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 2 3 450
A Multivariate Jump-Driven Financial Asset Model 0 0 0 144 4 6 7 400
A Multivariate Jump-Driven Financial Asset Model 0 0 0 154 3 5 5 464
A new dimension of bank complexity: rescue agreements and default contamination 0 0 0 14 2 4 4 27
A note on loadings and deductibles: can a vicious circle arise? 0 0 0 0 2 4 4 29
A note on stochastic survival probabilities and their calibration 0 0 0 94 1 2 3 242
A note on stochastic survival probabilities and their calibration 0 0 0 11 0 1 1 67
Adversarial AI in Insurance: Pervasiveness and Resilience 0 0 0 9 1 1 3 6
An Exact Solution to the Portfolio Choice Problem Under Transactions Costs (Reprint 019) 0 0 0 0 1 2 2 349
An exact solution to the portfolio choice problem under transactions costs 0 0 0 0 0 1 1 19
Are information and portfolio diversification substitutes or complements? 0 0 0 5 4 6 7 31
Bank Efficiency and Banking Sector Development: the Case of Italy 0 0 0 87 0 0 3 215
Basis risk in static versus dynamic longevity-risk hedging 0 0 0 14 0 3 4 45
Business Time and New Credit Risk Models 0 0 0 58 0 1 2 106
Calibrating risk-neutral default correlation 0 0 0 215 1 1 2 438
Copula-Based Default Dependence Modelling: Where Do We Stand? 0 0 0 48 1 1 3 126
Copulas and Dependence models in Credit Risk: Diffusions versus Jumps 0 0 0 45 0 0 1 109
Copulas and dependence models in credit risk: diffusions versus jumps 0 0 0 4 4 5 6 32
Credit risk in pure jump structural models 0 0 0 362 1 4 4 464
Default risk in business groups 0 0 0 33 3 3 6 106
Delta and Gamma hedging of mortality and interest rate risk 0 0 1 44 0 1 3 229
Demographic risk transfer: is it worth for annuity providers? 0 0 0 4 0 1 2 41
Dependence Calibration and Portfolio Fit with FactorBased Time Changes 0 0 0 24 5 6 6 74
ESG asset demand with information costs 0 0 0 0 1 2 4 4
Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk 0 0 0 31 1 4 7 118
Equilibrium bid-ask spread and infrequent trade with outside options 0 0 0 18 2 3 5 137
Equilibrium bid-ask spreads and the effect of competitive trading delays 0 0 0 5 2 3 3 29
Equilibrium price of immediacy and infrequent trade 0 1 1 29 0 1 2 250
Evolution of coupled lives' dependency across generations and pricing impact 0 0 0 7 0 2 6 60
Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators 0 0 0 206 2 3 3 476
Financial Inclusion and Life Insurance Demand; Evidence from Italian households 0 0 0 34 1 2 8 87
Financial synergies and the Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency 0 0 0 19 2 2 2 91
Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion 0 0 0 52 1 1 2 134
Geographical diversification and longevity risk mitigation in annuity portfolios 0 0 0 1 1 2 4 22
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 1 3 4 244
Machine Learning techniques in joint default assessment 0 0 0 0 1 3 17 17
Machine learning techniques in joint default assessment 0 0 2 15 0 1 4 14
Model Risk in Credit Risk 0 0 0 22 4 4 10 50
Modelling Stochastic Mortality for Dependent Lives 0 0 0 75 2 4 7 243
Modelling stochastic mortality for dependent lives 0 0 0 125 0 2 3 389
Mortality Surface by Means of Continuous Time Cohort Models 0 0 0 39 1 1 3 146
Mortality risk via affine stochastic intensities: calibration and empirical relevance 0 1 2 19 3 6 16 89
Multivariate Option Pricing with Copulas 1 1 7 1,446 1 2 13 2,825
Multivariate Variance Gamma and Gaussian dependence: a study with copulas 0 0 0 75 5 5 8 253
Natural delta gamma hedging of longevity and interest rate risk 0 0 0 66 1 1 1 189
Non mean reverting affine processes for stochastic mortality 0 0 1 196 5 6 13 611
Non mean reverting affne processes for stochastic mortality 0 0 0 116 1 2 3 852
Optimal Fees and Equilibrium in Crypto Markets 0 0 2 2 2 4 13 13
