Elisa Luciano

University of Turin - Department of Statistics and Applied Mathematics

Corso Unione Sovietica 218 bis

Turin, I-10122

Italy

  • University of Turin - Department of Statistics and Applied Mathematics

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SCHOLARLY PAPERS

40

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10,057

TOTAL CITATIONS
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Top 12,847

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191

Scholarly Papers (40)

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1.

Multivariate Option Pricing with Copulas

Number of pages: 23 Posted: 14 May 2001
Elisa Luciano and Umberto Cherubini
University of Turin - Department of Statistics and Applied Mathematics and University of Bologna - Department of Economics
Downloads 1,686 (23,096)
Citation 22

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option pricing, basket options, copula functions, non-normal returns.

2.

Pricing Vulnerable Options with Copulas

ICER Working Paper, 2001
Number of pages: 38 Posted: 21 Feb 2002
Elisa Luciano and Umberto Cherubini
University of Turin - Department of Statistics and Applied Mathematics and University of Bologna - Department of Economics
Downloads 714 (78,389)
Citation 9

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Credit risk, vulnerable options, copula functions

3.

Credit Risk in Pure Jump Structural Models

ICER Working Paper No. 6/2006
Number of pages: 23 Posted: 23 Sep 2006
Elisa Luciano and Filo Fiorani
University of Turin - Department of Statistics and Applied Mathematics and Merrill Lynch & Co.
Downloads 688 (82,188)
Citation 1

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4.

Non Mean Reverting Affine Processes for Stochastic Mortality

ICER Applied Mathematics Working Paper No. 4 - 2005
Number of pages: 32 Posted: 20 May 2005
Elisa Luciano and Elena Vigna
University of Turin - Department of Statistics and Applied Mathematics and University of Turin - Faculty of Economics
Downloads 625 (92,895)
Citation 66

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Doubly stochastic processes (Cox processes), stochastic mortality, affine processes

5.

Life Insurance Demand: Evidence from Italian Households; A Micro-Economic View and Gender Issue

Netspar Discussion Paper No. 05/2015-010
Number of pages: 29 Posted: 22 May 2015
Elisa Luciano, J. François Outreville and Mariacristina Rossi
University of Turin - Department of Statistics and Applied Mathematics, INSEEC Business School and University of Turin - Department of Economics
Downloads 504 (121,718)
Citation 4

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Life insurance, household life insurance demand, microeconomics, gender issues, Italy

6.

Value at Risk Bounds for Portfolios of Non-Normal Returns

U. of Turin Statistics and Mathematics Working Paper
Number of pages: 22 Posted: 23 Jun 2001
Elisa Luciano and Marina Marena
University of Turin - Department of Statistics and Applied Mathematics and University of Eastern Piedmont
Downloads 501 (122,614)
Citation 4

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Value at Risk, Non-normal returns

7.

Pricing and Hedging Vulnerable Credit Derivatives with Copulas

Number of pages: 25 Posted: 23 Jul 2003
Elisa Luciano and Umberto Cherubini
University of Turin - Department of Statistics and Applied Mathematics and University of Bologna - Department of Economics
Downloads 481 (128,695)
Citation 1

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8.

A Multivariate Jump-Driven Financial Asset Model

ICER Applied Mathematics Working Paper No. 6 - 2005
Number of pages: 27 Posted: 20 May 2005
Elisa Luciano and Wim Schoutens
University of Turin - Department of Statistics and Applied Mathematics and KU Leuven - Department of Mathematics
Downloads 417 (152,447)
Citation 12

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9.

Copulae as a New Tool in Financial Modelling

Number of pages: 15 Posted: 29 Aug 2005
Elisa Luciano and Marina Marena
University of Turin - Department of Statistics and Applied Mathematics and University of Eastern Piedmont
Downloads 353 (183,648)
Citation 2

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Copula functions, multivariate risks, joint distributions

10.

Financial Inclusion and Life Insurance Demand; Evidence from Italian Households

Netspar Discussion Paper No. 11/2015-039
Number of pages: 31 Posted: 22 Dec 2015 Last Revised: 28 Jul 2016
Elisa Luciano, Mariacristina Rossi and Dario Sansone
University of Turin - Department of Statistics and Applied Mathematics, University of Turin - Department of Economics and Georgetown University
Downloads 352 (184,200)
Citation 6

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11.

