Details about Elisa Luciano

Homepage:	http://sites.carloalberto.org/luciano/
Workplace:	Collegio Carlo Alberto (Carlo Alberto College), Università degli Studi di Torino (University of Turin), (more information at EDIRC) Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche (Department of Economics, Social Studies, Applied Mathematics and Statistics), Università degli Studi di Torino (University of Turin), (more information at EDIRC)

Access statistics for papers by Elisa Luciano.

Last updated 2024-03-07. Update your information in the RePEc Author Service.

Short-id: plu86

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Working Papers

2024

1. ESG asset demand with information costs
   Carlo Alberto Notebooks, Collegio Carlo Alberto
2. Machine Learning techniques in joint default assessment
   Carlo Alberto Notebooks, Collegio Carlo Alberto
   Also in Papers, arXiv.org (2023) View citations (1)
3. Optimal Fees and Equilibrium in Crypto Markets
   Carlo Alberto Notebooks, Collegio Carlo Alberto

2023

4. Adversarial AI in Insurance: Pervasiveness and Resilience
   Papers, arXiv.org

2022

5. A new dimension of bank complexity: rescue agreements and default contamination
   Carlo Alberto Notebooks, Collegio Carlo Alberto
6. The Fluctuations of Insurers’ Risk Appetite
   Post-Print, HAL
   See also Journal Article The fluctuations of insurers’ risk appetite, Journal of Economic Dynamics and Control, Elsevier (2022) (2022)

2021

7. Risk Appetite Fluctuations in the Insurance Industry
   Carlo Alberto Notebooks, Collegio Carlo Alberto

2019

8. Geographical diversification and longevity risk mitigation in annuity portfolios
   Carlo Alberto Notebooks, Collegio Carlo Alberto
   See also Journal Article GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS, ASTIN Bulletin, Cambridge University Press (2021) View citations (1) (2021)
9. Model Risk in Credit Risk
   Papers, arXiv.org
   See also Journal Article Model risk in credit risk, Mathematical Finance, Wiley Blackwell (2021) View citations (4) (2021)

2016

10. Are information and portfolio diversification substitutes or complements?
    Carlo Alberto Notebooks, Collegio Carlo Alberto
11. Equilibrium bid-ask spread and infrequent trade with outside options
    Carlo Alberto Notebooks, Collegio Carlo Alberto
12. Equilibrium bid-ask spreads and the effect of competitive trading delays
    Carlo Alberto Notebooks, Collegio Carlo Alberto
13. Financial Inclusion and Life Insurance Demand; Evidence from Italian households
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) View citations (5)
14. Information effects in longevity-linked vs purely financial portfolios
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) View citations (1)

2015

15. Basis risk in static versus dynamic longevity-risk hedging
    Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (1)
    See also Journal Article Basis risk in static versus dynamic longevity-risk hedging, Scandinavian Actuarial Journal, Taylor & Francis Journals (2017) (2017)
16. Dependence Calibration and Portfolio Fit with FactorBased Time Changes
    Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (7)
17. Static versus dynamic longevity-risk hedging
    Carlo Alberto Notebooks, Collegio Carlo Alberto

2014

18. Financial synergies and the Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency
    Carlo Alberto Notebooks, Collegio Carlo Alberto

2013

19. Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
    Carlo Alberto Notebooks, Collegio Carlo Alberto
    See also Journal Article Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk, Insurance: Mathematics and Economics, Elsevier (2014) View citations (4) (2014)
20. Equilibrium price of immediacy and infrequent trade
    Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (1)
21. Mortality Surface by Means of Continuous Time Cohort Models
    Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (21)
    See also Journal Article Mortality surface by means of continuous time cohort models, Insurance: Mathematics and Economics, Elsevier (2013) View citations (20) (2013)
22. The Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency
    ICER Working Papers, ICER - International Centre for Economic Research View citations (1)

2012

23. Default risk in business groups
    Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (2)
24. Demographic risk transfer: is it worth for annuity providers?
    ICER Working Papers, ICER - International Centre for Economic Research
25. Evolution of coupled lives' dependency across generations and pricing impact
    Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (2)
26. Natural delta gamma hedging of longevity and interest rate risk
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research View citations (1)
27. Single and cross-generation natural hedging of longevity and financial risk
    ICER Working Papers, ICER - International Centre for Economic Research View citations (12)
    Also in Carlo Alberto Notebooks, Collegio Carlo Alberto (2012) View citations (8)
    See also Journal Article Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk, Journal of Risk & Insurance, The American Risk and Insurance Association (2017) View citations (12) (2017)

2011

28. Delta and Gamma hedging of mortality and interest rate risk
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research View citations (4)

2010

29. Business Time and New Credit Risk Models
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research
30. Intercorporate guarantees, leverage and taxes
    Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (2)

2009

31. A Generalized Normal Mean Variance Mixture for Return Processes in Finance
    Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (5)
    See also Journal Article A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2010) View citations (9) (2010)

