Access Statistics for Elisa Luciano

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Generalized Normal Mean Variance Mixture for Return Processes in Finance 0 0 0 146 0 0 1 448
A Multivariate Jump-Driven Financial Asset Model 0 0 0 154 0 0 0 459
A Multivariate Jump-Driven Financial Asset Model 0 0 0 144 0 0 0 393
A new dimension of bank complexity: rescue agreements and default contamination 0 0 0 14 0 0 3 23
A note on loadings and deductibles: can a vicious circle arise? 0 0 0 0 0 0 1 25
A note on stochastic survival probabilities and their calibration 0 0 0 94 0 0 1 240
A note on stochastic survival probabilities and their calibration 0 0 0 11 0 0 0 66
Adversarial AI in Insurance: Pervasiveness and Resilience 0 0 0 9 0 0 1 4
An Exact Solution to the Portfolio Choice Problem Under Transactions Costs (Reprint 019) 0 0 0 0 0 0 1 347
An exact solution to the portfolio choice problem under transactions costs 0 0 0 0 0 0 0 18
Are information and portfolio diversification substitutes or complements? 0 0 0 5 0 1 1 25
Bank Efficiency and Banking Sector Development: the Case of Italy 0 0 0 87 0 0 2 214
Basis risk in static versus dynamic longevity-risk hedging 0 0 0 14 0 0 1 41
Business Time and New Credit Risk Models 0 0 0 58 0 0 0 104
Calibrating risk-neutral default correlation 0 0 0 215 0 0 2 437
Copula-Based Default Dependence Modelling: Where Do We Stand? 0 0 0 48 1 1 3 124
Copulas and Dependence models in Credit Risk: Diffusions versus Jumps 0 0 0 45 1 1 1 109
Copulas and dependence models in credit risk: diffusions versus jumps 0 0 0 4 1 1 1 27
Credit risk in pure jump structural models 0 0 0 362 0 0 0 460
Default risk in business groups 0 0 0 33 0 1 2 102
Delta and Gamma hedging of mortality and interest rate risk 0 1 1 44 0 1 1 227
Demographic risk transfer: is it worth for annuity providers? 0 0 0 4 0 0 0 39
Dependence Calibration and Portfolio Fit with FactorBased Time Changes 0 0 0 24 0 0 0 68
ESG asset demand with information costs 0 0 0 0 0 1 1 1
Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk 0 0 0 31 1 2 3 113
Equilibrium bid-ask spread and infrequent trade with outside options 0 0 0 18 0 1 3 133
Equilibrium bid-ask spreads and the effect of competitive trading delays 0 0 1 5 0 0 7 26
Equilibrium price of immediacy and infrequent trade 0 0 4 28 0 0 28 248
Evolution of coupled lives' dependency across generations and pricing impact 0 0 0 7 1 1 3 57
Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators 0 0 0 206 0 0 1 473
Financial Inclusion and Life Insurance Demand; Evidence from Italian households 0 0 0 34 0 2 12 84
Financial synergies and the Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency 0 0 0 19 0 0 0 89
Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion 0 0 0 52 0 0 1 133
Geographical diversification and longevity risk mitigation in annuity portfolios 0 0 0 1 0 0 2 20
Information effects in longevity-linked vs purely financial portfolios 0 0 0 1 0 0 1 31
Intercorporate guarantees, leverage and taxes 0 0 0 52 0 0 1 241
Machine Learning techniques in joint default assessment 0 0 0 0 0 2 11 11
Machine learning techniques in joint default assessment 1 1 1 14 1 1 2 12
Model Risk in Credit Risk 0 0 0 22 2 2 3 43
Modelling Stochastic Mortality for Dependent Lives 0 0 0 75 0 0 4 239
Modelling stochastic mortality for dependent lives 0 0 0 125 0 0 1 386
Mortality Surface by Means of Continuous Time Cohort Models 0 0 0 39 0 0 1 144
Mortality risk via affine stochastic intensities: calibration and empirical relevance 0 1 1 18 1 3 9 78
Multivariate Option Pricing with Copulas 0 2 10 1,443 1 3 16 2,818
Multivariate Variance Gamma and Gaussian dependence: a study with copulas 0 0 0 75 0 1 2 247
Natural delta gamma hedging of longevity and interest rate risk 0 0 0 66 0 0 1 188
Non mean reverting affine processes for stochastic mortality 0 1 2 196 2 5 7 604
Non mean reverting affne processes for stochastic mortality 0 0 0 116 1 1 1 850
Optimal Fees and Equilibrium in Crypto Markets 0 1 1 1 0 1 7 7
Ownership links, leverage and credit risk 0 0 0 155 0 0 1 557
Pricing Vulnerable Options with Copulas 0 0 0 331 0 0 1 740
Risk Appetite Fluctuations in the Insurance Industry 0 0 1 24 1 1 7 40
Single and cross-generation natural hedging of longevity and financial risk 0 0 0 38 0 0 0 143
Single and cross-generation natural hedging of longevity and financial risk 0 0 0 10 0 0 1 46
Single and joint default in a structural model with purely discontinuous assets 0 0 0 784 0 0 6 1,475
Static versus dynamic longevity-risk hedging 0 0 0 18 0 0 2 58
The External Financing of Brazilian Imports (Special Series on Mixed Credits, in Collaboration with ICEPS) 0 0 0 14 0 0 1 347
The Fluctuations of Insurers’ Risk Appetite 0 0 0 1 0 0 0 4
The Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency 0 0 0 37 0 1 1 127
Total Working Papers 1 7 22 5,571 14 34 170 14,813

