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 1 2 4 452
A Multivariate Jump-Driven Financial Asset Model 0 0 0 154 1 9 11 470
A Multivariate Jump-Driven Financial Asset Model 0 0 0 144 0 12 15 408
A new dimension of bank complexity: rescue agreements and default contamination 0 0 0 14 0 3 5 28
A note on loadings and deductibles: can a vicious circle arise? 0 0 0 0 0 7 9 34
A note on stochastic survival probabilities and their calibration 0 0 0 11 0 1 2 68
A note on stochastic survival probabilities and their calibration 0 0 0 94 0 3 4 244
Adversarial AI in Insurance: Pervasiveness and Resilience 0 0 0 9 0 1 2 6
An Exact Solution to the Portfolio Choice Problem Under Transactions Costs (Reprint 019) 0 0 0 0 0 3 4 351
An exact solution to the portfolio choice problem under transactions costs 0 0 0 0 1 1 2 20
Are information and portfolio diversification substitutes or complements? 0 0 0 5 0 4 7 31
Bank Efficiency and Banking Sector Development: the Case of Italy 0 0 0 87 1 3 5 218
Basis risk in static versus dynamic longevity-risk hedging 0 0 0 14 0 2 6 47
Business Time and New Credit Risk Models 0 0 0 58 1 3 5 109
Calibrating risk-neutral default correlation 0 0 0 215 1 5 5 442
Copula-Based Default Dependence Modelling: Where Do We Stand? 0 0 0 48 1 4 6 129
Copulas and Dependence models in Credit Risk: Diffusions versus Jumps 0 0 0 45 3 6 7 115
Copulas and dependence models in credit risk: diffusions versus jumps 0 0 0 4 0 6 8 34
Credit risk in pure jump structural models 0 0 0 362 0 5 8 468
Default risk in business groups 1 1 1 34 1 12 15 115
Delta and Gamma hedging of mortality and interest rate risk 0 0 1 44 0 3 6 232
Demographic risk transfer: is it worth for annuity providers? 0 0 0 4 2 4 6 45
Dependence Calibration and Portfolio Fit with FactorBased Time Changes 0 0 0 24 0 13 14 82
ESG asset demand with information costs 0 0 0 0 0 4 7 7
Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk 0 0 0 31 0 7 13 124
Equilibrium bid-ask spread and infrequent trade with outside options 0 0 0 18 0 4 7 139
Equilibrium bid-ask spreads and the effect of competitive trading delays 0 0 0 5 0 4 5 31
Equilibrium price of immediacy and infrequent trade 0 0 1 29 0 3 5 253
Evolution of coupled lives' dependency across generations and pricing impact 0 0 0 7 2 4 9 64
Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators 0 0 0 206 0 2 3 476
Financial Inclusion and Life Insurance Demand; Evidence from Italian households 0 0 0 34 1 5 11 91
Financial synergies and the Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency 0 0 0 19 6 8 8 97
Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion 0 0 0 52 4 7 7 140
Geographical diversification and longevity risk mitigation in annuity portfolios 0 0 0 1 0 5 7 26
Information effects in longevity-linked vs purely financial portfolios 0 0 0 1 1 4 4 35
Intercorporate guarantees, leverage and taxes 0 0 0 52 2 5 7 248
Machine Learning techniques in joint default assessment 1 1 1 1 1 6 13 22
Machine learning techniques in joint default assessment 0 0 2 15 0 0 3 14
Model Risk in Credit Risk 0 0 0 22 0 7 12 53
Modelling Stochastic Mortality for Dependent Lives 0 0 0 75 0 4 6 245
Modelling stochastic mortality for dependent lives 0 0 0 125 0 4 7 393
Mortality Surface by Means of Continuous Time Cohort Models 0 0 0 39 1 7 9 152
Mortality risk via affine stochastic intensities: calibration and empirical relevance 0 1 3 20 1 12 24 98
Multivariate Option Pricing with Copulas 0 1 7 1,446 0 5 16 2,829
Multivariate Variance Gamma and Gaussian dependence: a study with copulas 0 0 0 75 1 12 14 260
Natural delta gamma hedging of longevity and interest rate risk 0 1 1 67 0 8 8 196
Non mean reverting affine processes for stochastic mortality 0 0 1 196 1 14 22 620
Non mean reverting affne processes for stochastic mortality 0 0 0 116 2 8 10 859
Optimal Fees and Equilibrium in Crypto Markets 0 0 2 2 0 5 10 16
Ownership links, leverage and credit risk 0 0 0 155 0 5 6 563
Pricing Vulnerable Options with Copulas 0 0 0 331 2 4 5 745
Risk Appetite Fluctuations in the Insurance Industry 0 0 0 24 2 9 11 50
Single and cross-generation natural hedging of longevity and financial risk 0 0 0 38 0 4 8 151
Single and cross-generation natural hedging of longevity and financial risk 0 0 0 10 1 4 6 52
Single and joint default in a structural model with purely discontinuous assets 0 0 0 784 1 7 12 1,486
Static versus dynamic longevity-risk hedging 0 0 0 18 3 9 9 67
The External Financing of Brazilian Imports (Special Series on Mixed Credits, in Collaboration with ICEPS) 0 0 0 14 0 3 3 350
The Fluctuations of Insurers’ Risk Appetite 0 0 0 1 1 6 7 11
The Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency 0 0 1 38 2 8 15 141
Total Working Papers 2 5 21 5,583 48 325 485 15,252

