Luca Regis
Personal Details
First Name: | Luca |
Middle Name: | |
Last Name: | Regis |
Suffix: | |
RePEc Short-ID: | pre326 |
| |
https://sites.google.com/view/lucaregis | |
Affiliation
Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche
Università degli Studi di Torino
Torino, Italyhttp://www.esomas.unito.it/
RePEc:edi:dstorit (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & Tobi, 2021.
"Non-Standard Errors,"
Working Papers
2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024. "Nonstandard Errors," Journal of Finance, American Finance Association, vol. 79(3), pages 2339-2390, June.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian Brownlees & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
- Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
- Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
- Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023. "Non-Standard Errors," LIDAM Reprints LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024. "Nonstandard errors," LSE Research Online Documents on Economics 123002, London School of Economics and Political Science, LSE Library.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
- Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, C.E.P.R. Discussion Papers.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
- Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022. "Non-Standard Errors," Swiss Finance Institute Research Paper Series 22-09, Swiss Finance Institute.
- Moinas, Sophie & Declerck, Fany & Menkveld, Albert J. & Dreber, Anna, 2023. "Non-Standard Errors," TSE Working Papers 23-1451, Toulouse School of Economics (TSE).
- Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024. "Nonstandard Errors," Post-Print hal-04676112, HAL.
- Ferrara, Gerardo & Jurkatis, Simon, 2021. "Non-standard errors," Bank of England working papers 955, Bank of England.
- Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
- Ciril Bosch-Rosa & Bernhard Kassner, 2023. "Non-Standard Errors," Rationality and Competition Discussion Paper Series 385, CRC TRR 190 Rationality and Competition.
- Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Janeway Institute Working Papers 2112, Faculty of Economics, University of Cambridge.
- Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Francesco Menoncin & Paolo Panteghini & Luca Regis, 2021. "Optimal Firm's Dividend and Capital Structure for Mean Reverting Profitability," CESifo Working Paper Series 9407, CESifo.
- Benedetta Frassi & Fabio Pammolli & Luca Regis, 2017. "The potential costs of Longevity Risk on Public Pensions. Evidence from Italian data," Working Papers 01/2017, IMT School for Advanced Studies Lucca, revised Jan 2017.
- Clemente De Rosa & Elisa Luciano & Luca Regis, 2017.
"Geographical diversification and longevity risk mitigation in annuity portfolios,"
Carlo Alberto Notebooks
546, Collegio Carlo Alberto, revised 2019.
- De Rosa, Clemente & Luciano, Elisa & Regis, Luca, 2021. "Geographical Diversification And Longevity Risk Mitigation In Annuity Portfolios," ASTIN Bulletin, Cambridge University Press, vol. 51(2), pages 375-410, May.
- Giovanna Nicodano & Luca Regis, 2017.
"A Trade-off Theory of Ownership and Capital Structure,"
Working papers
045, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
- Nicodano, Giovanna & Regis, Luca, 2019. "A trade-off theory of ownership and capital structure," Journal of Financial Economics, Elsevier, vol. 131(3), pages 715-735.
- Peter Jevtic & Luca Regis, 2016.
"A continuous-time stochastic model for the mortality surface of multiple populations,"
Working Papers
03/2016, IMT School for Advanced Studies Lucca, revised Jul 2016.
- Jevtić, Petar & Regis, Luca, 2019. "A continuous-time stochastic model for the mortality surface of multiple populations," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 181-195.
- Clemente De Rosa & Elisa Luciano & Luca Regis, 2015. "Static versus dynamic longevity-risk hedging," Carlo Alberto Notebooks 403, Collegio Carlo Alberto.
- Francesco Menoncin & Luca Regis, 2015. "Longevity assets and pre-retirement consumption/portfolio decisions," Working Papers 2/2015, IMT School for Advanced Studies Lucca, revised May 2015.
- Clemente De Rosa & Elisa Luciano & Luca Regis, 2015.
"Basis risk in static versus dynamic longevity-risk hedging,"
Carlo Alberto Notebooks
425, Collegio Carlo Alberto, revised Oct 2015.
- Clemente De Rosa & Elisa Luciano & Luca Regis, 2017. "Basis risk in static versus dynamic longevity-risk hedging," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2017(4), pages 343-365, April.
- Giovanna Nicodano & Luca Regis, 2015. "Ownership, Taxes and Default," Working Papers 7/2015, IMT School for Advanced Studies Lucca, revised Jul 2015.
- Giovanna Nicodano & Luca Regis, 2014. "Complex organizations, tax policy and financial stability," Carlo Alberto Notebooks 359, Collegio Carlo Alberto, revised 2015.
- Petar Jevtic' & Luca Regis, 2014.
"Assessing the solvency of insurance portfolios via a continuous time cohort model,"
Working Papers
7/2014, IMT School for Advanced Studies Lucca, revised Jul 2014.
- Jevtić, Petar & Regis, Luca, 2015. "Assessing the solvency of insurance portfolios via a continuous-time cohort model," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 36-47.
- Luca Regis, 2014. "Demographic uncertainty, the financing mix and the sustainability of welfare systems," Working Papers SWITCH 02-2014, Competitività, Regole, Mercati (CERM).
- Elisa Luciano & Luca Regis, 2013.
"Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk,"
Carlo Alberto Notebooks
308, Collegio Carlo Alberto.
- Luciano, Elisa & Regis, Luca, 2014. "Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 68-77.
- Elisa Luciano & Luca Regis & Elena Vigna, 2012.
"Single and cross-generation natural hedging of longevity and financial risk,"
Carlo Alberto Notebooks
257, Collegio Carlo Alberto.
- Elisa Luciano & Luca Regis & Elena Vigna, 2017. "Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 961-986, September.
- Elisa Luciano & Luca Regis & Elena Vigna, 2012. "Single and cross-generation natural hedging of longevity and financial risk," ICER Working Papers 04-2012, ICER - International Centre for Economic Research.