2008

32. Mortality risk via affine stochastic intensities: calibration and empirical relevance
    MPRA Paper, University Library of Munich, Germany View citations (60)
33. Multivariate Variance Gamma and Gaussian dependence: a study with copulas
    Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (2)
34. Ownership links, leverage and credit risk
    Carlo Alberto Notebooks, Collegio Carlo Alberto

2007

35. Bank Efficiency and Banking Sector Development: the Case of Italy
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research View citations (5)
36. Copula-Based Default Dependence Modelling: Where Do We Stand?
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research View citations (1)
37. Copulas and Dependence models in Credit Risk: Diffusions versus Jumps
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research
    Also in MPRA Paper, University Library of Munich, Germany (2006)
38. Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators
    Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (4)
39. Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research
40. Modelling Stochastic Mortality for Dependent Lives
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy)
    Also in Carlo Alberto Notebooks, Collegio Carlo Alberto (2007) View citations (6)
    See also Journal Article Modelling stochastic mortality for dependent lives, Insurance: Mathematics and Economics, Elsevier (2008) View citations (34) (2008)
41. Single and joint default in a structural model with purely discontinuous assets
    Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (5)

2006

42. A Multivariate Jump-Driven Financial Asset Model
    Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (49)
    Also in ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research (2005) View citations (10)
    See also Journal Article A multivariate jump-driven financial asset model, Quantitative Finance, Taylor & Francis Journals (2006) View citations (47) (2006)
43. A note on stochastic survival probabilities and their calibration
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research
    Also in ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research (2005) View citations (1)
44. Credit risk in pure jump structural models
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research View citations (3)
45. Non mean reverting affne processes for stochastic mortality
    Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (1)
    Also in ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research (2005) View citations (40)

2005

46. Calibrating risk-neutral default correlation
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research View citations (1)
    See also Journal Article Calibrating risk‐neutral default correlation, Journal of Risk Finance, Emerald Group Publishing Limited (2007) (2007)

2002

47. Multivariate Option Pricing with Copulas
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research View citations (23)
48. Pricing Vulnerable Options with Copulas
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research View citations (13)
    See also Journal Article Pricing Vulnerable Options With Copulas, Journal of Risk Finance, Emerald Group Publishing Limited (2003) (2003)

1999

49. A note on loadings and deductibles: can a vicious circle arise?
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article A Note on Loadings and Deductibles: Can a Vicious Circle Arise?, Scandinavian Actuarial Journal, Taylor & Francis Journals (1999) (1999)

1991

50. The External Financing of Brazilian Imports (Special Series on Mixed Credits, in Collaboration with ICEPS)
    OECD Development Centre Working Papers, OECD Publishing

1990

51. An exact solution to the portfolio choice problem under transactions costs
    Working Papers, HAL View citations (2)

Undated

52. An Exact Solution to the Portfolio Choice Problem Under Transactions Costs (Reprint 019)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)

Journal Articles

2023

1. Adversarial Artificial Intelligence in Insurance: From an Example to Some Potential Remedies
   Risks, 2023, 11, (1), 1-17
2. Why are BHCs organized as parent-subsidiaries? How do they grow in value?
   Journal of Financial Stability, 2023, 67, (C) View citations (2)

2022

3. The fluctuations of insurers’ risk appetite
   Journal of Economic Dynamics and Control, 2022, 144, (C)
   See also Working Paper The Fluctuations of Insurers’ Risk Appetite, Post-Print (2022) (2022)

2021

4. GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS
   ASTIN Bulletin, 2021, 51, (2), 375-410 View citations (1)
   See also Working Paper Geographical diversification and longevity risk mitigation in annuity portfolios, Carlo Alberto Notebooks (2019) (2019)
5. Model risk in credit risk
   Mathematical Finance, 2021, 31, (1), 176-202 View citations (4)
   See also Working Paper Model Risk in Credit Risk, Papers (2019) (2019)

2019

6. From volatility smiles to the volatility of volatility
   Decisions in Economics and Finance, 2019, 42, (2), 387-406 View citations (2)
7. Risk Analysis and Portfolio Modelling
   JRFM, 2019, 12, (4), 1-4 View citations (3)

2018

8. Financial synergies and systemic risk in the organization of bank affiliates
   Journal of Banking & Finance, 2018, 88, (C), 208-224 View citations (7)

2017

9. Basis risk in static versus dynamic longevity-risk hedging
   Scandinavian Actuarial Journal, 2017, 2017, (4), 343-365
   See also Working Paper Basis risk in static versus dynamic longevity-risk hedging, Carlo Alberto Notebooks (2015) View citations (1) (2015)
10. Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk
    Journal of Risk & Insurance, 2017, 84, (3), 961-986 View citations (12)
    See also Working Paper Single and cross-generation natural hedging of longevity and financial risk, ICER Working Papers (2012) View citations (12) (2012)

2016

11. Dependence calibration and portfolio fit with factor-based subordinators
    Quantitative Finance, 2016, 16, (7), 1037-1052 View citations (11)
12. Life Insurance Ownership by Italian Households: A Gender-Based Differences Analysis
    The Geneva Papers on Risk and Insurance - Issues and Practice, 2016, 41, (3), 468-490 View citations (9)
13. Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities
    Risks, 2016, 4, (2), 1-18 View citations (6)

