| Publication | Date of Publication | Type |
|---|
ESG asset demand with information costs
Annals of Finance | 2025-08-27 | Paper |
Model risk in credit risk
Mathematical Finance | 2023-09-27 | Paper |
The fluctuations of insurers' risk appetite
Journal of Economic Dynamics and Control | 2022-12-12 | Paper |
Geographical diversification and longevity risk mitigation in annuity portfolios
ASTIN Bulletin | 2021-09-24 | Paper |
Dependence calibration and portfolio fit with factor-based subordinators
Quantitative Finance | 2021-07-16 | Paper |
From volatility smiles to the volatility of volatility
Decisions in Economics and Finance | 2020-01-31 | Paper |
| scientific article; zbMATH DE number 6971094 (Why is no real title available?) | 2018-11-02 | Paper |
Basis risk in static versus dynamic longevity-risk hedging
Scandinavian Actuarial Journal | 2018-07-13 | Paper |
| scientific article; zbMATH DE number 6811494 (Why is no real title available?) | 2017-11-22 | Paper |
Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
Insurance Mathematics & Economics | 2014-09-22 | Paper |
Mortality surface by means of continuous time cohort models
Insurance Mathematics & Economics | 2014-04-15 | Paper |
On the (in-)dependence between financial and actuarial risks
Insurance Mathematics & Economics | 2014-04-04 | Paper |
Delta-gamma hedging of mortality and interest rate risk
Insurance Mathematics & Economics | 2012-05-11 | Paper |
A generalized normal mean-variance mixture for return processes in finance
International Journal of Theoretical and Applied Finance | 2010-08-11 | Paper |
Modelling stochastic mortality for dependent lives
Insurance Mathematics & Economics | 2010-06-08 | Paper |
Single and joint default in a structural model with purely discontinuous asset prices
Quantitative Finance | 2010-04-23 | Paper |
Multivariate time changes for Lévy asset models: characterization and calibration
Journal of Computational and Applied Mathematics | 2010-01-15 | Paper |
A multivariate jump-driven financial asset model
Quantitative Finance | 2007-05-09 | Paper |
| scientific article; zbMATH DE number 5080942 (Why is no real title available?) | 2006-12-27 | Paper |
Portfolio Value at Risk Bounds
International Transactions in Operational Research | 2004-03-21 | Paper |
A note on adjusting correlation matrices
Applied Mathematical Finance | 2002-09-05 | Paper |
Dynamic value at risk under optimal and suboptimal portfolio policies.
European Journal of Operational Research | 2001-01-01 | Paper |
A Note on Loadings and Deductibles: Can a Vicious Circle Arise?
Scandinavian Actuarial Journal | 2000-11-01 | Paper |
Some basic problems in inventory theory: The financial perspective
European Journal of Operational Research | 1999-08-02 | Paper |
Funzioni di Green per equazioni differenziali ordinarie e applicazioni in finanza
Rivista di Matematica per le Scienze Economiche e Sociali | 1998-11-03 | Paper |
Sulla dinamica dell'allocazione della ricchezza
Rivista di Matematica per le Scienze Economiche e Sociali | 1988-01-01 | Paper |
Rovina, assicurazione e scambi di attività finanziarie
Rivista di Matematica per le Scienze Economiche e Sociali | 1988-01-01 | Paper |
