Elisa Luciano

Available identifiers

zbMath Open luciano.elisaMaRDI QIDQ222736

List of research outcomes

Publication	Date of Publication	Type
Model risk in credit risk	2023-09-27	Paper
The fluctuations of insurers' risk appetite	2022-12-12	Paper
GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS	2021-09-24	Paper
Dependence calibration and portfolio fit with factor-based subordinators	2021-07-16	Paper
From volatility smiles to the volatility of volatility	2020-01-31	Paper
https://portal.mardi4nfdi.de/entity/Q4962323	2018-11-02	Paper
Basis risk in static versus dynamic longevity-risk hedging	2018-07-13	Paper
https://portal.mardi4nfdi.de/entity/Q4593693	2017-11-22	Paper
Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk	2014-09-22	Paper
Mortality surface by means of continuous time cohort models	2014-04-15	Paper
On the (in-)dependence between financial and actuarial risks	2014-04-04	Paper
Delta-gamma hedging of mortality and interest rate risk	2012-05-11	Paper
A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE	2010-08-11	Paper
Modelling stochastic mortality for dependent lives	2010-06-08	Paper
Single and joint default in a structural model with purely discontinuous asset prices	2010-04-23	Paper
Multivariate time changes for Lévy asset models: characterization and calibration	2010-01-15	Paper
A multivariate jump-driven financial asset model	2007-05-09	Paper
https://portal.mardi4nfdi.de/entity/Q3412547	2006-12-27	Paper
Portfolio Value at Risk Bounds	2004-03-21	Paper
A note on adjusting correlation matrices	2002-09-05	Paper
Dynamic value at risk under optimal and suboptimal portfolio policies.	2001-01-01	Paper
A Note on Loadings and Deductibles: Can a Vicious Circle Arise?	2000-11-01	Paper
Some basic problems in inventory theory: The financial perspective	1999-08-02	Paper
Funzioni di Green per equazioni differenziali ordinarie e applicazioni in finanza	1998-11-03	Paper
Sulla dinamica dell'allocazione della ricchezza	1988-01-01	Paper
Rovina, assicurazione e scambi di attività finanziarie	1988-01-01	Paper

Research outcomes over time

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