Luca Passalacqua

La Sapienza, University of Rome

Viale Regina Elena, 295

Rome, 00161

Italy

SCHOLARLY PAPERS

5

DOWNLOADS

626

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

An Investigation of Machine Learning Approaches in the Solvency II Valuation Framework

Number of pages: 25 Posted: 03 Jan 2019
University of Rome I, University of Naples Parthenope - Department of Management Studies and Quantitative Methods, University of Naples Parthenope - Department of Management Studies and Quantitative Methods, La Sapienza, University of Rome, University of Naples Parthenope - Department of Management Studies and Quantitative Methods, University of naples "Parthenope" Department of Economic and Legal Studies and University of Naples Parthenope - Department of Management Studies and Quantitative Methods
Downloads 237 (128,934)

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Solvency II, Nested Monte Carlo, With-Profit Insurance Policies, Least Squares Monte Carlo, Support Vector Machines, Deep Learning

2.

Modelling Interest Rates by Correlated Multi-Factor CIR-Like Processes

Number of pages: 23 Posted: 29 Jul 2008 Last Revised: 31 Jul 2008
Lorenzo Bertini and Luca Passalacqua
University of Rome I and La Sapienza, University of Rome
Downloads 174 (172,251)

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Interest rates, Multidimensional CIR processes, Potential theory

3.

A Dynamic Programming Approach for the Valuation of Callable Corporate Bonds within the CIR Framework

Number of pages: 19 Posted: 29 Jul 2008 Last Revised: 07 Aug 2008
Luca Passalacqua
La Sapienza, University of Rome
Downloads 125 (225,923)

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4.

Mixed-Integer Credit Portfolio Optimization: An Application to Italian Segregated Funds

Number of pages: 14 Posted: 29 Jul 2008 Last Revised: 07 Aug 2008
Luca Passalacqua
La Sapienza, University of Rome
Downloads 60 (356,503)

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5.

Discounting Over the Triangle: An Addendum to the Mean Square Error of Prediction in the Chain Ladder Reserving Method

QUADERNI DI RICERCA, ANNO XIII, No. 34, 2008
Number of pages: 17 Posted: 29 Jul 2008 Last Revised: 07 Aug 2008
Luca Passalacqua and Marco Vignati
La Sapienza, University of Rome and University of Rome I
Downloads 30 (467,291)

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