Marilena Sibillo

Personal Details

First Name:	Marilena
Middle Name:
Last Name:	Sibillo
Suffix:
RePEc Short-ID:	psi523
	[This author has chosen not to make the email address public]
	http://www.unisa.it/docenti/sibillo/index

Affiliation

Dipartimento di Scienze Economiche e Statistiche (DISES)
Università degli Studi di Salerno

Fisciano, Italy
http://www.dises.unisa.it/
RePEc:edi:dssalit (more details at EDIRC)

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

1. Marco Corazza & Florence Legros & Cira Perna & Marilena Sibillo, 2017. "Mathematical and Statistical Methods for Actuarial Sciences and Finance," Post-Print hal-01776135, HAL.

   Cited by:

   1. Marco Corazza & Stefania Funari & Riccardo Gusso, 2012. "An evolutionary approach to preference disaggregation in a MURAME-based credit scoring problem," Working Papers 5, Venice School of Management - Department of Management, Università Ca' Foscari Venezia.
   2. Marco Marozzi, 2014. "Construction, dimension reduction and uncertainty analysis of an index of trust in public institutions," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(2), pages 939-953, March.
   3. Lorenzo Mercuri & Edit Rroji, 2018. "Risk parity for Mixed Tempered Stable distributed sources of risk," Annals of Operations Research, Springer, vol. 260(1), pages 375-393, January.
   4. Gian Luca Tassinari & Michele Leonardo Bianchi, 2014. "Calibrating The Smile With Multivariate Time-Changed Brownian Motion And The Esscher Transform," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(04), pages 1-34.
   5. Catalina Bolance & Montserrat Guillen & David Pitt, 2014. "Non-parametric Models for Univariate Claim Severity Distributions - an approach using R," Working Papers 2014-01, Universitat de Barcelona, UB Riskcenter.
   6. V. Pozdnyakov & L. M. Elbroch & C. Hu & T. Meyer & J. Yan, 2020. "On Estimation for Brownian Motion Governed by Telegraph Process with Multiple Off States," Methodology and Computing in Applied Probability, Springer, vol. 22(3), pages 1275-1291, September.
   7. Luković Stevan & Marinković Srđan, 2019. "Comparative Analysis of Retirement Benefits in Private Pension Funds and Public Pension System," Economic Themes, Sciendo, vol. 57(2), pages 145-164, June.
   8. Roman G. Smirnov & Kunpeng Wang, 2019. "The Hamiltonian approach to the problem of derivation of production functions in economic growth theory," Papers 1906.11224, arXiv.org.
   9. Domenico Piccolo & Rosaria Simone, 2019. "The class of cub models: statistical foundations, inferential issues and empirical evidence," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(3), pages 389-435, September.
   10. Devolder, Pierre & Melis, Roberta, 2015. "Optimal Mix Between Pay As You Go And Funding For Pension Liabilities In A Stochastic Framework," ASTIN Bulletin, Cambridge University Press, vol. 45(3), pages 551-575, September.
       • Devolder, Pierre & Melis, Roberta & Miller, Aurelie, 2012. "Optimal mix between pay as you go and funding for pension liabilities in a stochastic framework," LIDAM Discussion Papers ISBA 2012029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
       • Devolder, Pierre & Melis, Roberta, 2015. "Optimal mix between pay as you go and funding for pension liabilities in a stochastic framework," LIDAM Reprints ISBA 2015029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
   11. Vladimir Pozdnyakov & L. Mark Elbroch & Anthony Labarga & Thomas Meyer & Jun Yan, 2019. "Discretely Observed Brownian Motion Governed by Telegraph Process: Estimation," Methodology and Computing in Applied Probability, Springer, vol. 21(3), pages 907-920, September.
   12. Turcas Florin & Dumiter Florin & Brezeanu Petre & Jimon Stefania, 2016. "Theoretical and Practical Issues in Business Valuation," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 26(4), pages 1-23, November.
   13. Jing Shi & Marcel Ausloos & Tingting Zhu, 2017. "Benford's law first significant digit and distribution distances for testing the reliability of financial reports in developing countries," Papers 1712.00131, arXiv.org.
       • Shi, Jing & Ausloos, Marcel & Zhu, Tingting, 2018. "Benford’s law first significant digit and distribution distances for testing the reliability of financial reports in developing countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 878-888.
   14. Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2011. "Time series analysis for financial market meltdowns," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1879-1891, August.
       • Young Shin Kim & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2010. "Time series analysis for financial market meltdowns," Working Paper Series in Economics 2, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
