Elena Vigna

University of Turin - Faculty of Economics

Dipartimento di Statistica e Matematica Applicata

Corso Unione Sovietica 218 bis

Torino, 10134

Italy

Collegio Carlo Alberto

Affiliate

via Real Collegio 30

Moncalieri, Torino 10024

Italy

CeRP

Research Fellow

Via Real Collegio, 30

Moncalieri , Turin 10024

Italy

SCHOLARLY PAPERS

11

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16

CROSSREF CITATIONS

40

Scholarly Papers (11)

1.

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
Collegio Carlo Alberto and University of Turin - Faculty of Economics
Downloads 445 (84,881)
Citation 2

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

2.

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
Collegio Carlo Alberto, University of Turin and University of Turin - Faculty of Economics
Downloads 165 (232,490)
Citation 7

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3.

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
Collegio Carlo Alberto and University of Turin - Faculty of Economics
Downloads 161 (237,321)
Citation 7

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4.

On Efficiency of Mean-Variance Based Portfolio Selection in DC Pension Schemes

Carlo Alberto Notebooks No. 154
Number of pages: 41 Posted: 06 Mar 2011
Elena Vigna
University of Turin - Faculty of Economics
Downloads 130 (281,414)
Citation 8

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Mean-variance approach, efficient frontier,expected utility maximization, defined contribution pension scheme, portfolio selection, risk aversion, Sharpe ratio

5.

Constrained Portfolio Choices in the Decumulation Phase of a Pension Plan

Number of pages: 53 Posted: 08 May 2010
University of Cassino, Luiss Guido Carli University, Luiss and University of Turin - Faculty of Economics
Downloads 126 (288,235)
Citation 2

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pension fund, decumulation phase, constrained portfolio, stochastic optimal control, dynamic programming, Hamilton-Jacobi-Bellman equation

6.

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
Collegio Carlo Alberto, University of Turin - Faculty of Economics and City University London - Sir John Cass Business School
Downloads 120 (298,673)

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7.

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
Collegio Carlo Alberto, University of Turin and University of Turin - Faculty of Economics
Downloads 111 (315,488)
Citation 2

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8.

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
Collegio Carlo Alberto, University of Turin and University of Turin - Faculty of Economics
Downloads 63 (442,248)
Citation 12

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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
Collegio Carlo Alberto, City University London - Sir John Cass Business School and University of Turin - Faculty of Economics
Downloads 20 (679,320)

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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

Cass Business School Research
Number of pages: 23 Posted: 04 Jul 2012
Elisa Luciano, Jaap Spreeuw and Elena Vigna
Collegio Carlo Alberto, City University London - Sir John Cass Business School and University of Turin - Faculty of Economics
Downloads 18 (695,224)
Citation 1

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

10.

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

Journal of Risk and Insurance, Vol. 84, Issue 3, pp. 961-986, 2017
Number of pages: 26 Posted: 15 Aug 2017
Elena Vigna
University of Turin - Faculty of Economics
Downloads 0 (829,320)
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11.

Optimal Time of Annuitization in the Decumulation Phase of a Defined Contribution Pension Scheme

CAREFIN Research Paper No. 01/10
Posted: 08 May 2010
University of Cassino, Aalborg University and University of Turin - Faculty of Economics

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defined contribution pension scheme, decumulation phase, optimal annuitization time, cost of sub-optimality