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Details about Luca Regis

E-mail:
Homepage:https://sites.google.com/view/lucaregis
Workplace: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 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

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

2019

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

2017

  1. 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 Downloads
    See also Journal Article in Journal of Financial Economics (2019)
  2. The potential costs of Longevity Risk on Public Pensions. Evidence from Italian data
    Working Papers, IMT School for Advanced Studies Lucca Downloads View citations (1)

2016

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

2015

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

2014

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

2013

  1. Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads
    See also Journal Article in Insurance: Mathematics and Economics (2014)

2012

  1. Demographic risk transfer: is it worth for annuity providers?
    ICER Working Papers, ICER - International Centre for Economic Research Downloads
  2. Natural delta gamma hedging of longevity and interest rate risk
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research Downloads View citations (1)
  3. Single and cross-generation natural hedging of longevity and financial risk
    ICER Working Papers, ICER - International Centre for Economic Research Downloads View citations (12)
    Also in Carlo Alberto Notebooks, Collegio Carlo Alberto (2012) Downloads View citations (8)

    See also Journal Article in Journal of Risk & Insurance (2017)

2011

  1. A Bayesian copula model for stochastic claims reserving
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads View citations (1)
  2. Delta and Gamma hedging of mortality and interest rate risk
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research Downloads View citations (4)

2010

  1. Precariedad y respuestas populares
    Post-Print, HAL

2008

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

2007

  1. Bank Efficiency and Banking Sector Development: the Case of Italy
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research Downloads 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 Downloads
  2. GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS
    ASTIN Bulletin, 2021, 51, (2), 375-410 Downloads View citations (1)
    See also Working Paper (2019)

2020

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

2019

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

2017

  1. Longevity-linked assets and pre-retirement consumption/portfolio decisions
    Insurance: Mathematics and Economics, 2017, 76, (C), 75-86 Downloads View citations (9)
  2. Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk
    Journal of Risk & Insurance, 2017, 84, (3), 961-986 Downloads View citations (12)
    See also Working Paper (2012)
  3. Special Issue “Actuarial and Financial Risks in Life Insurance, Pensions and Household Finance”
    Risks, 2017, 5, (4), 1-2 Downloads

2015

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

2014

  1. Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
    Insurance: Mathematics and Economics, 2014, 55, (C), 68-77 Downloads View citations (4)
    See also Working Paper (2013)

2012

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