Luca Regis

University of Siena - Dipartimento di Economia Politica

Piazza San Francesco 8

Siena, I53100

Italy

SCHOLARLY PAPERS

10

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CITATIONS

1

Scholarly Papers (10)

1.

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 (188,174)
Citation 1

Abstract:

2.

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 (259,941)

Abstract:

3.

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
Collegio Carlo Alberto and University of Siena - Dipartimento di Economia Politica
Downloads 42 (333,721)

Abstract:

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

4.

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 (316,198)

Abstract:

5.

Assessing the Solvency of Insurance Portfolios Via a Continuous Time Cohort Model

IMT Lucca EIC Working Paper Series 07 July 2014
Number of pages: 37 Posted: 25 Sep 2014
Petar Jevtic and Luca Regis
McMaster University - Department of Mathematics and Statistics and University of Siena - Dipartimento di Economia Politica
Downloads 26 (373,419)

Abstract:

longevity risk; natural hedging; continuous-time cohort models for longevity; solvency of insurance portfolios; solvency requirements; longevity and interest-rate risk

6.

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
Collegio Carlo Alberto and University of Siena - Dipartimento di Economia Politica
Downloads 24 (420,755)

Abstract:

7.

Assessing the Solvency Risk of Insurance Portfolios via a Continuous Time Cohort Model

Netspar Discussion Paper No. 02/2014-086
Number of pages: 34 Posted: 13 Mar 2015
Petar Jevtic and Luca Regis
McMaster University - Department of Mathematics and Statistics and University of Siena - Dipartimento di Economia Politica
Downloads 13 (436,158)

Abstract:

8.

Basis Risk in Static vs. Dynamic Longevity Risk Hedging

Carlo Alberto Notebooks, n.425
Number of pages: 31 Posted: 05 Dec 2015
University of Torino - Collegio Carlo Alberto, Collegio Carlo Alberto and University of Siena - Dipartimento di Economia Politica
Downloads 0 (333,721)

Abstract:

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

9.

Longevity Assets and Pre-Retirement Consumption/Portfolio Decisions

EIC Working Paper Series 2/2015
Number of pages: 43 Posted: 06 Nov 2015 Last Revised: 18 Nov 2015
Francesco Menoncin and Luca Regis
University of Brescia - Department of Economics and University of Siena - Dipartimento di Economia Politica
Downloads 0 (352,536)

Abstract:

longevity risk, pre-retirement savings, consumption/portfolio choices, HARA preferences

10.

A Trade-off Theory of Ownership and Capital Structure

European Corporate Governance Institute (ECGI) - Finance Working Paper No. 456/2015
Number of pages: 52 Posted: 30 Oct 2015
Giovanna Nicodano and Luca Regis
University of Turin - Department of Economics and Statistics and University of Siena - Dipartimento di Economia Politica
Downloads 201

Abstract:

ownership, leverage, taxes, Thin Capitalization, groups, multinationals.