Ownership Links, Leverage and Credit Risk

Number of pages: 41 Posted: 25 Mar 2008
Elisa Luciano and Giovanna Nicodano
University of Turin - Department of Statistics and Applied Mathematics and University of Turin - Department ESOMAS
Downloads 323 (202,165)
Citation 3

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credit risk, default risk, structural models, optimal leverage, zero leverage, ownership structure, parent-subsidiary

12.

Delta and Gamma Hedging of Mortality and Interest Rate Risk

Insurance: Mathematics and Economics, 50, 402-412, 2012, ICER Working Paper No. 1/2011
Number of pages: 33 Posted: 31 Jan 2011 Last Revised: 04 Oct 2014
Elisa Luciano, Luca Regis and Elena Vigna
University of Turin - Department of Statistics and Applied Mathematics, University of Turin and University of Turin - Faculty of Economics
Downloads 295 (222,916)
Citation 7

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13.

Leverage and Value Creation in Holding-Subsidiary Structures

ECGI - Finance Working Paper No. 268/2009
Number of pages: 52 Posted: 09 Dec 2009 Last Revised: 18 Mar 2010
Elisa Luciano and Giovanna Nicodano
University of Turin - Department of Statistics and Applied Mathematics and University of Turin - Department ESOMAS
Downloads 258 (255,815)
Citation 1

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holding, subsidiary, groups, guarantees, debt, taxes, bankruptcy costs, limited liability, capital structure

14.

AI and Adversarial AI in insurance: Background, examples, and future implications

Number of pages: 36 Posted: 06 Apr 2022
Elisa Luciano, Behnaz Amerirad, Matteo Cattaneo and Ron S. Kenett
University of Turin - Department of Statistics and Applied Mathematics, affiliation not provided to SSRN, affiliation not provided to SSRN and Neaman Institute for National Policy Research, the Technion
Downloads 256 (257,834)

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Adversarial AI, AI, AI for nsurance, P&C insurance

15.

Calibrating Risk-Neutral Default Correlation

ICER Working Paper No. 12/2005
Number of pages: 18 Posted: 30 Aug 2005
Elisa Luciano
University of Turin - Department of Statistics and Applied Mathematics
Downloads 217 (303,112)
Citation 1

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16.

A Note on Stochastic Survival Probabilities and Their Calibration

ICER Applied Mathematics Working Paper No. 1 - 2005
Number of pages: 18 Posted: 09 May 2005
Elisa Luciano and Elena Vigna
University of Turin - Department of Statistics and Applied Mathematics and University of Turin - Faculty of Economics
Downloads 214 (307,170)
Citation 7

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17.

Natural Delta Gamma Hedging of Longevity and Interest Rate Risk

ICER Working Paper No. 21/2011
Number of pages: 19 Posted: 19 Dec 2011
Elisa Luciano, Luca Regis and Elena Vigna
University of Turin - Department of Statistics and Applied Mathematics, University of Turin and University of Turin - Faculty of Economics
Downloads 189 (344,947)
Citation 2

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18.

Financial Synergies and the Organization of Bank Affiliates: A Theoretical Perspective on Risk and Efficiency

ICER Working Paper No. 6/2013
Number of pages: 51 Posted: 15 May 2013 Last Revised: 20 Jan 2015
Elisa Luciano and Clas Wihlborg
University of Turin - Department of Statistics and Applied Mathematics and Chapman University
Downloads 188 (346,600)
Citation 7

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bank organization, bank risk, financial synergies, endogenous leverage in banking, default costs, bailouts

19.

Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators

Collegio Carlo Alberto Working Paper No. 42
Number of pages: 35 Posted: 14 Jun 2014
Elisa Luciano and Patrizia Semeraro
University of Turin - Department of Statistics and Applied Mathematics and Politecnico of Turin
Downloads 163 (393,375)
Citation 5

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Lévy processes, multivariate subordinators, dependence (association, correlation), multivariate asset modelling, multivariate time changed processes

20.

Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk

Journal of Risk and Insurance, Forthcoming, Carlo Alberto Notebooks, n.257, June 2012 (Revised May 2015)
Number of pages: 39 Posted: 18 Sep 2012 Last Revised: 03 Dec 2015
Elisa Luciano, Luca Regis and Elena Vigna
University of Turin - Department of Statistics and Applied Mathematics, University of Turin and University of Turin - Faculty of Economics
Downloads 161 (397,593)
Citation 12

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21.

Modelling Stochastic Bivariate Mortality

ICER Working Paper No. 5/2006, Cass Business School Research Paper
Number of pages: 34 Posted: 22 Sep 2006
Elisa Luciano, Elena Vigna and Jaap Spreeuw
University of Turin - Department of Statistics and Applied Mathematics, University of Turin - Faculty of Economics and City University London - The Business School
Downloads 151 (421,949)

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22.

Intercorporate Guarantees, Leverage and Taxes

Number of pages: 25 Posted: 16 Mar 2012
Giovanna Nicodano and Elisa Luciano
University of Turin - Department ESOMAS and University of Turin - Department of Statistics and Applied Mathematics
Downloads 140 (446,172)

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debt, taxes, bankruptcy costs, limited liability, capital structure, subsidiary, groups, mergers

23.

A Generalized Normal Mean Variance Mixture for Return Processes in Finance

Number of pages: 36 Posted: 15 Jun 2014
Elisa Luciano and Patrizia Semeraro
University of Turin - Department of Statistics and Applied Mathematics and Politecnico of Turin
Downloads 116 (517,292)
Citation 1

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Multivariate normal mean variance mixtures, multivariate generalized hyperbolic distributions, Lévy processes, multivariate subordinators

24.

Business Time and New Credit Risk Models

International Centre for Economic Research Working Paper No. 16/2010
Number of pages: 20 Posted: 18 Jun 2010
Elisa Luciano
University of Turin - Department of Statistics and Applied Mathematics
Downloads 103 (565,205)
Citation 1

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25.

Efficient Versus Inefficient Hedging Strategies in the Presence of Financial and Longevity (Value at) Risk

Insurance: Mathematics and Economics, Vol. 55, 2014, Carlo Alberto Notebooks, n.308, October 2013
Number of pages: 27 Posted: 24 Sep 2014
Elisa Luciano and Luca Regis
University of Turin - Department of Statistics and Applied Mathematics and University of Turin
Downloads 101 (573,227)
Citation 2

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longevity risk; hedging; longevity transfers; financial risk; ALM

26.

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 98 (585,028)
Citation 2

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

27.

Model Risk in Credit Risk

Number of pages: 26 Posted: 13 Apr 2020
Roberto Fontana, Elisa Luciano and Patrizia Semeraro
affiliation not provided to SSRN, University of Turin - Department of Statistics and Applied Mathematics and Politecnico of Turin
Downloads 89 (621,743)
Citation 2

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Exchangeable Bernoulli distribution; risk measures; model risk; credit risk; default risk

28.

Dependence Calibration and Portfolio Fit with Factor-based Time Changes

Carlo Alberto Notebooks No. 307, October 2013
Number of pages: 35 Posted: 14 Jun 2014
Elisa Luciano, Marina Marena and Patrizia Semeraro
University of Turin - Department of Statistics and Applied Mathematics, University of Eastern Piedmont and Politecnico of Turin
Downloads 89 (621,743)
Citation 4

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Lévy processes, multivariate subordinators, dependence, correlation, multivariate asset modelling, multivariate time-changed processes, factor-based time changes

29.

Evolution of Coupled Lives' Dependency Across Generations and Pricing Impact

Downloads 89 (621,743)
Citation 2

Evolution of Coupled Lives' Dependency Across Generations and Pricing Impact

Cass Business School Research
Number of pages: 23 Posted: 04 Jul 2012
Elisa Luciano, Jaap Spreeuw and Elena Vigna
University of Turin - Department of Statistics and Applied Mathematics, City University London - The Business School and University of Turin - Faculty of Economics
Downloads 48 (882,551)
Citation 1

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copula, goodness-of-fi…t, signifi…cance test, stochastic mortality, generation effect, reversionary annuity

Evolution of Coupled Lives' Dependency Across Generations and Pricing Impact

Number of pages: 23 Posted: 05 Jul 2012
Elisa Luciano, Jaap Spreeuw and Elena Vigna
University of Turin - Department of Statistics and Applied Mathematics, City University London - The Business School and University of Turin - Faculty of Economics
Downloads 41 (947,094)
Citation 1

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copula, goodness-of-fi…t, signifi…cance test, stochastic mortality, generation effect, reversionary annuity

30.

