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 2 7 11 459
A Multivariate Jump-Driven Financial Asset Model 0 0 0 144 0 0 15 408
A Multivariate Jump-Driven Financial Asset Model 0 0 0 154 0 1 12 471
A new dimension of bank complexity: rescue agreements and default contamination 0 0 0 14 0 0 5 28
A note on loadings and deductibles: can a vicious circle arise? 0 0 0 0 1 5 14 39
A note on stochastic survival probabilities and their calibration 0 0 0 11 0 1 3 69
A note on stochastic survival probabilities and their calibration 0 0 0 94 1 3 7 247
Adversarial AI in Insurance: Pervasiveness and Resilience 0 0 0 9 0 1 3 7
An Exact Solution to the Portfolio Choice Problem Under Transactions Costs (Reprint 019) 0 0 0 0 0 0 4 351
An exact solution to the portfolio choice problem under transactions costs 0 0 0 0 0 0 2 20
Are information and portfolio diversification substitutes or complements? 0 0 0 5 0 2 8 33
Bank Efficiency and Banking Sector Development: the Case of Italy 0 0 0 87 1 1 5 219
Basis risk in static versus dynamic longevity-risk hedging 0 0 0 14 0 1 7 48
Business Time and New Credit Risk Models 0 0 0 58 0 2 7 111
Calibrating risk-neutral default correlation 0 0 0 215 0 1 6 443
Copula-Based Default Dependence Modelling: Where Do We Stand? 0 0 0 48 2 6 12 135
Copulas and Dependence models in Credit Risk: Diffusions versus Jumps 0 0 0 45 0 2 9 117
Copulas and dependence models in credit risk: diffusions versus jumps 0 0 0 4 0 3 11 37
Credit risk in pure jump structural models 0 0 0 362 1 5 13 473
Default risk in business groups 0 0 1 34 1 3 16 118
Delta and Gamma hedging of mortality and interest rate risk 0 0 0 44 0 1 6 233
Demographic risk transfer: is it worth for annuity providers? 0 0 0 4 1 2 8 47
Dependence Calibration and Portfolio Fit with FactorBased Time Changes 0 0 0 24 0 1 15 83
ESG asset demand with information costs 0 0 0 0 0 1 7 8
Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk 0 0 0 31 0 6 18 130
Equilibrium bid-ask spread and infrequent trade with outside options 0 0 0 18 1 3 9 142
Equilibrium bid-ask spreads and the effect of competitive trading delays 0 0 0 5 2 3 8 34
Equilibrium price of immediacy and infrequent trade 0 0 1 29 0 3 8 256
Evolution of coupled lives' dependency across generations and pricing impact 0 0 0 7 0 2 10 66
Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators 0 0 0 206 0 3 6 479
Financial Inclusion and Life Insurance Demand; Evidence from Italian households 0 0 0 34 1 6 13 97
Financial synergies and the Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency 0 0 0 19 0 6 14 103
Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion 0 0 0 52 1 6 13 146
Geographical diversification and longevity risk mitigation in annuity portfolios 0 0 0 1 0 1 7 27
Information effects in longevity-linked vs purely financial portfolios 0 0 0 1 0 1 5 36
Intercorporate guarantees, leverage and taxes 0 0 0 52 0 3 10 251
Machine Learning techniques in joint default assessment 0 0 1 1 0 2 13 24
Machine learning techniques in joint default assessment 0 0 2 15 1 1 4 15
Model Risk in Credit Risk 0 0 0 22 0 4 16 57
Modelling Stochastic Mortality for Dependent Lives 0 0 0 75 0 6 12 251
Modelling stochastic mortality for dependent lives 0 0 0 125 1 4 11 397
Mortality Surface by Means of Continuous Time Cohort Models 0 0 0 39 0 2 10 154
Mortality risk via affine stochastic intensities: calibration and empirical relevance 1 2 4 22 2 4 25 102
Multivariate Option Pricing with Copulas 0 1 4 1,447 0 5 17 2,834
Multivariate Variance Gamma and Gaussian dependence: a study with copulas 0 0 0 75 0 2 15 262
Natural delta gamma hedging of longevity and interest rate risk 0 0 1 67 0 2 10 198
Non mean reverting affine processes for stochastic mortality 0 1 1 197 1 2 20 622
Non mean reverting affne processes for stochastic mortality 0 0 0 116 0 4 14 863
Optimal Fees and Equilibrium in Crypto Markets 0 0 1 2 1 4 13 20
Ownership links, leverage and credit risk 0 0 0 155 0 5 11 568
Pricing Vulnerable Options with Copulas 0 0 0 331 0 1 6 746
Rigidity and default in production networks 17 17 17 17 4 4 4 4
Risk Appetite Fluctuations in the Insurance Industry 0 0 0 24 1 1 12 51
Single and cross-generation natural hedging of longevity and financial risk 0 0 0 38 0 1 9 152
Single and cross-generation natural hedging of longevity and financial risk 0 0 0 10 0 1 7 53
Single and joint default in a structural model with purely discontinuous assets 0 0 0 784 1 3 14 1,489
Static versus dynamic longevity-risk hedging 0 0 0 18 1 3 12 70
The External Financing of Brazilian Imports (Special Series on Mixed Credits, in Collaboration with ICEPS) 0 0 0 14 0 2 5 352
The Fluctuations of Insurers’ Risk Appetite 0 0 0 1 0 2 9 13
The Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency 0 0 1 38 0 5 19 146
Total Working Papers 18 21 34 5,604 28 162 615 15,414