   15. Haruhiko Ogasawara, 2019. "The multiple Cantelli inequalities," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(3), pages 495-506, September.
   16. Rick Bohte & Luca Rossini, 2019. "Comparing the Forecasting of Cryptocurrencies by Bayesian Time-Varying Volatility Models," JRFM, MDPI, vol. 12(3), pages 1-18, September.
       • Rick Bohte & Luca Rossini, 2019. "Comparing the forecasting of cryptocurrencies by Bayesian time-varying volatility models," Papers 1909.06599, arXiv.org.
   17. Di Bernardino Elena & Rullière Didier, 2013. "On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators," Dependence Modeling, De Gruyter, vol. 1(2013), pages 1-36, October.
       • Elena Di Bernardino & Didier Rullière, 2013. "On certain transformation of Archimedean copulas: Application to the non-parametric estimation of their generators," Post-Print hal-00834000, HAL.
   18. Marina Resta, 2016. "VaRSOM: A Tool to Monitor Markets' Stability Based on Value at Risk and Self‐Organizing Maps," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 23(1-2), pages 47-64, January.
   19. Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2013. "Tempered stable Ornstein-Uhlenbeck processes: a practical view," Temi di discussione (Economic working papers) 912, Bank of Italy, Economic Research and International Relations Area.
   20. De Luca, Giovanni & Zuccolotto, Paola, 2013. "A Conditional Value-at-Risk Based Portfolio Selection With Dynamic Tail Dependence Clustering," MPRA Paper 50129, University Library of Munich, Germany.
   21. Adam Misiorek & Rafal Weron, 2010. "Heavy-tailed distributions in VaR calculations," HSC Research Reports HSC/10/05, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
   22. Gianna Figà-Talamanca & Marco Patacca, 2020. "Disentangling the relationship between Bitcoin and market attention measures," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 47(1), pages 71-91, March.
   23. Urbina, Jilber & Guillén, Montserrat, 2013. "An application of capital allocation principles to operational risk," MPRA Paper 75726, University Library of Munich, Germany, revised Dec 2013.
       • Urbina, Jilber & Guillén, Montserrat, 2013. "An application of capital allocation principles to operational risk," Working Papers 2072/222201, Universitat Rovira i Virgili, Department of Economics.
   24. Catania, Leopoldo & Grassi, Stefano & Ravazzolo, Francesco, 2019. "Forecasting cryptocurrencies under model and parameter instability," International Journal of Forecasting, Elsevier, vol. 35(2), pages 485-501.
   25. Juchem Neto, J.P. & Claeyssen, J.C.R. & Pôrto Júnior, S.S., 2018. "Economic agglomerations and spatio-temporal cycles in a spatial growth model with capital transport cost," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 76-86.
   26. Stefania Corsaro & Valentina De Simone & Zelda Marino, 2021. "Fused Lasso approach in portfolio selection," Annals of Operations Research, Springer, vol. 299(1), pages 47-59, April.
   27. Javed, Farrukh & Loperfido, Nicola & Mazur, Stepan, 2024. "Edgeworth expansions for multivariate random sums," Econometrics and Statistics, Elsevier, vol. 31(C), pages 66-80.
       • Javed, Farrukh & Loperfido, Nicola & Mazur, Stepan, 2020. "Edgeworth Expansions for Multivariate Random Sums," Working Papers 2020:9, Örebro University, School of Business.
   28. Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010. "Models for Heavy-tailed Asset Returns," MPRA Paper 25494, University Library of Munich, Germany.
       • Szymon Borak & Adam Misiorek & Rafal Weron, 2010. "Models for Heavy-tailed Asset Returns," HSC Research Reports HSC/10/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
       • Borak, Szymon & Misiorek, Adam & Weron, Rafał, 2010. "Models for heavy-tailed asset returns," SFB 649 Discussion Papers 2010-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
   29. Marco Marozzi, 2015. "Measuring Trust in European Public Institutions," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 123(3), pages 879-895, September.
   30. David Pitt & Montserrat Guillen & Catalina Bolancé, 2011. "Estimation of Parametric and Nonparametric Models for Univariate Claim Severity Distributions - an approach using R," Working Papers XREAP2011-06, Xarxa de Referència en Economia Aplicada (XREAP), revised Jun 2011.
   31. Edoardo Otranto & Romana Gargano, 2015. "Financial clustering in presence of dominant markets," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 9(3), pages 315-339, September.
