Corso di Laurea in Matematica

Pubblicazioni

Pubblicazioni selezionate

1. "Optimal life-cycle labour supply, consumption, and investment: the role of longevity-linked assets", (2020), Journal of Banking and Finance 120, with F. Menoncin.

2. “A trade-off theory of ownership and capital structure“, (2019), Journal of Financial Economics 131, 715-735, with G. Nicodano.

3. “Communities and regularities in the behavior of investment fund managers“, (2019), Proceedings of the National Academy of Sciences of the United States of America 116 (14) 6569-6574, with A. Flori, F. Pammolli, S. Buldyrev and Eugene H. Stanley.

4. A continuous-time stochastic model for the mortality surface of multiple populations, (2019), Insurance: Mathematics and Economics 88, 181-195, with P. Jevtic.

5. International longevity risk pooling“, (2018), in Mathematical and Statistical Methods for Actuarial Sciences and Finance MAF 2018, Perna, C., Sibillo, M., Corazza, M., Durban, M. and Grané, A. (Eds.), Springer, with C. De Rosa and E. Luciano.

6. “Longevity-linked assets and pre-retirment consumption/portfolio decisions“, (2017), Insurance: Mathematics and Economics, 76, 75-86, with F. Menoncin.

7. “Single and cross-generation natural hedging of longevity and financial risk” (2017), Journal of Risk and Insurance, 84, 3, 961-986, with E. Luciano and E. Vigna.

8. “Basis risk in static versus dynamic longevity risk hedging“, (2017), Scandinavian Actuarial Journal, 17, 4, 343-365, with C. De Rosa and E. Luciano.

9. “Assessing the solvency of insurance portfolios via a continuous time cohort model“, (2015), Insurance: Mathematics and Economics, 61, 36-47, with P. Jevtic.

10. “Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk“, (2014), Insurance: Mathematics and Economics, 55, 68-77, with E. Luciano.

11. “Risk return appraisal of longevity swaps”, (2014), in Institutional Investor Guide to Pension & Longevity Risk Transfer, Institutional Investor Journals, Fall 2014, 1, 99-108, with E. Luciano.

12. “Delta-Gamma Hedging of Mortality and Interest Rate Risk“, (2012) Insurance: Mathematics and Economics, 50, 402-412, 2012, with E. Luciano and E. Vigna.

13. “Good and Bad Banks”, (2012) in Mathematical and Satistical Methods for Actuarial Sciences and Finance, Perna Cira, Sibillo Marilena, eds., Springer.

14. “Dynamic hedging of life insurance reserves”, (2012), in Actuarial and Financial Mathematics Conference – Interplay between Finance and Insurance February 10-11, 2011, Michèle Vanmaele, Griselda Deelstra, Ann De Schepper, Jan Dhaene, Wim Schoutens & Steven Vanduffel (Eds.).

15. “A Bayesian copula model for Claims Reserving”, (2011), Actuarial and Financial Mathematics Conference – Interplay between Finance and Insurance February 10-11, 2011, Michèle Vanmaele, Griselda Deelstra, Ann De Schepper, Jan Dhaene, Wim Schoutens & Steven Vanduffel (Eds.).

Corsi di insegnamento

• ADDITIONAL IT TRAINING (SEM0046)
  Quantitative Finance and Insurance
• Matematica Finanziaria e Attuariale (INT0415)
  Corso di Laurea in Matematica per la Finanza e l'Assicurazione
• QUANTITATIVE RISK MANAGEMENT (SEM0088)
  Quantitative Finance and Insurance

Progetti di ricerca

• Longevity risk modeling with spatial effects
• Scelte di finanziamento e payout policy

Organi

• Consiglio - Dipartimento di Scienze economico-sociali e matematico-statistiche
• Giunta - Dipartimento di Scienze economico-sociali e matematico-statistiche

• Program Committee - Quantitative Finance and Insurance

Ricevimento studenti