2014

14. Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
    Insurance: Mathematics and Economics, 2014, 55, (C), 68-77 View citations (4)
    See also Working Paper Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk, Carlo Alberto Notebooks (2013) (2013)
15. Guarantees, Leverage, and Taxes
    The Review of Financial Studies, 2014, 27, (9), 2736-2772 View citations (27)

2013

16. Mortality surface by means of continuous time cohort models
    Insurance: Mathematics and Economics, 2013, 53, (1), 122-133 View citations (20)
    See also Working Paper Mortality Surface by Means of Continuous Time Cohort Models, Carlo Alberto Notebooks (2013) View citations (21) (2013)
17. On the (in-)dependence between financial and actuarial risks
    Insurance: Mathematics and Economics, 2013, 52, (3), 522-531 View citations (17)

2012

18. Delta–Gamma hedging of mortality and interest rate risk
    Insurance: Mathematics and Economics, 2012, 50, (3), 402-412 View citations (31)

2010

19. A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE
    International Journal of Theoretical and Applied Finance (IJTAF), 2010, 13, (03), 415-440 View citations (9)
    See also Working Paper A Generalized Normal Mean Variance Mixture for Return Processes in Finance, Carlo Alberto Notebooks (2009) View citations (5) (2009)
20. Single and joint default in a structural model with purely discontinuous asset prices
    Quantitative Finance, 2010, 10, (3), 249-263 View citations (7)

2008

21. Modelling stochastic mortality for dependent lives
    Insurance: Mathematics and Economics, 2008, 43, (2), 234-244 View citations (34)
    See also Working Paper Modelling Stochastic Mortality for Dependent Lives, CeRP Working Papers (2007) (2007)

2007

22. Calibrating risk‐neutral default correlation
    Journal of Risk Finance, 2007, 8, (5), 450-464
    See also Working Paper Calibrating risk-neutral default correlation, ICER Working Papers - Applied Mathematics Series (2005) View citations (1) (2005)

2006

23. A multivariate jump-driven financial asset model
    Quantitative Finance, 2006, 6, (5), 385-402 View citations (47)
    See also Working Paper A Multivariate Jump-Driven Financial Asset Model, Carlo Alberto Notebooks (2006) View citations (49) (2006)

2003

24. Pricing Vulnerable Options With Copulas
    Journal of Risk Finance, 2003, 5, (1), 27-39
    See also Working Paper Pricing Vulnerable Options with Copulas, ICER Working Papers - Applied Mathematics Series (2002) View citations (13) (2002)
25. VaR as a risk measure for multiperiod static inventory models
    International Journal of Production Economics, 2003, 81-82, (1), 375-384 View citations (19)

2002

26. Bivariate option pricing with copulas
    Applied Mathematical Finance, 2002, 9, (2), 69-85 View citations (43)
27. Stationary optimal lengths for the plant renewal problem
    International Journal of Production Economics, 2002, 78, (3), 287-293

2001

28. A Value at Risk Approach to Background Risk
    The Geneva Risk and Insurance Review, 2001, 26, (2), 91-115 View citations (4)
29. Cycles optimization: The equivalent annuity and the NPV approaches
    International Journal of Production Economics, 2001, 69, (1), 65-83 View citations (2)
30. Dynamic value at risk under optimal and suboptimal portfolio policies
    European Journal of Operational Research, 2001, 135, (2), 249-269 View citations (7)
31. Value-at-risk Trade-off and Capital Allocation with Copulas
    Economic Notes, 2001, 30, (2), 235-256 View citations (21)

1999

32. A Note on Loadings and Deductibles: Can a Vicious Circle Arise?
    Scandinavian Actuarial Journal, 1999, 1999, (2), 157-169
    See also Working Paper A note on loadings and deductibles: can a vicious circle arise?, MPRA Paper (1999) (1999)
33. Capital structure and inventory management:: The temporary sale price problem
    International Journal of Production Economics, 1999, 59, (1-3), 169-178 View citations (14)
34. Some basic problems in inventory theory: The financial perspective
    European Journal of Operational Research, 1999, 114, (2), 294-303 View citations (1)

1998

35. Swap pricing and hedging of general DCFs
    Decisions in Economics and Finance, 1998, 21, (1), 73-95

1997

36. Revision of industrial supply conditions and game theory
    International Journal of Production Economics, 1997, 49, (1), 17-28 View citations (2)

1995

37. Funzioni di Green per equazioni differenziali ordinarie e applicazioni in finanza
    Decisions in Economics and Finance, 1995, 18, (2), 199-227

1991

38. An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs
    Journal of Finance, 1991, 46, (2), 577-95 View citations (155)

Books

2017

1. The Economics of Continuous-Time Finance, vol 1
   MIT Press Books, The MIT Press View citations (9)

Edited books

2004

1. Developing an Annuity Market in Europe
   Books, Edward Elgar Publishing View citations (8)

Chapters

2004

1. Introduction
   Chapter 1 in Developing an Annuity Market in Europe, 2004, pp 1-12