:55:y:2014:i:c:p:68-77)
by Luciano, Elisa & Regis, Luca - Financial synergies and systemic risk in the organization of bank affiliates (RePEc:eee:jbfina:v:88:y:2018:i:c:p:208-224)
by Luciano, Elisa & Wihlborg, Clas - Revision of industrial supply conditions and game theory (RePEc:eee:proeco:v:49:y:1997:i:1:p:17-28)
by Gallo, Paolo & Luciano, Elisa & Peccati, Lorenzo - Capital structure and inventory management:: The temporary sale price problem (RePEc:eee:proeco:v:59:y:1999:i:1-3:p:169-178)
by Luciano, Elisa & Peccati, Lorenzo - Cycles optimization: The equivalent annuity and the NPV approaches (RePEc:eee:proeco:v:69:y:2001:i:1:p:65-83)
by Luciano, Elisa & Peccati, Lorenzo - Stationary optimal lengths for the plant renewal problem (RePEc:eee:proeco:v:78:y:2002:i:3:p:287-293)
by Luciano, E. & Peccati, L. - VaR as a risk measure for multiperiod static inventory models (RePEc:eee:proeco:v:81-82:y:2003:i:1:p:375-384)
by Luciano, Elisa & Peccati, Lorenzo & Cifarelli, Donato M. - Developing an Annuity Market in Europe (RePEc:elg:eebook:3181)
by None - Introduction (RePEc:elg:eechap:3181_1)
by Elsa Fornero & Elisa Luciano - Calibrating risk‐neutral default correlation (RePEc:eme:jrfpps:15265940710834744)
by Elisa Luciano - Pricing Vulnerable Options With Copulas (RePEc:eme:jrfpps:eb022977)
by Umberto Cherubini & Elisa Luciano - Unknown item RePEc:eme:jrfpps:v:8:y:2007:i:5:p:450-464 (article)
- An Exact Solution to the Portfolio Choice Problem Under Transactions Costs (Reprint 019) (RePEc:fth:pennfi:41-89)
by Bernard Dumas & Elisa Luciano - Risk Analysis and Portfolio Modelling (RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:154-:d:269386)
by David Edmund Allen & Elisa Luciano - Adversarial Artificial Intelligence in Insurance: From an Example to Some Potential Remedies (RePEc:gam:jrisks:v:11:y:2023:i:1:p:20-:d:1032785)
by Behnaz Amerirad & Matteo Cattaneo & Ron S. Kenett & Elisa Luciano - Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities (RePEc:gam:jrisks:v:4:y:2016:i:2:p:16-:d:70862)
by Elisa Luciano & Jaap Spreeuw & Elena Vigna - The Fluctuations of Insurers’ Risk Appetite (RePEc:hal:journl:hal-04052327)
by Elisa Luciano & Jean-Charles Rochet - An exact solution to the portfolio choice problem under transactions costs (RePEc:hal:wpaper:hal-00612308)
by Bernard Dumas & Elisa Luciano - Single and cross-generation natural hedging of longevity and financial risk (RePEc:icr:wpicer:04-2012)
by Elisa Luciano & Luca Regis & Elena Vigna - The Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency (RePEc:icr:wpicer:06-2013)
by Elisa Luciano & Clas Wihlborg - Demographic risk transfer: is it worth for annuity providers? (RePEc:icr:wpicer:11-2012)
by Elisa Luciano & Luca Regis - Delta and Gamma hedging of mortality and interest rate risk (RePEc:icr:wpmath:01-2011)
by Elisa Luciano & Luca Regis & Elena Vigna - Multivariate Option Pricing with Copulas (RePEc:icr:wpmath:05-2002)
by Umberto Cherubini & Elisa Luciano - Pricing Vulnerable Options with Copulas (RePEc:icr:wpmath:06-2002)
by Umberto Cherubini & Elisa Luciano - A note on stochastic survival probabilities and their calibration (RePEc:icr:wpmath:1-2005)
by Elisa Luciano & Elena Vigna - Calibrating risk-neutral default correlation (RePEc:icr:wpmath:12-2005)
by Elisa Luciano - Business Time and New Credit Risk Models (RePEc:icr:wpmath:16-2010)
by E. Luciano - Copula-Based Default Dependence Modelling: Where Do We Stand? (RePEc:icr:wpmath:21-2007)
by Elisa Luciano - Natural delta gamma hedging of longevity and interest rate risk (RePEc:icr:wpmath:21-2011)
