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
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Working Papers
2021
- 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)
- Optimal Firm's Dividend and Capital Structure for Mean Reverting Profitability
CESifo Working Paper Series, CESifo
2019
- Geographical diversification and longevity risk mitigation in annuity portfolios
Carlo Alberto Notebooks, Collegio Carlo Alberto 
See also Journal Article in ASTIN Bulletin (2021)
2017
- 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)
- 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
- 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
- Basis risk in static versus dynamic longevity-risk hedging
Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (1)
- Complex organizations, tax policy and financial stability
Carlo Alberto Notebooks, Collegio Carlo Alberto
- Longevity assets and pre-retirement consumption/portfolio decisions
Working Papers, IMT School for Advanced Studies Lucca View citations (3)
- Ownership, Taxes and Default
Working Papers, IMT School for Advanced Studies Lucca
- Static versus dynamic longevity-risk hedging
Carlo Alberto Notebooks, Collegio Carlo Alberto
2014
- 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)
- Demographic uncertainty, the financing mix and the sustainability of welfare systems
Working Papers SWITCH, Competitività, Regole, Mercati (CERM)
2013
- 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
- Demographic risk transfer: is it worth for annuity providers?
ICER Working Papers, ICER - International Centre for Economic Research
- 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)
- 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
- A Bayesian copula model for stochastic claims reserving
Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (1)
- 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
- Precariedad y respuestas populares
Post-Print, HAL
2008
- Risk Premium Impact in the Perturbative Black Scholes Model
Papers, arXiv.org View citations (1)
2007
- 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
- A Square-Root Factor-Based Multi-Population Extension of the Mortality Laws
Mathematics, 2021, 9, (19), 1-17
- 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
- Optimal life-cycle labour supply, consumption, and investment: The role of longevity-linked assets
Journal of Banking & Finance, 2020, 120, (C)
2019
- 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)
- 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
- Longevity-linked assets and pre-retirement consumption/portfolio decisions
Insurance: Mathematics and Economics, 2017, 76, (C), 75-86 View citations (9)
- 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)
- Special Issue “Actuarial and Financial Risks in Life Insurance, Pensions and Household Finance”
Risks, 2017, 5, (4), 1-2
2015
- 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
- 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
- Delta–Gamma hedging of mortality and interest rate risk
Insurance: Mathematics and Economics, 2012, 50, (3), 402-412 View citations (30)
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