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 0 144 0 1 1 394
A Multivariate Jump-Driven Financial Asset Model 0 0 0 154 0 0 0 459
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 11 0 0 0 66
A note on stochastic survival probabilities and their calibration 0 0 0 94 0 0 1 240
Adversarial AI in Insurance: Pervasiveness and Resilience 0 0 0 9 0 1 2 5
An Exact Solution to the Portfolio Choice Problem Under Transactions Costs (Reprint 019) 0 0 0 0 0 0 0 347
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 0 1 25
Bank Efficiency and Banking Sector Development: the Case of Italy 0 0 0 87 0 1 3 215
Basis risk in static versus dynamic longevity-risk hedging 0 0 0 14 0 1 1 42
Business Time and New Credit Risk Models 0 0 0 58 1 1 1 105
Calibrating risk-neutral default correlation 0 0 0 215 0 0 1 437
Copula-Based Default Dependence Modelling: Where Do We Stand? 0 0 0 48 0 1 2 125
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 0 0 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 3 103
Delta and Gamma hedging of mortality and interest rate risk 0 0 1 44 1 1 2 228
Demographic risk transfer: is it worth for annuity providers? 0 0 0 4 0 1 1 40
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 2 2
Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk 0 0 0 31 0 1 4 114
Equilibrium bid-ask spread and infrequent trade with outside options 0 0 0 18 1 1 3 134
Equilibrium bid-ask spreads and the effect of competitive trading delays 0 0 1 5 0 0 5 26
Equilibrium price of immediacy and infrequent trade 0 0 3 28 1 1 12 249
Evolution of coupled lives' dependency across generations and pricing impact 0 0 0 7 1 1 4 58
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 1 11 85
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 2 3 14 14
Machine learning techniques in joint default assessment 1 1 2 15 1 1 3 13
Model Risk in Credit Risk 0 0 0 22 2 3 6 46
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 1 2 387
Mortality Surface by Means of Continuous Time Cohort Models 0 0 0 39 0 1 2 145
Mortality risk via affine stochastic intensities: calibration and empirical relevance 0 0 1 18 2 5 12 83
Multivariate Option Pricing with Copulas 1 2 9 1,445 3 5 16 2,823
Multivariate Variance Gamma and Gaussian dependence: a study with copulas 0 0 0 75 1 1 3 248
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 0 2 196 0 1 8 605
Non mean reverting affne processes for stochastic mortality 0 0 0 116 0 0 1 850
Optimal Fees and Equilibrium in Crypto Markets 1 1 2 2 1 2 9 9
Ownership links, leverage and credit risk 0 0 0 155 0 0 1 557
Pricing Vulnerable Options with Copulas 0 0 0 331 0 1 2 741
Risk Appetite Fluctuations in the Insurance Industry 0 0 1 24 0 0 5 40
Single and cross-generation natural hedging of longevity and financial risk 0 0 0 10 0 1 2 47
Single and cross-generation natural hedging of longevity and financial risk 0 0 0 38 1 1 1 144
Single and joint default in a structural model with purely discontinuous assets 0 0 0 784 1 2 7 1,477
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 1 2 3 129
Total Working Papers 3 4 22 5,575 20 45 178 14,858

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 0 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 1 1 47
Adversarial Artificial Intelligence in Insurance: From an Example to Some Potential Remedies 0 0 1 6 0 1 15 49
An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs 0 1 7 264 0 1 13 640
Basis risk in static versus dynamic longevity-risk hedging 0 0 0 0 0 0 2 2
Bivariate option pricing with copulas 0 0 2 291 0 0 4 835
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 1 2 121
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
ESG asset demand with information costs 0 0 0 0 0 0 0 0
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 0 1 4 128
From volatility smiles to the volatility of volatility 0 0 1 16 0 1 2 56
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 3 5 68
Life Insurance Ownership by Italian Households: A Gender-Based Differences Analysis 1 1 2 61 2 2 7 172
Model risk in credit risk 0 0 1 3 0 0 3 18
Modelling stochastic mortality for dependent lives 0 0 0 45 0 1 1 169
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 0 29 0 0 3 74
Pricing Vulnerable Options With Copulas 0 0 0 0 0 1 1 2
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 1 4 62
Single and joint default in a structural model with purely discontinuous asset prices 0 0 0 8 0 1 3 67
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 1 1 1 106
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 1 5 10 1 2 13 38
VaR as a risk measure for multiperiod static inventory models 0 0 0 120 0 0 1 353
Value-at-risk Trade-off and Capital Allocation with Copulas 0 0 0 11 0 0 4 48
Why are BHCs organized as parent-subsidiaries? How do they grow in value? 0 0 1 3 0 0 5 11
Total Journal Articles 1 3 21 1,232 4 18 103 4,664
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 1 8 133
Total Books 0 0 0 0 1 1 8 133

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 2025-10-06