Anna Gambaro

University of Piemonte Orientale

Dipartimento di Studi per l'Economia e l'Impresa

Via E. Perrone, 18

Novara, 28100

SCHOLARLY PAPERS

4

DOWNLOADS

537

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

A Market Consistent Framework for the Fair Evaluation of Insurance Contracts Under Solvency II

Number of pages: 36 Posted: 02 Feb 2018 Last Revised: 29 Apr 2018
University of Piemonte Orientale, UnipolSai Assicurazioni SpA, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Deloitte Consulting Srl
Downloads 214 (143,652)

Abstract:

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Solvency II, economic scenario generator, minimum guaranteed option, sensitivity analysis

2.

Quantitative Assessment of Common Practice Procedures in the Fair Evaluation of Embedded Options in Insurance Contracts

Number of pages: 28 Posted: 18 Nov 2016 Last Revised: 28 Sep 2017
University of Piemonte Orientale, UnipolSai Assicurazioni SpA, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Deloitte Consulting Srl
Downloads 170 (177,372)

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Minimum Guaranteed Fund, Segregated Insurance Fund, Embedded Options, Credit Risk, Liquidity Risk

3.

Approximate Pricing of Swaptions in Affine and Quadratic Models

Number of pages: 39 Posted: 15 Sep 2015 Last Revised: 09 Jul 2016
Anna Gambaro, Ruggero Caldana and Gianluca Fusai
University of Piemonte Orientale, Independent and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 125 (228,022)

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Pricing, swaptions, affine-quadratic models, Fourier transform, bounds

4.

A Discussion of Non-Gaussian Price Processes for Energy and Commodity Operations

Number of pages: 31 Posted: 09 Jan 2019
Anna Gambaro and Nicola Secomandi
University of Piemonte Orientale and Carnegie Mellon University - David A. Tepper School of Business
Downloads 28 (481,457)

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