Sfoglia per Autore
Option pricing under regime-switching jump-diffusion models
2014-01-01 Costabile, Massimo; Leccadito, Arturo; Massabo', Ivar; Russo, Emilio
Computing finite-time survival probabilities using multinomial approximations of risk models
2015-01-01 Costabile, Massimo; Massabo', Ivar; Russo, Emilio
A fast and accurate lattice model to evaluate options under the variance gamma process
2015-01-01 Costabile, Massimo
A Shifted Tree Model for the Efficient Evaluation of Options with Fixed Dividends
2016-01-01 Costabile, Massimo; Massabo', I; Russo, E.
A Lattice-Based Model to Evaluate Variable Annuities with Guaranteed Minimum Withdrawal Benefits under a Regime-Switching Model
2017-01-01 Costabile, Massimo
Fair evaluation of life insurance policies with periodic rebalancing between asset portfolios and interest rate guarantee
2017-01-01 Costabile, Massimo
Evaluating variable annuities with GMWB when exogenous factors influence the policy-holder withdrawals
2018-01-01 Costabile, Massimo; Massabò, Ivar; Russo, Emilio
Evaluating variable annuities with GMWB when exogenous factors influence the policy-holder withdrawals
2018-01-01 Costabile, Massimo; Massabo', Ivar; Russo, Emilio
Computing Risk Measures of Life Insurance Policies through the Cox -Ross-Rubinstein Model
2018-01-01 Costabile, Massimo
The Dynamics of the S&P 500 under a Crisis Context: Insights from a Three-Regime Switching Model
2020-01-01 CERBONI BAIARDI, Lorenzo; Costabile, Massimo; DE GIOVANNI, Domenico; Lamantia, Fabio Giovanni; Leccadito, Arturo; Massabo', Ivar; Menzietti, Massimiliano; Pirra, Marco; Russo, Emilio; Staino, Alessandro
A lattice approach to evaluate participating policies in a stochastic interest rate framework
2020-01-01 Costabile, Massimo; Massabo', Ivar; Russo, Emilio; Staino, Alessandro
Testing the least-squares Monte Carlo method for the evaluation of capital requirements in life insurance
2020-01-01 Costabile, M.; Viviano, F.
Evaluating variable annuities with GMWB when exogenous factors influence the policy-holder's withdrawals
2020-01-01 Costabile, Massimo; Massabo', Ivar; Russo, Emilio
A lattice approach to evaluate participating policies in a stochastic interest rate framework
2021-01-01 Costabile, Massimo; Massabo', Ivar; Russo, Emilio; Staino, Alessandro
A bivariate lattice model to compute risk measures in life insurance policies
2021-01-01 Costabile, Massimo
A Lattice Approach to Evaluate Participating Policies in a Stochastic Interest Rate Framework
2021-01-01 Costabile, Massimo; Massabò, Ivar; Russo, Emilio; Staino, Alessandro
Modeling the Future Value Distribution of a Life Insurance Portfolio
2021-01-01 Costabile, Massimo; Viviano, Fabio
Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint
2022-01-01 Staino, Alessandro; Russo, Emilio; Costabile, Massimo; Leccadito, Arturo
Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint
2022-01-01 Staino, Alessandro; Russo, Emilio; Costabile, Massimo; Leccadito, Arturo.
Lattice-based model for pricing contingent claims under mixed fractional Brownian motions
2023-01-01 Costabile, Massimo; Massabò, Ivar; Russo, Emilio; Staino, Alessandro
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