       • R. Gargano & E. Otranto, 2013. "Financial Clustering in Presence of Dominant Markets," Working Paper CRENoS 201318, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
   32. Svetlozar Rachev & Frank J. Fabozzi & Boryana Racheva-Iotova & Abootaleb Shirvani, 2017. "Option Pricing with Greed and Fear Factor: The Rational Finance Approach," Papers 1709.08134, arXiv.org, revised Mar 2020.
   33. Paola Ferretti & Antonella Campana, 2011. "XL reinsurance with reinstatements and initial premium feasibility in exchangeability hypothesis," Working Papers 2011_14, Department of Economics, University of Venice "Ca' Foscari".
   34. Nikita Ratanov, 2021. "Ornstein-Uhlenbeck Processes of Bounded Variation," Methodology and Computing in Applied Probability, Springer, vol. 23(3), pages 925-946, September.
   35. Bijsterbosch, Martin & Falagiarda, Matteo & Pasricha, Gurnain & Aizenman, Joshua, 2015. "Domestic and multilateral effects of capital controls in emerging markets," Working Paper Series 1844, European Central Bank.
       • Pasricha, Gurnain Kaur & Falagiarda, Matteo & Bijsterbosch, Martin & Aizenman, Joshua, 2018. "Domestic and multilateral effects of capital controls in emerging markets," Journal of International Economics, Elsevier, vol. 115(C), pages 48-58.
       • Gurnain Pasricha & Matteo Falagiarda & Martin Bijsterbosch & Joshua Aizenman, 2015. "Domestic and Multilateral Effects of Capital Controls in Emerging Markets," Staff Working Papers 15-37, Bank of Canada.
       • Gurnain Pasricha & Matteo Falagiarda & Martin Bijsterbosch & Joshua Aizenman, 2015. "Domestic and Multilateral Effects of Capital Controls in Emerging Markets," NBER Working Papers 20822, National Bureau of Economic Research, Inc.
   36. Michele Bianchi & Frank Fabozzi, 2014. "Discussion of ‘on simulation and properties of the stable law’ by Devroye and James," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(3), pages 353-357, August.
   37. Elena Di Bernardino & Didier Rullière, 2015. "Estimation of multivariate critical layers: Applications to rainfall data," Post-Print hal-00940089, HAL.
   38. Maria Iannario, 2012. "Modelling shelter choices in a class of mixture models for ordinal responses," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 21(1), pages 1-22, March.
   39. Antonio Di Crescenzo & Shelemyahu Zacks, 2015. "Probability Law and Flow Function of Brownian Motion Driven by a Generalized Telegraph Process," Methodology and Computing in Applied Probability, Springer, vol. 17(3), pages 761-780, September.
   40. Claudio Fontana & Juan Miguel A. Montes, 2012. "A unified approach to pricing and risk management of equity and credit risk," Papers 1212.5395, arXiv.org, revised May 2013.
   41. Luca GRILLI & Massimo Alfonso RUSSO & Roberto GISMONDI, 2012. "Methodological Proposals For A Qualitative Evaluation Of Italian Durum Wheat Varieties," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(2(20)/ Su), pages 103-122.
   42. Martina Nardon & Paolo Pianca, 2014. "European option pricing with constant relative sensitivity probability weighting function," Working Papers 2014:25, Department of Economics, University of Venice "Ca' Foscari".
   43. Vincenzo Candila, 2021. "Multivariate Analysis of Cryptocurrencies," Econometrics, MDPI, vol. 9(3), pages 1-17, July.
   44. Stefania Capecchi & Maria Iannario & Rosaria Simone, 2018. "Well-Being and Relational Goods: A Model-Based Approach to Detect Significant Relationships," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 135(2), pages 729-750, January.
   45. Francesco Battaglia & Domenico Cucina & Manuel Rizzo, 2020. "Detection and estimation of additive outliers in seasonal time series," Computational Statistics, Springer, vol. 35(3), pages 1393-1409, September.
   46. Alonso González, Pablo J., 2017. "Estimating life expectancy free of dependency : group characterization through the proximity to the deepest dependency path," DES - Working Papers. Statistics and Econometrics. WS 24672, Universidad Carlos III de Madrid. Departamento de Estadística.
   47. Wojciech Charemza & Carlos Díaz & Svetlana Makarova, 2015. "Choosing the Right Skew Normal Distribution: the Macroeconomist’ Dilemma," Discussion Papers in Economics 15/08, Division of Economics, School of Business, University of Leicester.
       • Wojciech Charemza & Carlos Diaz Vela & Svetlana Makarova, 2013. "Too many skew normal distributions? The practitioner’s perspective," Discussion Papers in Economics 13/07, Division of Economics, School of Business, University of Leicester.
   48. Giuseppina Albano & Michele La Rocca & Cira Perna, 2019. "Small sample properties of ML estimator in Vasicek and CIR models: a simulation experiment," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 5-19, June.