On the (In-)Dependence between Financial and Actuarial Risks

Insurance: Mathematics and Economics, Vol. 52, No. 3, 2013
Number of pages: 23 Posted: 04 Sep 2014
Jan Dhaene, Alexander Kukush, Elisa Luciano, Wim Schoutens and Ben Stassen
Katholieke Universiteit Leuven, Taras Shevchenko National University of Kyiv, University of Turin - Department of Statistics and Applied Mathematics, KU Leuven - Department of Mathematics and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 87 (630,572)
Citation 4

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Independence, real-world probability measure, risk-neutral probability measure, financial risks, actuarial risks, insurance securitization

31.

Risk Appetite Fluctuations in the Insurance Industry

Number of pages: 46 Posted: 14 Mar 2022
Elisa Luciano and Jean Charles Rochet
University of Turin - Department of Statistics and Applied Mathematics and University of Geneva
Downloads 82 (653,278)

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endogenous risk aversioninsurance companies' asset allocationinsurance cycles

32.

Equilibrium Price of Immediacy and Infrequent Trade

Number of pages: 30 Posted: 14 Mar 2012
Elisa Luciano
University of Turin - Department of Statistics and Applied Mathematics
Downloads 80 (662,711)
Citation 1

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equilibrium with bid-ask spreads, infrequent trade, dynamic portfolio selection with transaction costs

33.

Demographic Risk Transfer: Is it Worth for Annuity Providers?

ICER Working Paper No. 11/2012
Number of pages: 24 Posted: 12 Oct 2012
Elisa Luciano and Luca Regis
University of Turin - Department of Statistics and Applied Mathematics and University of Turin
Downloads 62 (761,879)

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34.

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 57 (794,944)

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

35.

Machine Learning Techniques in Joint Default Assessment

Number of pages: 29 Posted: 25 May 2022
Margherita Doria, Elisa Luciano and Patrizia Semeraro
Credit Suisse AG, University of Turin - Department of Statistics and Applied Mathematics and Politecnico of Turin
Downloads 50 (847,045)

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keywords: Bernoulli mixture model, credit risk, default risk, ML methods, Logistic Regression, credit cards

36.

Machine Learning Techniquesin Joint Default Assessment

Number of pages: 27 Posted: 12 Jun 2024
Edoardo Fadda, Elisa Luciano and Patrizia Semeraro
Politecnico di Torino, University of Turin - Department of Statistics and Applied Mathematics and Politecnico of Turin
Downloads 37 (963,257)

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Model Risk, Credit risk, Bernoulli mixture model, ML methods, credit cards.

37.

ESG asset demand with information costs

to apper, Annals of Finance
Number of pages: 20 Posted: 05 Jun 2024 Last Revised: 23 Mar 2025
Elisa Luciano and Antonella Tolomeo
University of Turin - Department of Statistics and Applied Mathematics and University of Turin
Downloads 24 (1,107,668)

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ESG assets, Information costs in the ESG domain, Optimal filtering, Greenium, ESG risk premium, Unobservable ESG-factor returns

38.

Optimal Fees and Equilibrium in Crypto Markets

Number of pages: 27 Posted: 23 Aug 2024
Elisa Luciano
University of Turin - Department of Statistics and Applied Mathematics
Downloads 17 (1,194,213)

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equilibrium in crypto markets, cryptocurrencies, Bitcoin, blockchain.

39.

Guarantees, Leverage, and Taxes

Forthcoming, Review of Financial Studies
Posted: 28 Feb 2014 Last Revised: 03 Jul 2017
Elisa Luciano and Giovanna Nicodano
University of Turin - Department of Statistics and Applied Mathematics and University of Turin - Department ESOMAS

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bailout, debt, bankruptcy costs, capital structure, groups, mergers, subsidiary, limited liability.

40.

Value-at-Risk Trade-Off and Capital Allocation with Copulas

Posted: 08 Jun 2001
Elisa Luciano and Umberto Cherubini
University of Turin - Department of Statistics and Applied Mathematics and University of Bologna - Department of Economics

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