- Elisa Luciano & Luca Regis & Elena Vigna, 2012. "Natural delta gamma hedging of longevity and interest rate risk," ICER Working Papers - Applied Mathematics Series 21-2011, ICER - International Centre for Economic Research.
- Elisa Luciano & Luca Regis, 2012. "Demographic risk transfer: is it worth for annuity providers?," ICER Working Papers 11-2012, ICER - International Centre for Economic Research.
- Elisa Luciano & Luca Regis & Elena Vigna, 2011. "Delta and Gamma hedging of mortality and interest rate risk," ICER Working Papers - Applied Mathematics Series 01-2011, ICER - International Centre for Economic Research.
- Luca Regis, 2011. "A Bayesian copula model for stochastic claims reserving," Carlo Alberto Notebooks 227, Collegio Carlo Alberto.
- I. Idriss & Z. Jon Bernat & L. Régis, 2010. "Precariedad y respuestas populares," Post-Print halshs-00471906, HAL.
- Luca Regis & Simone Scotti, 2008. "Risk Premium Impact in the Perturbative Black Scholes Model," Papers 0806.0307, arXiv.org.
- Elisa Luciano & Luca Regis, 2007.
"Bank Efficiency and Banking Sector Development: the Case of Italy,"
ICER Working Papers - Applied Mathematics Series
5-2007, ICER - International Centre for Economic Research.
repec:grz:wpsses:2021-08 is not listed on IDEAS
Articles
- Petar Jevtić & Luca Regis, 2021. "A Square-Root Factor-Based Multi-Population Extension of the Mortality Laws," Mathematics, MDPI, vol. 9(19), pages 1-17, September.
- De Rosa, Clemente & Luciano, Elisa & Regis, Luca, 2021.
"Geographical Diversification And Longevity Risk Mitigation In Annuity Portfolios,"
ASTIN Bulletin, Cambridge University Press, vol. 51(2), pages 375-410, May.
- Clemente De Rosa & Elisa Luciano & Luca Regis, 2017. "Geographical diversification and longevity risk mitigation in annuity portfolios," Carlo Alberto Notebooks 546, Collegio Carlo Alberto, revised 2019.
- Menoncin, Francesco & Regis, Luca, 2020. "Optimal life-cycle labour supply, consumption, and investment: The role of longevity-linked assets," Journal of Banking & Finance, Elsevier, vol. 120(C).
- Jevtić, Petar & Regis, Luca, 2019.
"A continuous-time stochastic model for the mortality surface of multiple populations,"
Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 181-195.
- Peter Jevtic & Luca Regis, 2016. "A continuous-time stochastic model for the mortality surface of multiple populations," Working Papers 03/2016, IMT School for Advanced Studies Lucca, revised Jul 2016.
- Nicodano, Giovanna & Regis, Luca, 2019.
"A trade-off theory of ownership and capital structure,"
Journal of Financial Economics, Elsevier, vol. 131(3), pages 715-735.
- Giovanna Nicodano & Luca Regis, 2017. "A Trade-off Theory of Ownership and Capital Structure," Working papers 045, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
- Elisa Luciano & Luca Regis & Elena Vigna, 2017.
"Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk,"
Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 961-986, September.
- Elisa Luciano & Luca Regis & Elena Vigna, 2012. "Single and cross-generation natural hedging of longevity and financial risk," Carlo Alberto Notebooks 257, Collegio Carlo Alberto.
- Elisa Luciano & Luca Regis & Elena Vigna, 2012. "Single and cross-generation natural hedging of longevity and financial risk," ICER Working Papers 04-2012, ICER - International Centre for Economic Research.
- Menoncin, Francesco & Regis, Luca, 2017. "Longevity-linked assets and pre-retirement consumption/portfolio decisions," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 75-86.
- Luca Regis, 2017. "Special Issue “Actuarial and Financial Risks in Life Insurance, Pensions and Household Finance”," Risks, MDPI, vol. 5(4), pages 1-2, December.
- Jevtić, Petar & Regis, Luca, 2015.
"Assessing the solvency of insurance portfolios via a continuous-time cohort model,"
Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 36-47.
- Petar Jevtic' & Luca Regis, 2014. "Assessing the solvency of insurance portfolios via a continuous time cohort model," Working Papers 7/2014, IMT School for Advanced Studies Lucca, revised Jul 2014.
- Luciano, Elisa & Regis, Luca, 2014.
"Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk,"
Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 68-77.
- Elisa Luciano & Luca Regis, 2013. "Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk," Carlo Alberto Notebooks 308, Collegio Carlo Alberto.
- Luciano, Elisa & Regis, Luca & Vigna, Elena, 2012. "Delta–Gamma hedging of mortality and interest rate risk," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 402-412.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & Tobi, 2021.
"Non-Standard Errors,"
Working Papers
2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024. "Nonstandard Errors," Journal of Finance, American Finance Association, vol. 79(3), pages 2339-2390, June.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian Brownlees & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
- Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
- Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
- Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023. "Non-Standard Errors," LIDAM Reprints LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024. "Nonstandard errors," LSE Research Online Documents on Economics 123002, London School of Economics and Political Science, LSE Library.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
- Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, C.E.P.R. Discussion Papers.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
- Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022. "Non-Standard Errors," Swiss Finance Institute Research Paper Series 22-09, Swiss Finance Institute.
- Moinas, Sophie & Declerck, Fany & Menkveld, Albert J. & Dreber, Anna, 2023. "Non-Standard Errors," TSE Working Papers 23-1451, Toulouse School of Economics (TSE).
- Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024. "Nonstandard Errors," Post-Print hal-04676112, HAL.
- Ferrara, Gerardo & Jurkatis, Simon, 2021. "Non-standard errors," Bank of England working papers 955, Bank of England.
- Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
- Ciril Bosch-Rosa & Bernhard Kassner, 2023. "Non-Standard Errors," Rationality and Competition Discussion Paper Series 385, CRC TRR 190 Rationality and Competition.
- Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Janeway Institute Working Papers 2112, Faculty of Economics, University of Cambridge.
- Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
Cited by:
- Nate Breznau & Eike Mark Rinke & Alexander Wuttke & Hung H. V. Nguyen & Muna Adem & Jule Adriaans & Amalia Alvarez-Benjumea & Henrik K. Andersen & Daniel Auer & Flavio Azevedo & Oke Bahnsen & Dave Bal, 2022.
"Observing many researchers using the same data and hypothesis reveals a hidden universe of uncertainty,"
Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 119(44), pages 2203150119-, November.
- Breznau, Nate & Rinke, Eike Mark & Wuttke, Alexander & Nguyen, Hung H. V. & Adem, Muna & Adriaans, Jule & Alvarez-Benjumea, Amalia & Andersen, Henrik K. & Auer, Daniel & Azevedo, Flavio & Bahnsen, Oke, 2022. "Observing many researchers using the same data and hypothesis reveals a hidden universe of uncertainty," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 119(44), pages 1-8.
- Breznau, Nate & Rinke, Eike Mark & Wuttke, Alexander & Nguyen, Hung H V & Adem, Muna & Adriaans, Jule & Alvarez-Benjumea, Amalia & Andersen, Henrik K & Auer, Daniel & Azevedo, Flavio & Bahnsen, Oke & , 2022. "Observing many researchers using the same data and hypothesis reveals a hidden universe of uncertainty," Other publications TiSEM ddeb26bf-71be-4ea6-a7b9-c, Tilburg University, School of Economics and Management.
- Breznau, Nate & Rinke, Eike Mark & Wuttke, Alexander & Nguyen, Hung H.V. & Adem, Muna & Adriaans, Jule & Alvarez-Benjumea, Amalia & Andersen, Henrik K. & Auer, Daniel & Azevedo, Flavio & Bahnsen, Oke , 2022. "Observing many researchers using the same data and hypothesis reveals a hidden universe of uncertainty," LSE Research Online Documents on Economics 117278, London School of Economics and Political Science, LSE Library.
- Guillaume Coqueret, 2023. "Forking paths in financial economics," Papers 2401.08606, arXiv.org.
- Dreber, Anna & Johannesson, Magnus, 2023.
"A framework for evaluating reproducibility and replicability in economics,"
I4R Discussion Paper Series
38, The Institute for Replication (I4R).
- Dreber, Anna & Johannesson, Magnus, 2023. "A framework for evaluating reproducibility and replicability in economics," Ruhr Economic Papers 1055, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Fišar, Miloš & Greiner, Ben & Huber, Christoph & Katok, Elena & Ozkes, Ali & Collaboration, Management Science Reproducibility, 2023.
"Reproducibility in Management Science,"
OSF Preprints
mydzv, Center for Open Science.
- Fišar, Miloš & Greiner, Ben & Huber, Christoph & Katok, Elena & Ozkes, Ali & Management Science Reproducibility Collaboration, 2023. "Reproducibility in Management Science," Department for Strategy and Innovation Working Paper Series 03/2023, WU Vienna University of Economics and Business.
- Miloš Fišar & Ben Greiner & Christoph Huber & Elena Katok & Ali I Ozkes & The Management Science Reproducibility Collaboration, 2024. "Reproducibility in Management Science," Post-Print hal-04370984, HAL.
- Christoph Huber & Christian König-Kersting & Matteo M. Marini, 2022. "Experimenting with Financial Professionals," Working Papers 2022-07, Faculty of Economics and Statistics, Universität Innsbruck, revised Jun 2024.
- Stephen A. Gorman & Frank J. Fabozzi, 2023. "Alternative risk premium: specification noise," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 459-473, October.
- Christophe Pérignon & Olivier Akmansoy & Christophe Hurlin & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johanneson & Michael Kirchler & Albert Menkveld & Michael Razen & Utz Weitzel, 2022. "Reproducibility of Empirical Results: Evidence from 1,000 Tests in Finance," Working Papers hal-03810013, HAL.
- Benedetta Frassi & Fabio Pammolli & Luca Regis, 2017.
"The potential costs of Longevity Risk on Public Pensions. Evidence from Italian data,"
Working Papers
01/2017, IMT School for Advanced Studies Lucca, revised Jan 2017.
Cited by:
- Rachel WINGENBACH & Jong-Min KIM & Hojin JUNG, 2020. "Living Longer in High Longevity Risk," JODE - Journal of Demographic Economics, Cambridge University Press, vol. 86(1), pages 47-86, March.
- Clemente De Rosa & Elisa Luciano & Luca Regis, 2017.
"Geographical diversification and longevity risk mitigation in annuity portfolios,"
Carlo Alberto Notebooks
546, Collegio Carlo Alberto, revised 2019.
- De Rosa, Clemente & Luciano, Elisa & Regis, Luca, 2021. "Geographical Diversification And Longevity Risk Mitigation In Annuity Portfolios," ASTIN Bulletin, Cambridge University Press, vol. 51(2), pages 375-410, May.
Cited by:
- Petar Jevtić & Luca Regis, 2021. "A Square-Root Factor-Based Multi-Population Extension of the Mortality Laws," Mathematics, MDPI, vol. 9(19), pages 1-17, September.
- Giovanna Nicodano & Luca Regis, 2017.
"A Trade-off Theory of Ownership and Capital Structure,"
Working papers
045, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
- Nicodano, Giovanna & Regis, Luca, 2019. "A trade-off theory of ownership and capital structure," Journal of Financial Economics, Elsevier, vol. 131(3), pages 715-735.
Cited by:
- Gyoengyi Loranth & Anatoli Segura & Jing Zeng, 2022.
"Voluntary support and ring-fencing in cross-border banks,"
Temi di discussione (Economic working papers)
1373, Bank of Italy, Economic Research and International Relations Area.
