Items where Author is "Regis, Luca"

Article

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)

Jevtić, Petar and Regis, Luca Assessing the solvency of insurance portfolios via a continuous-time cohort model. Insurance: Mathematics and Economics, 61 (March). pp. 36-47. ISSN 0167-6687 (2015)

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)

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)

Book Section

Regis, Luca and Pammolli, Fabio Demography, sustainability and growth. Notes on the sustainability of health and pension systems in Europe. In: Portrait of a health economist. Essays by colleagues and friends of Bengt Jönsson. IHE - The Swedish Institute for Health Economics, pp. 125-133. ISBN 978-91-88042-24-8 (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)

Regis, Luca Dynamic Hedging of Life Insurance Reserves. In: Interplay between Finance and Insurance. Actuarial Financial Mathematics Conference 2012. Koninklijke Vlaamse Academie Van Belgie, pp. 101-106. ISBN 978-90-6569-11-8 (2012)

Regis, Luca Good and bad banks. In: Mathematical and Statistical Methods for Actuarial Sciences and Finance Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, pp. 359-366. ISBN 978-88-470-2341-3 (2012)

Regis, Luca A Bayesian copula model for Claims Reserving. In: Interplay between Finance and Insurance. Actuarial Financial Mathematics Conference 2011. Koninklijke Vlaamse Academie Van Belgie, pp. 113-118. ISBN 978-90-6569-087-6 (2011)

Working Paper

Frassi, Benedetta and Pammolli, Fabio and Regis, Luca The potential costs of Longevity Risk on Public Pensions. Evidence from Italian data. EIC working paper series #1/2017 IMT School for Advanced Studies Lucca ISSN 2279-6894.

Jevtić, Petar and Regis, Luca A continuous-time stochastic model for the mortality surface of multiple populations. EIC working paper series #3/2016 IMT School for Advanced Studies Lucca ISSN 2279-6894.

Nicodano, Giovanna and Regis, Luca Ownership, Taxes and Default. EIC working paper series #7/2015 IMT Institute for Advanced Studies Lucca ISSN 2279-6894. (Submitted)

Menoncin, Francesco and Regis, Luca Longevity assets and pre-retirement consumption/portfolio decisions. EIC working paper series #2/2015 IMT Institute for Advanced Studies ISSN 2279-6894.

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.

Jevtić, Petar and Regis, Luca Assessing the solvency of insurance portfolios via a continuous time cohort model. EIC working paper series #7/2014 IMT Institute for Advanced Studies Lucca ISSN 2279-6894.

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

Regis, Luca A Bayesian copula model for stochastic claims reserving. Working Paper #227/2011 Carlo Alberto Notebooks ISSN 2279-9362.

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