Clemente De Rosa

University of Turin - Collegio Carlo Alberto

via Real Collegio 30

Moncalieri, Torino 10024

Italy

  • University of Turin - Collegio Carlo Alberto

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

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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, Collegio Carlo Alberto and University of Turin
Downloads 59 (477,365)
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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, Collegio Carlo Alberto and University of Turin
Downloads 25 (649,035)

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