Items where Author is "Luciano, Elisa"

De Rosa, Clemente and Luciano, Elisa and Regis, Luca Basis Risk in Static versus Dynamic Longevity Risk Hedging. Scandinavian Actuarial Journal. (In Press) (2016)

Luciano, Elisa and Regis, Luca and Vigna, Elena Single and cross-generation natural hedging of longevity and financial risk. Journal of Risk and Insurance. ISSN 1539-6975 (In Press) (2015)

De Rosa, Clemente and Luciano, Elisa and Regis, Luca Static versus dynamic longevity­ risk hedging. Working Paper #403/2015 Collegio Carlo Alberto ISSN 2279-9362.

Luciano, Elisa and Regis, Luca Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk. Insurance: Mathematics and Economics, 55. pp. 68-77. ISSN 0167-6687 (2014)

Regis, Luca and Luciano, Elisa Risk-return appraisal of longevity swaps. In: Pension and Longevity Risk Transfer for Institutional Investors. Institutional Investor Journals, pp. 99-108. (2014)

Luciano, Elisa and Regis, Luca Demographic Risk Transfer: is it worth for annuity providers? In: Interplay between Finance and Insurance. Actuarial Financial Mathematics Conference 2013. Koninklijke Vlaamse Academie Van Belgie, pp. 57-62. ISBN 978-90-6569-123-1 (2013)

Luciano, Elisa and Regis, Luca and Vigna, Elena Delta–Gamma hedging of mortality and interest rate risk. Insurance: Mathematics and Economics, 50 (3). 402 - 412. ISSN 0167-6687 (2012)

Luciano, Elisa and Regis, Luca Demographic risk transfer: is it worth for annuity providers? ICER Working Paper. Working Paper #24/2012

Luciano, Elisa and Regis, Luca and Vigna, Elena Natural Delta Gamma Hedging of Longevity and Interest Rate Risk. ICER Working Paper. Working Paper #21/2011