- Loranth, Gyongyi & Segura, Anatoli & Zeng, Jing, 2022. "Voluntary Support and Ring-Fencing in Cross-border Banks," Working Paper Series 2688, European Central Bank.
- Li, Shuangyan & Fu, Huan & Wen, Jun & Chang, Chun-Ping, 2020. "Separation of ownership and control for Chinese listed firms: Effect on the cost of debt and the moderating role of bank competition," Journal of Asian Economics, Elsevier, vol. 67(C).
- Hossain, Mohammed Sawkat, 2021. "A revisit of capital structure puzzle: Global evidence and analysis," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 657-678.
- Albert Danso & Samuel Fosu & Samuel Owusu‐Agyei & Collins G. Ntim & Emmanuel Adegbite, 2021. "Capital structure revisited. Do crisis and competition matter in a Keiretsu corporate structure?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5073-5092, October.
- Michela Altieri & Giovanna Nicodano, 2020. "Survival and Pricing Puzzles," Carlo Alberto Notebooks 604, Collegio Carlo Alberto.
- Venkata Mrudula Bhimavarapu & Shailesh Rastogi & Jagjeevan Kanoujiya & Aashi Rawal, 2023. "Repercussion of financial distress and corporate disclosure on the valuation of non-financial firms in India," Future Business Journal, Springer, vol. 9(1), pages 1-19, December.
- Maya Sari, 2019. "Firm Size as Moderator to Capital Structure-Its Determinants Relations," GATR Journals jfbr163, Global Academy of Training and Research (GATR) Enterprise.
- Seonhyeon Kim & Jin-young Jung & Sung-woo Cho, 2024. "The Influence of Ownership Concentration on Sustainable Merger and Acquisition Performance: Navigating Principal Conflicts in the Korean Market," Sustainability, MDPI, vol. 16(12), pages 1-20, June.
- Maria Boutchkova & Diego Cueto & Angelica Gonzalez, 2022. "Test power properties of within-firm estimators of ownership and board-related explanatory variables with low time variation," Review of Quantitative Finance and Accounting, Springer, vol. 59(3), pages 1215-1269, October.
- Peter Jevtic & Luca Regis, 2016.
"A continuous-time stochastic model for the mortality surface of multiple populations,"
Working Papers
03/2016, IMT School for Advanced Studies Lucca, revised Jul 2016.
- Jevtić, Petar & Regis, Luca, 2019. "A continuous-time stochastic model for the mortality surface of multiple populations," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 181-195.
Cited by:
- Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
- Zhou, Hongjuan & Zhou, Kenneth Q. & Li, Xianping, 2022. "Stochastic mortality dynamics driven by mixed fractional Brownian motion," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 218-238.
- Petar Jevtić & Luca Regis, 2021. "A Square-Root Factor-Based Multi-Population Extension of the Mortality Laws," Mathematics, MDPI, vol. 9(19), pages 1-17, September.
- Xiaobai Zhu & Kenneth Q. Zhou & Zijia Wang, 2024. "A new paradigm of mortality modeling via individual vitality dynamics," Papers 2407.15388, arXiv.org, revised Oct 2024.
- Zeddouk, Fadoua & Devolder, Pierre, 2022. "Pricing and hedging of longevity basis risk through securitization," LIDAM Discussion Papers ISBA 2022038, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Wang, Ling & Chiu, Mei Choi & Wong, Hoi Ying, 2021. "Volterra mortality model: Actuarial valuation and risk management with long-range dependence," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 1-14.
- Ling Wang & Mei Choi Chiu & Hoi Ying Wong, 2020. "Volterra mortality model: Actuarial valuation and risk management with long-range dependence," Papers 2009.09572, arXiv.org.
- Cupido, Kyran & Jevtić, Petar & Paez, Antonio, 2020. "Spatial patterns of mortality in the United States: A spatial filtering approach," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 28-38.
- Francesco Menoncin & Luca Regis, 2015.
"Longevity assets and pre-retirement consumption/portfolio decisions,"
Working Papers
2/2015, IMT School for Advanced Studies Lucca, revised May 2015.
Cited by:
- Giuseppe Ambrosini & Francesco Menoncin, 2018. "Optimal Portfolios with Credit Default Swaps," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(1), pages 81-109, August.
- Kwok, Kai Yin & Chiu, Mei Choi & Wong, Hoi Ying, 2016. "Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegration," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 353-366.
- de Kort, J. & Vellekoop, M.H., 2017. "Existence of optimal consumption strategies in markets with longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 107-121.
- Clemente De Rosa & Elisa Luciano & Luca Regis, 2015.
"Basis risk in static versus dynamic longevity-risk hedging,"
Carlo Alberto Notebooks
425, Collegio Carlo Alberto, revised Oct 2015.
- Clemente De Rosa & Elisa Luciano & Luca Regis, 2017. "Basis risk in static versus dynamic longevity-risk hedging," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2017(4), pages 343-365, April.
Cited by:
- De Rosa, Clemente & Luciano, Elisa & Regis, Luca, 2021.
"Geographical Diversification And Longevity Risk Mitigation In Annuity Portfolios,"
ASTIN Bulletin, Cambridge University Press, vol. 51(2), pages 375-410, May.
- Clemente De Rosa & Elisa Luciano & Luca Regis, 2017. "Geographical diversification and longevity risk mitigation in annuity portfolios," Carlo Alberto Notebooks 546, Collegio Carlo Alberto, revised 2019.
- Petar Jevtic' & Luca Regis, 2014.
"Assessing the solvency of insurance portfolios via a continuous time cohort model,"
Working Papers
7/2014, IMT School for Advanced Studies Lucca, revised Jul 2014.
- Jevtić, Petar & Regis, Luca, 2015. "Assessing the solvency of insurance portfolios via a continuous-time cohort model," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 36-47.