by Elisa Luciano & Luca Regis & Elena Vigna - Copulas and Dependence models in Credit Risk: Diffusions versus Jumps (RePEc:icr:wpmath:31-2007)
by Elisa Luciano - Non mean reverting affine processes for stochastic mortality (RePEc:icr:wpmath:4-2005)
by Elisa Luciano & Elena Vigna - Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion (RePEc:icr:wpmath:42-2007)
by Elisa Luciano & Patrizia Semeraro - A note on stochastic survival probabilities and their calibration (RePEc:icr:wpmath:5-2006)
by Elisa Luciano & Jaap Spreeuw & Elena Vigna - Bank Efficiency and Banking Sector Development: the Case of Italy (RePEc:icr:wpmath:5-2007)
by Elisa Luciano & Luca Regis - A Multivariate Jump-Driven Financial Asset Model (RePEc:icr:wpmath:6-2005)
by Elisa Luciano & Wim Schoutens - Credit risk in pure jump structural models (RePEc:icr:wpmath:6-2006)
by Filippo Fiorani & Elisa Luciano - The Economics of Continuous-Time Finance (RePEc:mtp:titles:0262036541)
by Dumas, Bernard & Luciano, Elisa - The External Financing of Brazilian Imports (Special Series on Mixed Credits, in Collaboration with ICEPS) (RePEc:oec:devaaa:46-en)
by Enrico Colombatto & Elisa Luciano & Luca Gargiulo & Pietro Garibaldi & Giuseppe Russo - Guarantees, Leverage, and Taxes (RePEc:oup:rfinst:v:27:y:2014:i:9:p:2736-2772.)
by Elisa Luciano & Giovanna Nicodano - A Value at Risk Approach to Background Risk (RePEc:pal:genrir:v:26:y:2001:i:2:p:91-115)
by Elisa Luciano & Robert Kast - Life Insurance Ownership by Italian Households: A Gender-Based Differences Analysis (RePEc:pal:gpprii:v:41:y:2016:i:3:p:468-490)
by Elisa Luciano & J François Outreville & Mariacristina Rossi - Mortality risk via affine stochastic intensities: calibration and empirical relevance (RePEc:pra:mprapa:59627)
by LUCIANO, Elisa & VIGNA, Elena - A note on loadings and deductibles: can a vicious circle arise? (RePEc:pra:mprapa:59636)
by Luciano, elisa - Copulas and dependence models in credit risk: diffusions versus jumps (RePEc:pra:mprapa:59638)
by Luciano, Elisa - Funzioni di Green per equazioni differenziali ordinarie e applicazioni in finanza (RePEc:spr:decfin:v:18:y:1995:i:2:p:199-227)
by Elisa Luciano - Swap pricing and hedging of general DCFs (RePEc:spr:decfin:v:21:y:1998:i:1:p:73-95)
by Elisa Luciano - From volatility smiles to the volatility of volatility (RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00263-w)
by Bernard Dumas & Elisa Luciano - Bivariate option pricing with copulas (RePEc:taf:apmtfi:v:9:y:2002:i:2:p:69-85)
by U. Cherubini & E. Luciano - Single and joint default in a structural model with purely discontinuous asset prices (RePEc:taf:quantf:v:10:y:2010:i:3:p:249-263)
by Filippo Fiorani & Elisa Luciano & Patrizia Semeraro - Dependence calibration and portfolio fit with factor-based subordinators (RePEc:taf:quantf:v:16:y:2016:i:7:p:1037-1052)
by Elisa Luciano & Marina Marena & Patrizia Semeraro - A multivariate jump-driven financial asset model (RePEc:taf:quantf:v:6:y:2006:i:5:p:385-402)
by Elisa Luciano & Wim Schoutens - A Note on Loadings and Deductibles: Can a Vicious Circle Arise? (RePEc:taf:sactxx:v:1999:y:1999:i:2:p:157-169)
by Elisa Luciano - Basis risk in static versus dynamic longevity-risk hedging (RePEc:taf:sactxx:v:2017:y:2017:i:4:p:343-365)
by Clemente De Rosa & Elisa Luciano & Luca Regis - A Generalized Normal Mean-Variance Mixture For Return Processes In Finance (RePEc:wsi:ijtafx:v:13:y:2010:i:03:n:s0219024910005838)
by Elisa Luciano & Patrizia Semeraro