Details about Luca Regis

Access statistics for papers by Luca Regis.

Last updated 2022-01-10. Update your information in the RePEc Author Service.

Short-id: pre326

Working Papers

2021

1. Non-Standard Errors
   Working Papers, Faculty of Economics and Statistics, University of Innsbruck View citations (1)
   Also in Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz (2021) View citations (1)
2. Optimal Firm's Dividend and Capital Structure for Mean Reverting Profitability
   CESifo Working Paper Series, CESifo

2019

3. Geographical diversification and longevity risk mitigation in annuity portfolios
   Carlo Alberto Notebooks, Collegio Carlo Alberto
   See also Journal Article in ASTIN Bulletin (2021)

2017

4. A Trade-off Theory of Ownership and Capital Structure
   Working papers, Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino
   See also Journal Article in Journal of Financial Economics (2019)
5. The potential costs of Longevity Risk on Public Pensions. Evidence from Italian data
   Working Papers, IMT School for Advanced Studies Lucca View citations (1)

2016

6. A continuous-time stochastic model for the mortality surface of multiple populations
   Working Papers, IMT School for Advanced Studies Lucca
   See also Journal Article in Insurance: Mathematics and Economics (2019)

2015

7. Basis risk in static versus dynamic longevity-risk hedging
   Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (1)
8. Complex organizations, tax policy and financial stability
   Carlo Alberto Notebooks, Collegio Carlo Alberto
9. Longevity assets and pre-retirement consumption/portfolio decisions
   Working Papers, IMT School for Advanced Studies Lucca View citations (3)
10. Ownership, Taxes and Default
    Working Papers, IMT School for Advanced Studies Lucca
11. Static versus dynamic longevity-risk hedging
    Carlo Alberto Notebooks, Collegio Carlo Alberto

2014

12. Assessing the solvency of insurance portfolios via a continuous time cohort model
    Working Papers, IMT School for Advanced Studies Lucca
    See also Journal Article in Insurance: Mathematics and Economics (2015)
13. Demographic uncertainty, the financing mix and the sustainability of welfare systems
    Working Papers SWITCH, Competitività, Regole, Mercati (CERM)

2013

14. 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 in Insurance: Mathematics and Economics (2014)

2012

15. Demographic risk transfer: is it worth for annuity providers?
    ICER Working Papers, ICER - International Centre for Economic Research
16. 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)
17. 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 in Journal of Risk & Insurance (2017)

2011

18. A Bayesian copula model for stochastic claims reserving
    Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (1)
19. 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

20. Precariedad y respuestas populares
    Post-Print, HAL

2008

21. Risk Premium Impact in the Perturbative Black Scholes Model
    Papers, arXiv.org View citations (1)

2007

22. 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)

Journal Articles

2021

1. A Square-Root Factor-Based Multi-Population Extension of the Mortality Laws
   Mathematics, 2021, 9, (19), 1-17
2. GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS
   ASTIN Bulletin, 2021, 51, (2), 375-410 View citations (1)
   See also Working Paper (2019)

2020

3. Optimal life-cycle labour supply, consumption, and investment: The role of longevity-linked assets
   Journal of Banking & Finance, 2020, 120, (C)

2019

4. A continuous-time stochastic model for the mortality surface of multiple populations
   Insurance: Mathematics and Economics, 2019, 88, (C), 181-195 View citations (6)
   See also Working Paper (2016)
5. A trade-off theory of ownership and capital structure
   Journal of Financial Economics, 2019, 131, (3), 715-735 View citations (7)
   See also Working Paper (2017)

2017

6. Longevity-linked assets and pre-retirement consumption/portfolio decisions
   Insurance: Mathematics and Economics, 2017, 76, (C), 75-86 View citations (9)
7. 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 (2012)
8. Special Issue “Actuarial and Financial Risks in Life Insurance, Pensions and Household Finance”
   Risks, 2017, 5, (4), 1-2

2015

9. Assessing the solvency of insurance portfolios via a continuous-time cohort model
   Insurance: Mathematics and Economics, 2015, 61, (C), 36-47 View citations (4)
   See also Working Paper (2014)

2014

10. 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 (2013)

2012

11. Delta–Gamma hedging of mortality and interest rate risk
    Insurance: Mathematics and Economics, 2012, 50, (3), 402-412 View citations (30)