Cited by:
- Zhou, Hongjuan & Zhou, Kenneth Q. & Li, Xianping, 2022. "Stochastic mortality dynamics driven by mixed fractional Brownian motion," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 218-238.
- Duc Khuong Nguyen & Dinh-Tri Vo, 2021.
"Enterprise Risk Management and Solvency: The Case of the Listed EU Insurers,"
Working Papers
2021-010, Department of Research, Ipag Business School.
- Nguyen, Duc Khuong & Vo, Dinh-Tri, 2020. "Enterprise risk management and solvency: The case of the listed EU insurers," Journal of Business Research, Elsevier, vol. 113(C), pages 360-369.
- Gambaro, Anna Maria & Casalini, Riccardo & Fusai, Gianluca & Ghilarducci, Alessandro, 2018. "Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 117-129.
- Elisa Luciano & Luca Regis, 2013.
"Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk,"
Carlo Alberto Notebooks
308, Collegio Carlo Alberto.
- Luciano, Elisa & Regis, Luca, 2014. "Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 68-77.
Cited by:
- Petar Jevtic' & Luca Regis, 2014.
"Assessing the solvency of insurance portfolios via a continuous time cohort model,"
Working Papers
7/2014, IMT School for Advanced Studies Lucca, revised Jul 2014.
- Jevtić, Petar & Regis, Luca, 2015. "Assessing the solvency of insurance portfolios via a continuous-time cohort model," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 36-47.
- Milevsky, Moshe A., 2020. "Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age?," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 147-161.
- Zhou, Kenneth Q. & Li, Johnny Siu-Hang, 2019. "Delta-hedging longevity risk under the M7–M5 model: The impact of cohort effect uncertainty and population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 1-21.
- Elisa Luciano & Luca Regis & Elena Vigna, 2012.
"Single and cross-generation natural hedging of longevity and financial risk,"
Carlo Alberto Notebooks
257, Collegio Carlo Alberto.
- Elisa Luciano & Luca Regis & Elena Vigna, 2017. "Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 961-986, September.
- Elisa Luciano & Luca Regis & Elena Vigna, 2012. "Single and cross-generation natural hedging of longevity and financial risk," ICER Working Papers 04-2012, ICER - International Centre for Economic Research.
Cited by:
- Karim Barigou & Valeria Bignozzi & Andreas Tsanakas, 2021. "Insurance valuation: A two-step generalised regression approach," Post-Print hal-03043244, HAL.
- Karim Barigou & Daniel Linders & Fan Yang, 2021. "Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation," Papers 2109.13796, arXiv.org, revised Mar 2022.
- Zhou, Hongjuan & Zhou, Kenneth Q. & Li, Xianping, 2022. "Stochastic mortality dynamics driven by mixed fractional Brownian motion," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 218-238.
- Karim Barigou & Valeria Bignozzi & Andreas Tsanakas, 2020. "Insurance valuation: A two-step generalised regression approach," Papers 2012.04364, arXiv.org, revised Nov 2021.
- Petar Jevtic' & Luca Regis, 2014.
"Assessing the solvency of insurance portfolios via a continuous time cohort model,"
Working Papers
7/2014, IMT School for Advanced Studies Lucca, revised Jul 2014.
- Jevtić, Petar & Regis, Luca, 2015. "Assessing the solvency of insurance portfolios via a continuous-time cohort model," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 36-47.
- Peter Jevtic & Luca Regis, 2016.
"A continuous-time stochastic model for the mortality surface of multiple populations,"
Working Papers
03/2016, IMT School for Advanced Studies Lucca, revised Jul 2016.
- Jevtić, Petar & Regis, Luca, 2019. "A continuous-time stochastic model for the mortality surface of multiple populations," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 181-195.
- Barigou, Karim & Chen, Ze & Dhaene, Jan, 2019. "Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 19-29.
- Andy Wong & Michael Sherris & Ralph Stevens, 2017. "Natural Hedging Strategies for Life Insurers: Impact of Product Design and Risk Measure," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(1), pages 153-175, March.
- Chen, Ze & Chen, Bingzheng & Dhaene, Jan & Yang, Tianyu, 2021. "Fair dynamic valuation of insurance liabilities via convex hedging," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 1-13.
- An Chen & Elena Vigna, 2015. "A unisex stochastic mortality model to comply with EU Gender Directive," Carlo Alberto Notebooks 440, Collegio Carlo Alberto.
- Hainaut, Donatien & Devolder, Pierre & Pelsser, Antoon, 2018.
"Robust evaluation of SCR for participating life insurances under Solvency II,"
Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 107-123.
- Hainaut, Donatien & Devolder, Pierre & Pelsser, Antoon, 2018. "Robust evaluation of SCR for participating life insurances under Solvency II," LIDAM Reprints ISBA 2018011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hainaut, D. & Devolder, P. & Pelsser, A., 2017. "Robust evaluation of SCR for participating life insurances under Solvency II," LIDAM Discussion Papers ISBA 2017011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hanbali, Hamza & Denuit, Michel & Dhaene, Jan & Trufin, Julien, 2019.
"A dynamic equivalence principle for systematic longevity risk management,"
LIDAM Reprints ISBA
2019009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hanbali, Hamza & Denuit, Michel & Dhaene, Jan & Trufin, Julien, 2019. "A dynamic equivalence principle for systematic longevity risk management," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 158-167.
- Karim Barigou & Daniël Linders & Fan Yang, 2022. "Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation," Post-Print hal-03327710, HAL.
- Elisa Luciano & Luca Regis, 2013.
"Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk,"
Carlo Alberto Notebooks
308, Collegio Carlo Alberto.
- Luciano, Elisa & Regis, Luca, 2014. "Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 68-77.
- Elisa Luciano & Luca Regis, 2012. "Demographic risk transfer: is it worth for annuity providers?," ICER Working Papers 11-2012, ICER - International Centre for Economic Research.