Ownership links, leverage and credit risk 0 0 0 155 4 5 6 562
Pricing Vulnerable Options with Copulas 0 0 0 331 0 0 2 741
Risk Appetite Fluctuations in the Insurance Industry 0 0 0 24 5 6 8 46
Single and cross-generation natural hedging of longevity and financial risk 0 0 0 38 2 5 6 149
Single and cross-generation natural hedging of longevity and financial risk 0 0 0 10 1 2 4 49
Single and joint default in a structural model with purely discontinuous assets 0 0 0 784 5 7 13 1,484
Static versus dynamic longevity-risk hedging 0 0 0 18 1 1 2 59
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 1 1 5
The Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency 0 1 1 38 2 6 9 135
Total Working Papers 1 4 17 5,579 93 162 296 15,020

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 2 2 4 14
A Note on Loadings and Deductibles: Can a Vicious Circle Arise? 0 0 0 0 1 1 1 1
A Value at Risk Approach to Background Risk 0 0 0 27 1 2 2 126
A multivariate jump-driven financial asset model 0 0 0 9 1 5 6 52
Adversarial Artificial Intelligence in Insurance: From an Example to Some Potential Remedies 1 1 2 7 4 5 18 54
An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs 1 2 8 266 1 7 16 647
Basis risk in static versus dynamic longevity-risk hedging 0 0 0 0 0 0 1 2
Bivariate option pricing with copulas 0 1 2 292 1 7 10 842
Calibrating risk‐neutral default correlation 0 0 0 0 0 1 1 3
Capital structure and inventory management:: The temporary sale price problem 0 0 0 45 0 3 5 250
Cycles optimization: The equivalent annuity and the NPV approaches 0 0 0 48 1 3 3 350
Delta–Gamma hedging of mortality and interest rate risk 0 0 0 24 0 1 2 122
Dependence calibration and portfolio fit with factor-based subordinators 0 0 0 2 0 1 2 10
Dynamic value at risk under optimal and suboptimal portfolio policies 0 0 0 28 0 0 0 84
ESG asset demand with information costs 0 0 0 0 2 5 5 5
Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk 0 0 0 4 3 4 4 41
Financial synergies and systemic risk in the organization of bank affiliates 0 0 0 26 0 0 2 128
From volatility smiles to the volatility of volatility 0 0 0 16 11 11 12 67
Funzioni di Green per equazioni differenziali ordinarie e applicazioni in finanza 0 0 0 24 0 2 2 146
GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS 0 0 0 0 0 1 1 11
Guarantees, Leverage, and Taxes 0 0 0 15 0 1 4 69
Life Insurance Ownership by Italian Households: A Gender-Based Differences Analysis 0 0 1 61 1 2 7 174
Model risk in credit risk 0 0 1 3 2 3 5 21
Modelling stochastic mortality for dependent lives 0 0 0 45 3 3 4 172
Mortality surface by means of continuous time cohort models 0 0 0 10 1 1 1 72
On the (in-)dependence between financial and actuarial risks 0 0 0 29 1 3 4 77
Pricing Vulnerable Options With Copulas 0 0 0 0 2 2 3 4
Revision of industrial supply conditions and game theory 0 0 0 13 1 1 1 108
Risk Analysis and Portfolio Modelling 1 1 1 14 2 6 10 68
Single and joint default in a structural model with purely discontinuous asset prices 0 0 0 8 2 2 4 69
Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk 0 0 0 2 1 1 1 29
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 1 2 3 108
Stationary optimal lengths for the plant renewal problem 0 0 0 4 0 1 1 48
Swap pricing and hedging of general DCFs 0 0 0 33 1 1 1 108
The fluctuations of insurers’ risk appetite 1 1 5 11 8 12 20 50
VaR as a risk measure for multiperiod static inventory models 0 0 0 120 0 1 1 354
Value-at-risk Trade-off and Capital Allocation with Copulas 0 0 0 11 1 2 6 50
Why are BHCs organized as parent-subsidiaries? How do they grow in value? 2 2 3 5 2 2 6 13
Total Journal Articles 6 8 23 1,240 57 107 180 4,771
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 2 3 8 136
Total Books 0 0 0 0 2 3 8 136

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 2026-01-09