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE 0 0 0 2 0 1 2 12
A Note on Loadings and Deductibles: Can a Vicious Circle Arise? 0 0 0 0 0 0 0 0
A Value at Risk Approach to Background Risk 0 0 0 27 0 0 1 124
A multivariate jump-driven financial asset model 0 0 0 9 0 0 0 46
Adversarial Artificial Intelligence in Insurance: From an Example to Some Potential Remedies 0 0 1 6 4 6 17 48
An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs 1 3 7 263 2 4 14 639
Basis risk in static versus dynamic longevity-risk hedging 0 0 0 0 1 1 2 2
Bivariate option pricing with copulas 1 1 3 291 1 1 5 835
Calibrating risk‐neutral default correlation 0 0 0 0 0 0 0 2
Capital structure and inventory management:: The temporary sale price problem 0 0 0 45 0 0 2 247
Cycles optimization: The equivalent annuity and the NPV approaches 0 0 0 48 0 0 1 347
Delta–Gamma hedging of mortality and interest rate risk 0 0 0 24 0 0 1 120
Dependence calibration and portfolio fit with factor-based subordinators 0 0 0 2 0 0 1 9
Dynamic value at risk under optimal and suboptimal portfolio policies 0 0 0 28 0 0 0 84
Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk 0 0 0 4 0 0 1 37
Financial synergies and systemic risk in the organization of bank affiliates 0 0 0 26 1 1 3 127
From volatility smiles to the volatility of volatility 0 0 1 16 0 0 1 55
Funzioni di Green per equazioni differenziali ordinarie e applicazioni in finanza 0 0 0 24 0 0 0 144
GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS 0 0 0 0 0 0 0 10
Guarantees, Leverage, and Taxes 0 0 1 15 0 0 2 65
Life Insurance Ownership by Italian Households: A Gender-Based Differences Analysis 0 0 2 60 0 0 6 170
Model risk in credit risk 1 1 1 3 1 1 3 18
Modelling stochastic mortality for dependent lives 0 0 1 45 0 0 1 168
Mortality surface by means of continuous time cohort models 0 0 0 10 0 0 0 71
On the (in-)dependence between financial and actuarial risks 0 0 1 29 1 1 4 74
Pricing Vulnerable Options With Copulas 0 0 0 0 0 0 1 1
Revision of industrial supply conditions and game theory 0 0 0 13 0 0 0 107
Risk Analysis and Portfolio Modelling 0 0 0 13 0 0 3 61
Single and joint default in a structural model with purely discontinuous asset prices 0 0 0 8 0 0 2 66
Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk 0 0 0 2 0 0 0 28
Some basic problems in inventory theory: The financial perspective 0 0 0 30 0 0 1 222
Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities 0 0 0 6 0 0 0 105
Stationary optimal lengths for the plant renewal problem 0 0 0 4 0 0 0 47
Swap pricing and hedging of general DCFs 0 0 0 33 0 0 0 107
The fluctuations of insurers’ risk appetite 0 3 4 9 1 5 14 36
VaR as a risk measure for multiperiod static inventory models 0 0 0 120 0 0 2 353
Value-at-risk Trade-off and Capital Allocation with Copulas 0 0 2 11 1 2 6 48
Why are BHCs organized as parent-subsidiaries? How do they grow in value? 0 0 2 3 1 1 10 11
Total Journal Articles 3 8 26 1,229 14 24 106 4,646
1 registered items for which data could not be found

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
The Economics of Continuous-Time Finance 0 0 0 0 1 2 9 132
Total Books 0 0 0 0 1 2 9 132

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Introduction 0 0 0 0 0 0 1 1
Total Chapters 0 0 0 0 0 0 1 1

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Statistics updated 2025-07-04