- Cupido, Kyran & Jevtić, Petar & Paez, Antonio, 2020. "Spatial patterns of mortality in the United States: A spatial filtering approach," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 28-38.
- Clemente De Rosa & Elisa Luciano & Luca Regis, 2015. "Static versus dynamic longevity-risk hedging," Carlo Alberto Notebooks 403, Collegio Carlo Alberto.
- Elisa Luciano & Luca Regis & Elena Vigna, 2012.
"Natural delta gamma hedging of longevity and interest rate risk,"
ICER Working Papers - Applied Mathematics Series
21-2011, ICER - International Centre for Economic Research.
Cited by:
- Wenlong Hu, 2020. "Risk management of guaranteed minimum maturity benefits under stochastic mortality and regime-switching by Fourier space time-stepping framework," Papers 2006.15483, arXiv.org, revised Dec 2020.
- Elisa Luciano & Luca Regis & Elena Vigna, 2011.
"Delta and Gamma hedging of mortality and interest rate risk,"
ICER Working Papers - Applied Mathematics Series
01-2011, ICER - International Centre for Economic Research.
Cited by:
- Elisa Luciano & Luca Regis & Elena Vigna, 2012.
"Single and cross-generation natural hedging of longevity and financial risk,"
Carlo Alberto Notebooks
257, Collegio Carlo Alberto.
- Elisa Luciano & Luca Regis & Elena Vigna, 2017. "Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 961-986, September.
- Elisa Luciano & Luca Regis & Elena Vigna, 2012. "Single and cross-generation natural hedging of longevity and financial risk," ICER Working Papers 04-2012, ICER - International Centre for Economic Research.
- Wenlong Hu, 2020. "Risk management of guaranteed minimum maturity benefits under stochastic mortality and regime-switching by Fourier space time-stepping framework," Papers 2006.15483, arXiv.org, revised Dec 2020.
- Clemente De Rosa & Elisa Luciano & Luca Regis, 2015. "Static versus dynamic longevity-risk hedging," Carlo Alberto Notebooks 403, Collegio Carlo Alberto.
- Elisa Luciano & Luca Regis & Elena Vigna, 2012. "Natural delta gamma hedging of longevity and interest rate risk," ICER Working Papers - Applied Mathematics Series 21-2011, ICER - International Centre for Economic Research.
- Elisa Luciano & Luca Regis & Elena Vigna, 2012.
"Single and cross-generation natural hedging of longevity and financial risk,"
Carlo Alberto Notebooks
257, Collegio Carlo Alberto.
- Luca Regis, 2011.
"A Bayesian copula model for stochastic claims reserving,"
Carlo Alberto Notebooks
227, Collegio Carlo Alberto.
Cited by:
- Werner, Christoph & Bedford, Tim & Cooke, Roger M. & Hanea, Anca M. & Morales-Nápoles, Oswaldo, 2017. "Expert judgement for dependence in probabilistic modelling: A systematic literature review and future research directions," European Journal of Operational Research, Elsevier, vol. 258(3), pages 801-819.
- Luca Regis & Simone Scotti, 2008.
"Risk Premium Impact in the Perturbative Black Scholes Model,"
Papers
0806.0307, arXiv.org.
Cited by:
- Simone Scotti, 2010. "The impact of uncertainties on the pricing of contingent claims," Papers 1001.5202, arXiv.org.
- Elisa Luciano & Luca Regis, 2007.
"Bank Efficiency and Banking Sector Development: the Case of Italy,"
ICER Working Papers - Applied Mathematics Series
5-2007, ICER - International Centre for Economic Research.
Cited by:
- Nikolay Nenovsky & Martin Ivanov & Gergana Mihaylova, 2008. "The Evolution of Bulgarian Banks' Efficiency During the Twenties: A Dea Approach," Working Papers 82, Bank of Greece.
- Nikolay Nenovsky & Gergana Mihailova-Borisova, 2017. "Efficiency of the Bulgarian Banks in the Twenties of Last Century: Historical Reconstruction by means of Nontraditional Methods of Efficiency Measurement," Proceedings of the Centre for Economic History Research, Centre for Economic History Research, vol. 2, pages 168-191, November.
- Muneesh Kumar & Padmasai Arora, 2010. "Bank efficiency measurement using alternative techniques of frontier analysis: evidence from India," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 2(1), pages 40-69.
- Padilla-Hernández, Salvador & Venegas-Martínez, Francisco & Gómez-Monge, Rodrigo (ed.), 2011. "Avances recientes en teoría y práctica económica," Sección de Estudios de Posgrado e Investigación de la Escuela Superios de Economía del Instituto Politécnico Nacional, Escuela Superior de Economía, Instituto Politécnico Nacional, edition 1, volume 2, number 006, January.
- Katerina Voycheska, 2011. "Empirical Research on the Banking Efficiency in R. Macedonia," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 73-93.
Articles
- De Rosa, Clemente & Luciano, Elisa & Regis, Luca, 2021.
"Geographical Diversification And Longevity Risk Mitigation In Annuity Portfolios,"
ASTIN Bulletin, Cambridge University Press, vol. 51(2), pages 375-410, May.
See citations under working paper version above.
- Clemente De Rosa & Elisa Luciano & Luca Regis, 2017. "Geographical diversification and longevity risk mitigation in annuity portfolios," Carlo Alberto Notebooks 546, Collegio Carlo Alberto, revised 2019.
- Jevtić, Petar & Regis, Luca, 2019.
"A continuous-time stochastic model for the mortality surface of multiple populations,"
Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 181-195.
See citations under working paper version above.
- Peter Jevtic & Luca Regis, 2016. "A continuous-time stochastic model for the mortality surface of multiple populations," Working Papers 03/2016, IMT School for Advanced Studies Lucca, revised Jul 2016.
- Nicodano, Giovanna & Regis, Luca, 2019.