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 2 8 20
A Note on Loadings and Deductibles: Can a Vicious Circle Arise? 0 0 0 0 0 1 5 5
A Value at Risk Approach to Background Risk 0 0 0 27 0 1 5 129
A multivariate jump-driven financial asset model 0 1 1 10 0 2 9 55
Adversarial Artificial Intelligence in Insurance: From an Example to Some Potential Remedies 0 0 1 7 3 4 19 63
An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs 0 3 7 269 1 10 28 665
Basis risk in static versus dynamic longevity-risk hedging 0 0 0 0 1 3 8 9
Bivariate option pricing with copulas 0 0 2 292 0 3 15 849
Calibrating risk‐neutral default correlation 0 0 0 0 0 1 13 15
Capital structure and inventory management:: The temporary sale price problem 0 0 0 45 0 4 12 259
Cycles optimization: The equivalent annuity and the NPV approaches 0 0 0 48 0 2 6 353
Delta–Gamma hedging of mortality and interest rate risk 0 0 0 24 1 2 6 126
Dependence calibration and portfolio fit with factor-based subordinators 0 0 0 2 0 2 7 16
Dynamic value at risk under optimal and suboptimal portfolio policies 0 0 0 28 0 1 4 88
ESG asset demand with information costs 0 0 0 0 0 5 12 12
Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk 0 0 0 4 0 0 8 45
Financial synergies and systemic risk in the organization of bank affiliates 0 0 0 26 1 3 10 136
From volatility smiles to the volatility of volatility 0 0 0 16 0 3 19 74
Funzioni di Green per equazioni differenziali ordinarie e applicazioni in finanza 0 0 0 24 0 3 7 151
GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS 0 1 1 1 2 7 12 22
Guarantees, Leverage, and Taxes 0 0 0 15 0 0 10 75
Life Insurance Ownership by Italian Households: A Gender-Based Differences Analysis 0 0 1 61 0 5 13 183
Model risk in credit risk 0 0 1 3 1 3 9 26
Modelling stochastic mortality for dependent lives 0 0 0 45 1 3 12 180
Mortality surface by means of continuous time cohort models 0 0 0 10 1 2 7 78
On the (in-)dependence between financial and actuarial risks 0 0 0 29 0 6 15 88
Pricing Vulnerable Options With Copulas 0 0 0 0 2 6 11 12
Revision of industrial supply conditions and game theory 0 0 0 13 0 3 4 111
Risk Analysis and Portfolio Modelling 0 0 1 14 0 1 11 72
Single and joint default in a structural model with purely discontinuous asset prices 0 0 0 8 0 3 10 76
Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk 0 0 0 2 0 1 4 32
Some basic problems in inventory theory: The financial perspective 0 0 0 30 0 3 3 225
Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities 0 0 0 6 1 2 8 113
Stationary optimal lengths for the plant renewal problem 0 0 0 4 0 0 1 48
Swap pricing and hedging of general DCFs 0 0 0 33 0 1 6 113
The fluctuations of insurers’ risk appetite 0 0 2 11 0 4 22 57
VaR as a risk measure for multiperiod static inventory models 0 0 0 120 0 1 3 356
Value-at-risk Trade-off and Capital Allocation with Copulas 0 1 1 12 0 5 10 57
Why are BHCs organized as parent-subsidiaries? How do they grow in value? 0 0 2 5 0 4 10 20
Total Journal Articles 0 6 20 1,246 15 112 382 5,014
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 0 2 7 138
Total Books 0 0 0 0 0 2 7 138

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
International Longevity Risk Pooling 0 0 0 0 0 1 3 3
Introduction 0 0 0 0 1 3 5 6
Multivariate Variance Gamma and Gaussian Dependence: a study with copulas 0 0 0 0 0 0 0 0
Total Chapters 0 0 0 0 1 4 8 9

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Statistics updated 2026-06-04