Clemente De Rosa

University of Turin - Collegio Carlo Alberto

via Real Collegio 30

Moncalieri, Torino 10024

Italy

SCHOLARLY PAPERS

2

DOWNLOADS

134

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Basis Risk in Static vs. Dynamic Longevity Risk Hedging

Carlo Alberto Notebooks, n.425
Number of pages: 31 Posted: 05 Dec 2015
Clemente De Rosa, Elisa Luciano and Luca Regis
University of Turin - Collegio Carlo Alberto, University of Turin - Department of Statistics and Applied Mathematics and University of Turin
Downloads 84 (529,182)
Citation 2

Abstract:

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longevity risk, basis risk, static vs. dynamic hedging, longevity swaps, longevity bonds

2.

Geographical Diversification and Longevity Risk Mitigation in Annuity Portfolios

Number of pages: 30 Posted: 31 Dec 2019
Clemente De Rosa, Elisa Luciano and Luca Regis
University of Turin - Collegio Carlo Alberto, University of Turin - Department of Statistics and Applied Mathematics and University of Turin
Downloads 50 (691,797)

Abstract:

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geographical diversification, life insurance, risk management, multipopulation mortality, longevity risk modeling, Solvency II capital requirements