"A trade-off theory of ownership and capital structure,"
Journal of Financial Economics, Elsevier, vol. 131(3), pages 715-735.
See citations under working paper version above.
- Giovanna Nicodano & Luca Regis, 2017. "A Trade-off Theory of Ownership and Capital Structure," Working papers 045, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
- Elisa Luciano & Luca Regis & Elena Vigna, 2017.
"Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk,"
Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 961-986, September.
See citations under working paper version above.
- Elisa Luciano & Luca Regis & Elena Vigna, 2012. "Single and cross-generation natural hedging of longevity and financial risk," Carlo Alberto Notebooks 257, Collegio Carlo Alberto.
- Elisa Luciano & Luca Regis & Elena Vigna, 2012. "Single and cross-generation natural hedging of longevity and financial risk," ICER Working Papers 04-2012, ICER - International Centre for Economic Research.
- Menoncin, Francesco & Regis, Luca, 2017.
"Longevity-linked assets and pre-retirement consumption/portfolio decisions,"
Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 75-86.
Cited by:
- Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2020.
"Sharing of longevity basis risk in pension schemes with income-drawdown guarantees,"
Working Papers
2020_18, Business School - Economics, University of Glasgow.
- Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2020. "Sharing of longevity basis risk in pension schemes with income-drawdown guarantees," Papers 2002.05232, arXiv.org.
- Francesco Menoncin & Sergio Vergalli, 2021.
"Optimal stopping time, consumption, labour, and portfolio decision for a pension scheme,"
Journal of Economics, Springer, vol. 132(1), pages 67-98, January.
- Francesco Menoncin & Sergio Vergalli, 2019. "Optimal Stopping Time, Consumption, Labour, and Portfolio Decision for a Pension Scheme," Working Papers 2019.09, Fondazione Eni Enrico Mattei.
- Menoncin, Francesco & Vergalli, Sergio, 2019. "Optimal Stopping Time, Consumption, Labour, and Portfolio Decision for a Pension Scheme," ETA: Economic Theory and Applications 288459, Fondazione Eni Enrico Mattei (FEEM).
- Menoncin, Francesco & Regis, Luca, 2020. "Optimal life-cycle labour supply, consumption, and investment: The role of longevity-linked assets," Journal of Banking & Finance, Elsevier, vol. 120(C).
- Milevsky, Moshe A., 2020. "Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age?," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 147-161.
- Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2019.
"Hedging longevity risk in defined contribution pension schemes,"
Papers
1904.10229, arXiv.org, revised May 2020.
- Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2023. "Hedging longevity risk in defined contribution pension schemes," Computational Management Science, Springer, vol. 20(1), pages 1-34, December.
- Schmeck, Maren Diane & Schmidli, Hanspeter, 2019. "Mortality Options: the Point of View of an Insurer," Center for Mathematical Economics Working Papers 616, Center for Mathematical Economics, Bielefeld University.
- Andreas Lichtenstern & Pavel V. Shevchenko & Rudi Zagst, 2019. "Optimal life-cycle consumption and investment decisions under age-dependent risk preferences," Papers 1908.09976, arXiv.org.
- Schmeck, Maren Diane & Schmidli, Hanspeter, 2021. "Mortality options: The point of view of an insurer," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 98-115.
- Park, Kyunghyun & Wong, Hoi Ying & Yan, Tingjin, 2023. "Robust retirement and life insurance with inflation risk and model ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 1-30.
- Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2020.
"Sharing of longevity basis risk in pension schemes with income-drawdown guarantees,"
Working Papers
2020_18, Business School - Economics, University of Glasgow.
- Jevtić, Petar & Regis, Luca, 2015.
"Assessing the solvency of insurance portfolios via a continuous-time cohort model,"
Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 36-47.
See citations under working paper version above.
- Petar Jevtic' & Luca Regis, 2014. "Assessing the solvency of insurance portfolios via a continuous time cohort model," Working Papers 7/2014, IMT School for Advanced Studies Lucca, revised Jul 2014.
- Luciano, Elisa & Regis, Luca, 2014.
"Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk,"
Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 68-77.
See citations under working paper version above.
- Elisa Luciano & Luca Regis, 2013. "Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk," Carlo Alberto Notebooks 308, Collegio Carlo Alberto.
- Luciano, Elisa & Regis, Luca & Vigna, Elena, 2012.
"Delta–Gamma hedging of mortality and interest rate risk,"
Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 402-412.
Cited by:
- Karim Barigou & Lukasz Delong, 2021. "Pricing equity-linked life insurance contracts with multiple risk factors by neural networks," Post-Print hal-02896141, HAL.
- Cláudia Simões & Luís Oliveira & Jorge M. Bravo, 2021. "Immunization Strategies for Funding Multiple Inflation-Linked Retirement Income Benefits," Risks, MDPI, vol. 9(4), pages 1-28, March.
- Karim Barigou & Lukasz Delong, 2020. "Pricing equity-linked life insurance contracts with multiple risk factors by neural networks," Papers 2007.08804, arXiv.org, revised Nov 2021.
- Liang, Zongxia & Ma, Ming, 2015. "Optimal dynamic asset allocation of pension fund in mortality and salary risks framework," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 151-161.
- Anastasia Novokreshchenova, 2016. "Predicting Human Mortality: Quantitative Evaluation of Four Stochastic Models," Risks, MDPI, vol. 4(4), pages 1-28, December.
- David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang, 2017.
"Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference,"
Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 477-493, April.
- David Blake & Marco Morales & Jing Ai & Patrick L. Brockett & Linda L. Golden & Wei Zhu, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 319-343, April.
- David Blake & Marco Morales & Yijia Lin & Richard D. MacMinn & Ruilin Tian & Jifeng Yu, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 345-365, April.
- David Blake & Marco Morales & Andreas Milidonis & Maria Efthymiou, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 495-514, April.
