Details about Gabriele Stabile

Access statistics for papers by Gabriele Stabile.

Last updated 2024-10-10. Update your information in the RePEc Author Service.

Short-id: pst1020

Working Papers

2024

1. On variable annuities with surrender charges
   Papers, arXiv.org

2021

2. An analytical study of participating policies with minimum rate guarantee and surrender option
   Papers, arXiv.org View citations (1)
   See also Journal Article An analytical study of participating policies with minimum rate guarantee and surrender option, Finance and Stochastics, Springer (2022) View citations (1) (2022)

2018

3. On the free boundary of an annuity purchase
   Papers, arXiv.org
   See also Journal Article On the free boundary of an annuity purchase, Finance and Stochastics, Springer (2019) View citations (10) (2019)

2015

4. Optimal Dynamic Procurement Policies for a Storable Commodity with L\'evy Prices and Convex Holding Costs
   Papers, arXiv.org View citations (2)
   See also Journal Article Optimal dynamic procurement policies for a storable commodity with Lévy prices and convex holding costs, European Journal of Operational Research, Elsevier (2015) View citations (2) (2015)

Journal Articles

2022

1. An analytical study of participating policies with minimum rate guarantee and surrender option
   Finance and Stochastics, 2022, 26, (2), 173-216 View citations (1)
   See also Working Paper An analytical study of participating policies with minimum rate guarantee and surrender option, Papers (2021) View citations (1) (2021)

2020

2. Sub-optimal investment for insurers
   Communications in Statistics - Theory and Methods, 2020, 49, (17), 4298-4312

2019

3. On the free boundary of an annuity purchase
   Finance and Stochastics, 2019, 23, (1), 97-137 View citations (10)
   See also Working Paper On the free boundary of an annuity purchase, Papers (2018) (2018)

2018

4. Tax compliance with uncertain income: a stochastic control model
   Annals of Operations Research, 2018, 261, (1), 289-301

2015

5. Optimal dynamic procurement policies for a storable commodity with Lévy prices and convex holding costs
   European Journal of Operational Research, 2015, 247, (3), 847-858 View citations (2)
   See also Working Paper Optimal Dynamic Procurement Policies for a Storable Commodity with L\'evy Prices and Convex Holding Costs, Papers (2015) View citations (2) (2015)
6. Underperformance Fees and Manager¡¯s Portfolio Risk Taking
   International Journal of Financial Research, 2015, 6, (1), 79-89 View citations (2)

2010

7. Large deviations of Poisson shot noise processes under heavy tail semi-exponential conditions
   Statistics & Probability Letters, 2010, 80, (15-16), 1200-1209 View citations (3)
8. Risk Processes with Non-stationary Hawkes Claims Arrivals
   Methodology and Computing in Applied Probability, 2010, 12, (3), 415-429 View citations (31)

2006

9. OPTIMAL TIMING OF THE ANNUITY PURCHASE: COMBINED STOCHASTIC CONTROL AND OPTIMAL STOPPING PROBLEM
   International Journal of Theoretical and Applied Finance (IJTAF), 2006, 09, (02), 151-170 View citations (15)

2005

10. Lundberg parameters for non standard risk processes
    Scandinavian Actuarial Journal, 2005, 2005, (6), 417-432 View citations (1)