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 6 7 18
A Note on Loadings and Deductibles: Can a Vicious Circle Arise? 0 0 0 0 0 4 4 4
A Value at Risk Approach to Background Risk 0 0 0 27 1 3 4 128
A multivariate jump-driven financial asset model 0 0 0 9 0 2 7 53
Adversarial Artificial Intelligence in Insurance: From an Example to Some Potential Remedies 0 1 2 7 1 9 22 59
An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs 0 1 6 266 0 9 20 655
Basis risk in static versus dynamic longevity-risk hedging 0 0 0 0 1 4 5 6
Bivariate option pricing with copulas 0 0 2 292 0 5 13 846
Calibrating risk‐neutral default correlation 0 0 0 0 0 11 12 14
Capital structure and inventory management:: The temporary sale price problem 0 0 0 45 1 5 8 255
Cycles optimization: The equivalent annuity and the NPV approaches 0 0 0 48 0 2 4 351
Delta–Gamma hedging of mortality and interest rate risk 0 0 0 24 0 2 4 124
Dependence calibration and portfolio fit with factor-based subordinators 0 0 0 2 2 4 5 14
Dynamic value at risk under optimal and suboptimal portfolio policies 0 0 0 28 1 3 3 87
ESG asset demand with information costs 0 0 0 0 0 4 7 7
Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk 0 0 0 4 0 7 8 45
Financial synergies and systemic risk in the organization of bank affiliates 0 0 0 26 1 5 7 133
From volatility smiles to the volatility of volatility 0 0 0 16 0 15 16 71
Funzioni di Green per equazioni differenziali ordinarie e applicazioni in finanza 0 0 0 24 0 2 4 148
GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS 0 0 0 0 0 4 5 15
Guarantees, Leverage, and Taxes 0 0 0 15 2 6 10 75
Life Insurance Ownership by Italian Households: A Gender-Based Differences Analysis 0 0 1 61 0 5 10 178
Model risk in credit risk 0 0 1 3 0 4 6 23
Modelling stochastic mortality for dependent lives 0 0 0 45 0 8 9 177
Mortality surface by means of continuous time cohort models 0 0 0 10 1 5 5 76
On the (in-)dependence between financial and actuarial risks 0 0 0 29 2 6 9 82
Pricing Vulnerable Options With Copulas 0 0 0 0 1 4 5 6
Revision of industrial supply conditions and game theory 0 0 0 13 0 1 1 108
Risk Analysis and Portfolio Modelling 0 1 1 14 0 5 11 71
Single and joint default in a structural model with purely discontinuous asset prices 0 0 0 8 2 6 7 73
Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk 0 0 0 2 0 3 3 31
Some basic problems in inventory theory: The financial perspective 0 0 0 30 0 0 0 222
Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities 0 0 0 6 1 4 6 111
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 5 5 112
The fluctuations of insurers’ risk appetite 0 1 5 11 0 11 23 53
VaR as a risk measure for multiperiod static inventory models 0 0 0 120 0 1 2 355
Value-at-risk Trade-off and Capital Allocation with Copulas 0 0 0 11 0 3 6 52
Why are BHCs organized as parent-subsidiaries? How do they grow in value? 0 2 2 5 0 5 6 16
Total Journal Articles 0 6 20 1,240 19 188 290 4,902
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 7 136
Total Books 0 0 0 0 0 2 7 136

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 2 2 3
Total Chapters 0 0 0 0 0 2 2 3

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Statistics updated 2026-03-04