- David Blake & Marco Morales & Yijia Lin & Tianxiang Shi & Ayşe Arik, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 367-392, April.
- David Blake & Marco Morales, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 273-277, April.
- David Blake & Marco Morales & Hua Chen & Richard D. MacMinn & Tao Sun, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 393-415, April.
- David Blake & Marco Morales & Hong Li & Anja Waegenaere & Bertrand Melenberg, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 459-475, April.
- David Blake & Marco Morales & Kenneth Q. Zhou & Johnny Siu-Hang Li, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 417-437, April.
- David Blake & Marco Morales & Richard D. MacMinn & Nan Zhu, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 439-458, April.
- David Blake & Marco Morales & David Blake & Marco Morales, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 279-297, April.
- David Blake & Marco Morales & Richard MacMinn & Patrick Brockett, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 299-317, April.
- David Blake & Marco Morales & Enrico Biffis & Yijia Lin & Andreas Milidonis, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 515-532, April.
- Yao Tung Huang & Yue Kuen Kwok, 2016. "Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees," Quantitative Finance, Taylor & Francis Journals, vol. 16(6), pages 905-928, June.
- Zhou, Hongjuan & Zhou, Kenneth Q. & Li, Xianping, 2022. "Stochastic mortality dynamics driven by mixed fractional Brownian motion," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 218-238.
- Liu, Yanxin & Li, Johnny Siu-Hang, 2018. "A strategy for hedging risks associated with period and cohort effects using q-forwards," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 267-285.
- Man Chung Fung & Katja Ignatieva & Michael Sherris, 2019. "Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives," Risks, MDPI, vol. 7(1), pages 1-25, January.
- Liu, Yanxin & Li, Johnny Siu-Hang, 2016. "It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 301-319.
- Zhou, Rui & Li, Johnny Siu-Hang & Tan, Ken Seng, 2015. "Modeling longevity risk transfers as Nash bargaining problems: Methodology and insights," Economic Modelling, Elsevier, vol. 51(C), pages 460-472.
- Elisa Luciano & Luca Regis & Elena Vigna, 2012.
"Single and cross-generation natural hedging of longevity and financial risk,"
Carlo Alberto Notebooks
257, Collegio Carlo Alberto.
- Elisa Luciano & Luca Regis & Elena Vigna, 2017. "Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 961-986, September.
- Elisa Luciano & Luca Regis & Elena Vigna, 2012. "Single and cross-generation natural hedging of longevity and financial risk," ICER Working Papers 04-2012, ICER - International Centre for Economic Research.
- Milevsky, Moshe A., 2020. "Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age?," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 147-161.
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- Juraj Hruška, 2015. "Delta-gamma-theta Hedging of Crude Oil Asian Options," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 63(6), pages 1897-1903.
- Changyu Liu & Michael Sherris, 2017. "Immunization and Hedging of Post Retirement Income Annuity Products," Risks, MDPI, vol. 5(1), pages 1-29, March.
- Chen, An & Vigna, Elena, 2017. "A unisex stochastic mortality model to comply with EU Gender Directive," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 124-136.
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"Hedging longevity risk in defined contribution pension schemes,"
Papers
1904.10229, arXiv.org, revised May 2020.
- Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2023. "Hedging longevity risk in defined contribution pension schemes," Computational Management Science, Springer, vol. 20(1), pages 1-34, December.
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- De Rosa, Clemente & Luciano, Elisa & Regis, Luca, 2021.
"Geographical Diversification And Longevity Risk Mitigation In Annuity Portfolios,"
ASTIN Bulletin, Cambridge University Press, vol. 51(2), pages 375-410, May.
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- Elisa Luciano & Luca Regis, 2013.
"Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk,"
Carlo Alberto Notebooks
308, Collegio Carlo Alberto.
- Luciano, Elisa & Regis, Luca, 2014. "Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 68-77.
- Clemente De Rosa & Elisa Luciano & Luca Regis, 2017.
"Basis risk in static versus dynamic longevity-risk hedging,"
Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2017(4), pages 343-365, April.
- Clemente De Rosa & Elisa Luciano & Luca Regis, 2015. "Basis risk in static versus dynamic longevity-risk hedging," Carlo Alberto Notebooks 425, Collegio Carlo Alberto, revised Oct 2015.
- Elisa Luciano & Luca Regis, 2012. "Demographic risk transfer: is it worth for annuity providers?," ICER Working Papers 11-2012, ICER - International Centre for Economic Research.
- Man Chung Fung & Katja Ignatieva & Michael Sherris, 2015. "Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives," Papers 1508.00090, arXiv.org.
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More information
Research fields, statistics, top rankings, if available.Statistics
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Rankings
This author is among the top 5% authors according to these criteria:Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 15 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-RMG: Risk Management (7) 2012-07-08 2013-01-19 2013-11-16 2014-08-16 2015-04-02 2015-09-18 2017-01-22. Author is listed
- NEP-AGE: Economics of Ageing (4) 2015-04-02 2015-05-16 2016-07-23 2017-01-22
- NEP-CFN: Corporate Finance (4) 2013-11-16 2014-11-12 2015-08-13 2021-12-13
- NEP-ECM: Econometrics (2) 2012-01-03 2016-07-23
- NEP-HEA: Health Economics (2) 2011-06-25 2016-07-23
- NEP-IAS: Insurance Economics (2) 2013-01-19 2014-08-16
- NEP-PBE: Public Economics (2) 2015-08-13 2018-01-08
- NEP-UPT: Utility Models and Prospect Theory (2) 2015-05-16 2021-12-13
- NEP-CMP: Computational Economics (1) 2015-05-16
- NEP-CWA: Central and Western Asia (1) 2021-12-13
- NEP-EVO: Evolutionary Economics (1) 2016-07-23
- NEP-ORE: Operations Research (1) 2021-12-13
- NEP-PUB: Public Finance (1) 2015-08-13
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