   49. Roman G. Smirnov & Kunpeng Wang, 2017. "In search of a new economic model determined by logistic growth," Papers 1711.02625, arXiv.org, revised Oct 2018.
   50. Boris Buchmann & Benjamin Kaehler & Ross Maller & Alexander Szimayer, 2015. "Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing," Papers 1502.03901, arXiv.org, revised Oct 2016.
   51. Antonella Basso & Stefania Funari, 2017. "The role of fund size in the performance of mutual funds assessed with DEA models," The European Journal of Finance, Taylor & Francis Journals, vol. 23(6), pages 457-473, May.
       • Antonella Basso & Stefania Funari, 2014. "The role of fund size in the performance of mutual funds assessed with DEA models," Working Papers 18, Venice School of Management - Department of Management, Università Ca' Foscari Venezia.
   52. Ekaterina Bulinskaya & Boris Shigida, 2021. "Discrete-Time Model of Company Capital Dynamics with Investment of a Certain Part of Surplus in a Non-Risky Asset for a Fixed Period," Methodology and Computing in Applied Probability, Springer, vol. 23(1), pages 103-121, March.
   53. Monica Billio & Roberto Casarin & Michele Costola & Lorenzo Frattarolo, 2019. "Opinion Dynamics and Disagreements on Financial Networks," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 24-51, December.
   54. Imlak Shaikh & Puja Padhi, 2014. "The forecasting performance of implied volatility index: evidence from India VIX," Economic Change and Restructuring, Springer, vol. 47(4), pages 251-274, November.
   55. Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2018. "Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 339-378, March.
       • Michele Leonardo Bianchi & Frank J. Fabozzi & Svetlozar T. Rachev, 2014. "Calibrating the Italian smile with time-varying volatility and heavy-tailed models," Temi di discussione (Economic working papers) 944, Bank of Italy, Economic Research and International Relations Area.
   56. Arianna Agosto & Enrico Moretto, 2010. "Applying default probabilities in an exponential barrier structural model," Economics and Quantitative Methods qf1005, Department of Economics, University of Insubria.
   57. Hasan Fallahgoul & Gregoire Loeper, 2021. "Modelling tail risk with tempered stable distributions: an overview," Annals of Operations Research, Springer, vol. 299(1), pages 1253-1280, April.
   58. Nikita Ratanov, 2016. "Option Pricing Under Jump-Diffusion Processes with Regime Switching," Methodology and Computing in Applied Probability, Springer, vol. 18(3), pages 829-845, September.
   59. Fabio Baione & Davide Biancalana & Paolo Angelis, 2021. "An application of Sigmoid and Double-Sigmoid functions for dynamic policyholder behaviour," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 5-22, June.
   60. Elena Di Bernardino & Didier Rullière, 2016. "On tail dependence coefficients of transformed multivariate Archimedean copulas," Post-Print hal-00992707, HAL.
   61. Nadine Gatzert & Katrin Osterrieder, 2020. "The future of mobility and its impact on the automobile insurance industry," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 23(1), pages 31-51, March.
   62. Martina Nardon & Paolo Pianca, 2016. "Covered call writing in a cumulative prospect theory framework," Working Papers 2016:35, Department of Economics, University of Venice "Ca' Foscari".
   63. Michele Leonardo Bianchi & Asmerilda Hitaj & Gian Luca Tassinari, 2020. "Multivariate non-Gaussian models for financial applications," Papers 2005.06390, arXiv.org.
   64. Genaro Sucarrat & Alvaro Escribano, 2012. "Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(5), pages 716-735, October.
   65. Elisa Pagani, 2015. "Certainty Equivalent: Many Meanings of a Mean," Working Papers 24/2015, University of Verona, Department of Economics.
   66. Michele Leonardo Bianchi, 2014. "Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective," Temi di discussione (Economic working papers) 957, Bank of Italy, Economic Research and International Relations Area.
   67. Flavia Barsotti & Simona Sanfelici, 2016. "Market Microstructure Effects on Firm Default Risk Evaluation," Econometrics, MDPI, vol. 4(3), pages 1-31, July.
   68. Giovanni De Luca & Paola Zuccolotto, 2017. "Dynamic tail dependence clustering of financial time series," Statistical Papers, Springer, vol. 58(3), pages 641-657, September.
   69. Martina Nardon & Paolo Pianca, 2019. "European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions," Computational Management Science, Springer, vol. 16(1), pages 249-274, February.

