Emilio Russo

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Person:319830

Available identifiers

zbMath Open russo.emilioWikidataQ108505335 ScholiaQ108505335MaRDI QIDQ319830

List of research outcomes





PublicationDate of PublicationType
Fair valuations of insurance policies under multiple risk factors: a flexible lattice approach2024-06-17Paper
Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with conditional value-at-risk (CVaR) constraint2023-12-14Paper
Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods2023-06-12Paper
Lattice-based model for pricing contingent claims under mixed fractional Brownian motion2023-02-16Paper
A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders2022-06-17Paper
A lattice approach to evaluate participating policies in a stochastic interest rate framework2021-02-03Paper
Nested conditional value-at-risk portfolio selection: a model with temporal dependence driven by market-index volatility2019-09-18Paper
A shifted tree model for the efficient evaluation of options with fixed dividends2019-06-18Paper
Computing finite-time survival probabilities using multinomial approximations of risk models2018-07-11Paper
A bivariate model for evaluating equity-linked policies with surrender option2018-07-11Paper
A LATTICE-BASED MODEL FOR EVALUATING BONDS AND INTEREST-SENSITIVE CLAIMS UNDER STOCHASTIC VOLATILITY2018-06-29Paper
A moment-matching method to generate arbitrage-free scenarios2016-10-06Paper
Option pricing under regime-switching jump-diffusion models2015-06-16Paper
Fair Valuation of Equity-Linked Policies under Insurer Default Risk2014-07-19Paper
A multistage stochastic programming approach for capital budgeting problems under uncertainty2013-03-12Paper
ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL2012-10-15Paper
On pricing arithmetic average reset options with multiple reset dates in a lattice framework2011-08-02Paper
A binomial approximation for two-state Markovian HJM models2011-05-27Paper
A binomial model for valuing equity-linked policies embedding surrender options2008-06-25Paper
An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market2007-11-05Paper

Research outcomes over time

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