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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CITATIONS
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9

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 297 (71,244)
Citation 7

Abstract:

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

2.

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 130 (174,451)

Abstract:

3.

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 112 (204,582)

Abstract:

4.

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 Siena - Dipartimento di Economia Politica and University of Turin - Faculty of Economics
Downloads 103 (189,667)
Citation 1

Abstract:

5.

Constrained Portfolio Choices in the Decumulation Phase of a Pension Plan

Number of pages: 53 Posted: 08 May 2010
University of Cassino - Faculty of Economics, LUISS Guido Carli University, Luiss and University of Turin - Faculty of Economics
Downloads 87 (227,534)
Citation 1

Abstract:

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

6.

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 74 (227,534)

Abstract:

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

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 Siena - Dipartimento di Economia Politica and University of Turin - Faculty of Economics
Downloads 61 (264,626)

Abstract:

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 Siena - Dipartimento di Economia Politica and University of Turin - Faculty of Economics
Downloads 35 (324,256)

Abstract:

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 17 (484,720)

Abstract:

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 8 (536,114)

Abstract:

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 (568,467)
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Abstract:

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 - Faculty of Economics, Aalborg University and University of Turin - Faculty of Economics

Abstract:

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