Articles

1. V. D’Amato & E. Lorenzo & S. Haberman & M. Sibillo & R. Tizzano, 2021. "Pension schemes versus real estate," Annals of Operations Research, Springer, vol. 299(1), pages 797-809, April.

   Cited by:

   1. Iván de la Fuente & Eliseo Navarro & Gregorio Serna, 2020. "Reverse Mortgage Risks. Time Evolution of VaR in Lump-Sum Solutions," Mathematics, MDPI, vol. 8(11), pages 1-17, November.
   2. de la Fuente, Iván & Navarro, Eliseo & Serna, Gregorio, 2023. "Proposal for calculating regulatory capital requirements for reverse mortgages," Socio-Economic Planning Sciences, Elsevier, vol. 88(C).
   3. Vaskövi, Ágnes & Jászfi, Evelin, 2023. "Az időskori szegénység és az öngondoskodás összefüggései Európában [Old age poverty and financial awareness in Europe]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 898-923.

2. Emilia Lorenzo & Gabriella Piscopo & Marilena Sibillo & Roberto Tizzano, 2021. "Reverse mortgages through artificial intelligence: new opportunities for the actuaries," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 23-35, June.

   Cited by:

   1. Tsai, Pei-Hsuan & Wang, Ying-Wei & Chang, Wen-Chang, 2023. "Hybrid MADM-based study of key risk factors in house-for-pension reverse mortgage lending in Taiwan's banking industry," Socio-Economic Planning Sciences, Elsevier, vol. 86(C).
   2. Susanna Levantesi & Gabriella Piscopo, 2020. "The Importance of Economic Variables on London Real Estate Market: A Random Forest Approach," Risks, MDPI, vol. 8(4), pages 1-17, October.
   3. Iván de la Fuente & Eliseo Navarro & Gregorio Serna, 2020. "Reverse Mortgage Risks. Time Evolution of VaR in Lump-Sum Solutions," Mathematics, MDPI, vol. 8(11), pages 1-17, November.
   4. de la Fuente, Iván & Navarro, Eliseo & Serna, Gregorio, 2023. "Proposal for calculating regulatory capital requirements for reverse mortgages," Socio-Economic Planning Sciences, Elsevier, vol. 88(C).

3. Emilia Di Lorenzo & Marilena Sibillo, 2020. "Economic Paradigms and Corporate Culture after the Great COVID-19 Pandemic: Towards a New Role of Welfare Organisations and Insurers," Sustainability, MDPI, vol. 12(19), pages 1-14, October.

   Cited by:

   1. Susanna Levantesi & Gabriella Piscopo, 2021. "COVID-19 Crisis and Resilience: Challenges for the Insurance Sector," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 11(3), pages 1-1.
   2. Susanna Levantesi & Gabriella Piscopo, 2021. "COVID-19 Crisis and Resilience: Challenges for the Insurance Sector," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 0, pages 1-1.
   3. D'Amato, Valeria & Di Lorenzo, Emilia & Piscopo, Gabriella & Sibillo, Marilena & Trotta, Annarita, 2024. "Insurance business and social sustainability: A proposal," Socio-Economic Planning Sciences, Elsevier, vol. 93(C).
   4. Giuseppe Orlando & Edward Bace, 2021. "Challenging Times for Insurance, Banking and Financial Supervision in Saudi Arabia (KSA)," Administrative Sciences, MDPI, vol. 11(3), pages 1-28, June.
   5. Ciardiello, Francesco & Di Lorenzo, Emilia & Menzietti, Massimiliano & Sibillo, Marilena, 2024. "Securitization for common health," Socio-Economic Planning Sciences, Elsevier, vol. 93(C).

4. Scognamiglio, Elisabetta & Di Lorenzo, Emilia & Sibillo, Marilena & Trotta, Annarita, 2019. "Social uncertainty evaluation in Social Impact Bonds: Review and framework," Research in International Business and Finance, Elsevier, vol. 47(C), pages 40-56.

   Cited by:

   1. Rosella Carè & Francesco Rania & Riccardo De Lisa, 2020. "Critical Success Factors, Motivations, and Risks in Social Impact Bonds," Sustainability, MDPI, vol. 12(18), pages 1-17, September.
   2. Benjamin S. Thompson, 2023. "Impact investing in biodiversity conservation with bonds: An analysis of financial and environmental risk," Business Strategy and the Environment, Wiley Blackwell, vol. 32(1), pages 353-368, January.
   3. Francesco Rania & Annarita Trotta & Rosella Carè & Maria Cristina Migliazza & Abdellah Kabli, 2020. "Social Uncertainty Evaluation of Social Impact Bonds: A Model and Practical Application," Sustainability, MDPI, vol. 12(9), pages 1-34, May.
   4. Eleonora Broccardo & Maria Mazzuca & Maria Laura Frigotto, 2020. "Social impact bonds: The evolution of research and a review of the academic literature," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 27(3), pages 1316-1332, May.
   5. Mariano Méndez-Suárez & Abel Monfort & Fernando Gallardo, 2020. "Sustainable Banking: New Forms of Investing under the Umbrella of the 2030 Agenda," Sustainability, MDPI, vol. 12(5), pages 1-13, March.
   6. Federica Bandini & Helen Chiappini & Francesca Pallara, 2022. "Fund managers acting as impact investors: Strategies, practices, and tensions," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 29(4), pages 1084-1095, July.
   7. Alessandro Rizzello & Abdellah Kabli, 2020. "Sustainable Financial Partnerships for the SDGs: The Case of Social Impact Bonds," Sustainability, MDPI, vol. 12(13), pages 1-22, July.
   8. Rosella Carè & Stella Carè & Nathalie Lévy & Rabia Fatima, 2023. "Missing finance in social impact bond research? A bibliometric overview between past and future research," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 30(5), pages 2101-2120, September.
   9. Julie RIJPENS & Marie J. BOUCHARD & Emilien GRUET & Gabriel SALATHÉ-BEAULIEU, 2020. "Social Impact Bonds: Promises versus facts. What does the recent scientific literature tell us?," CIRIEC Working Papers 2015, CIRIEC - Université de Liège.

5. Giovanna Apicella & Michel Dacorogna & Emilia Di Lorenzo & Marilena Sibillo, 2019. "Improving the Forecast of Longevity by Combining Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 23(2), pages 298-319, April.

   Cited by:

   1. 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.

6. Valeria D’Amato & Emilia Di Lorenzo & Marilena Sibillo, 2018. "Dread Disease and Cause-Specific Mortality: Exploring New Forms of Insured Loans," Risks, MDPI, vol. 6(1), pages 1-21, February.

   Cited by:

   1. 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.
   2. Li-Fei Huang, 2018. "Using App Inventor to provide the amortization schedule and the sinking fund schedule," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 1-9, December.

7. D’Amato, Valeria & Di Lorenzo, Emilia & Haberman, Steven & Sagoo, Pretty & Sibillo, Marilena, 2018. "De-risking strategy: Longevity spread buy-in," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 124-136.

   Cited by:

   1. 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.
   2. Bravo, Jorge M. & Nunes, João Pedro Vidal, 2021. "Pricing longevity derivatives via Fourier transforms," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 81-97.
   3. Fadoua Zeddouk & Pierre Devolder, 2019. "Pricing of Longevity Derivatives and Cost of Capital," Risks, MDPI, vol. 7(2), pages 1-29, April.
   4. Emilia Di Lorenzo & Marilena Sibillo, 2020. "Economic Paradigms and Corporate Culture after the Great COVID-19 Pandemic: Towards a New Role of Welfare Organisations and Insurers," Sustainability, MDPI, vol. 12(19), pages 1-14, October.

8. Valeria D’Amato & Emilia Di Lorenzo & Steven Haberman & Maria Russolillo & Marilena Sibillo, 2011. "The Poisson Log-Bilinear Lee-Carter Model," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 315-333.

   Cited by:

   1. Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018. "Longevity risk and capital markets: The 2015–16 update," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
      • David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
   2. Blake, David & Courbage, Christophe & MacMinn, Richard & Sherris, Michael, 2011. "Longevity risks and capital markets: The 2010-2011 update," MPRA Paper 34279, University Library of Munich, Germany.
      • David Blake & Christophe Courbage & Richard MacMinn & Michael Sherris, 2011. "Longevity Risk and Capital Markets: The 2010–2011 Update," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(4), pages 489-500, October.

9. Marilena Sibillo & Emilia Di Lorenzo & Gerarda Tessitore, 2006. "A stochastic proportional hazard model for the force of mortality," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(7), pages 529-536.

   Cited by:

   1. David Atance & Alejandro Balbás & Eliseo Navarro, 2020. "Constructing dynamic life tables with a single-factor model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(2), pages 787-825, December.
   2. Giuseppina Albano & Michele La Rocca & Cira Perna, 2019. "Small sample properties of ML estimator in Vasicek and CIR models: a simulation experiment," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 5-19, June.
   3. Zhang, Yuxin & Brockett, Patrick, 2020. "Modeling stochastic mortality for joint lives through subordinators," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 166-172.

10. Mariarosaria Coppola & Emilia Di Lorenzo & Marilena Sibillo, 2003. "Stochastic analysis in life office management: applications to large annuity portfolios," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 19(1), pages 31-42, January.

    Cited by:

    1. Nolde, Natalia & Parker, Gary, 2014. "Stochastic analysis of life insurance surplus," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 1-13.
    2. Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E., 2008. "Longevity risk in portfolios of pension annuities," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 505-519, April.
    3. Chen, Li & Lin, Luyao & Lu, Yi & Parker, Gary, 2017. "Analysis of survivorship life insurance portfolios with stochastic rates of return," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 16-31.
    4. Cocozza, Rosa & Di Lorenzo, Emilia, 2007. "A Dynamic Solvency Approach for Life Insurance," MPRA Paper 28015, University Library of Munich, Germany.

11. Emilia Di Lorenzo & Marilena Sibillo & Gerarda Tessitore, 1999. "A stochastic model for financial evaluation: applications to actuarial contracts," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 15(4), pages 269-275, October.

    Cited by:

    1. Cocozza, R & Di Lorenzo, E & Sibillo, M, 2004. "Methodological problems in solvency assessment of an insurance company," MPRA Paper 27980, University Library of Munich, Germany.
    2. Cocozza, Rosa & Di Lorenzo, Emilia, 2007. "A Dynamic Solvency Approach for Life Insurance," MPRA Paper 28015, University Library of Munich, Germany.

Chapters

Sorry, no citations of chapters recorded.

Books

1. Cira Perna & Marilena Sibillo (ed.), 2008. "Mathematical and Statistical Methods in Insurance and Finance," Springer Books, Springer, number 978-88-470-0704-8, October.

   Cited by:

   1. Luca GRILLI & Massimo Alfonso RUSSO & Roberto GISMONDI, 2012. "Methodological Proposals For A Qualitative Evaluation Of Italian Durum Wheat Varieties," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(2(20)/ Su), pages 103-122.
   2. Varsha S. Kulkarni, 2013. "Complexity, Chaos, and the Duffing-Oscillator Model: An Analysis of Inventory Fluctuations in Markets," Papers 1308.1616, arXiv.org.
   3. Jochen Papenbrock & Peter Schwendner, 2015. "Handling risk-on/risk-off dynamics with correlation regimes and correlation networks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(2), pages 125-147, May.
   4. Magdalena Homa, 2022. "The Impact of MT Strategies on Risk and Value Distribution of Unit-linked Insurance Portfolio," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 607-619.

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