Recent Working Papers

"A continuous-time stochastic model for the mortality surface of multiple populations", (2016), EIC working paper series #3/2016, with P. Jevtic, R & R.

"A Trade-off theory of ownership and capital structure", (2015), ECGI - Finance Working Paper 456/2015, with G. Nicodano, R & R.

Journal Publications

"Basis risk in static versus dynamic longevity risk hedging", (2016), Scandinavian Actuarial Journal, forthcoming, with C. De Rosa and E. Luciano.

"Single and cross-generation natural hedging of longevity and financial risk" (2015), Journal of Risk and Insurance, forthcoming, with E. Luciano and E. Vigna.

"Assessing the solvency of insurance portfolios via a continuous time cohort model", (2015), Insurance: Mathematics and Economics, 61, 36-47, with P. Jevtic.

"Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk", (2014), Insurance: Mathematics and Economics, 55, 68-77, with E. Luciano. 

"Delta-Gamma Hedging of Mortality and Interest Rate Risk", (2012)  Insurance: Mathematics and Economics, 50, 402-412, 2012, with E. Luciano and E. Vigna.

Other Publications

"Risk return appraisal of longevity swaps", (2014), in Institutional Investor Guide to Pension & Longevity Risk Transfer, Institutional Investor Journals, Fall 2014, 1, 99-108,  with E. Luciano.

"Demography, Sustainability and Growth - Notes on the Sustainability of Health and Pension Systems in Europe", (2014), in Portrait of an Health Economist - Essays in Honor of B. Jonsson, Culyer A. and Kobelt, G. (Eds.), IHE- The Swedish Institute for Health Economics, Lund, Sweden, 125-132, with F. Pammolli.

“Good and Bad Banks”, (2012) in Mathematical and Satistical Methods for Actuarial Sciences and Finance, Perna Cira, Sibillo Marilena, eds., Springer.

"Dynamic hedging of life insurance reserves", (2012), in Actuarial and Financial Mathematics Conference - Interplay between Finance and Insurance February 10-11, 2011, Michèle Vanmaele, Griselda Deelstra, Ann De Schepper, Jan Dhaene, Wim Schoutens & Steven Vanduffel (Eds.).

“A Bayesian copula model for Claims Reserving”, (2011), Actuarial and Financial Mathematics Conference - Interplay between Finance and Insurance February 10-11, 2011, Michèle Vanmaele, Griselda Deelstra, Ann De Schepper, Jan Dhaene, Wim Schoutens & Steven Vanduffel (Eds.).

" A Bayesian Copula Model for Claims Reserving", (2011), Carlo Alberto Notebooks 227.

" Risk Premium Impact in the Perturbative Black-Scholes Model", (2008) with S. Scotti, pre-print at arxiv.org.

“Bank efficiency and banking sector development: the case of Italy”, ICER WP 5-07, Proceedings of the VIII International Scientific Conference “Modernization of economy and Social Development”, Moscow, High School of Economics, 2007, with E. Luciano

 

Journal Service

Editorial Board Member, Risks.

Ad hoc referee for: Applied Mathematics and Computation, Economic Journal, Insurance: Mathematics and Economics, Risks, International Journal of Theoretical and Applied Finance, Scandinavian Actuarial Journal.

Teaching

Corporate Finance, IMT Lucca, EMDS Ph.D., 2015-16, Syllabus

Additional Statistical Training (IT for Finance), University of Torino, M.A. in Quantitative Finance and Insurance, a.y. 2014-15, 2015-16. Program Lecture Notes Slides

Esercitazioni di Matematica Finanziaria e Attuariale, Università di Torino, Corso di Laurea in Matematica per la Finanza e l'Assicurazione, a.a. 2011-12 - 2012-13 - 2014-15, 2015-16

Economia Finanziaria (II modulo), Università di Torino, Corso di Laurea in Banca, Borsa e Assicurazioni, a.a. 2011-12, 2012-13

Istituzioni di Matematiche II, I Facoltà di Architettura, Politecnico di Torino, a.a. 2010/2011

CV

Assistant Professor, IMT Lucca, AXES Research Unit, 2013-2016.

Post-Doc Fellow, University of Torino, Department of Economics and Statistics, 2012-2013.

Deputy Director, Master in Insurance and Risk Management, University of Torino and Collegio Carlo Alberto, 2011-2013.

Ph.D. in Statistics and Applied Mathematics, University of Torino, 2011

Visiting Student, Université Paris 6 and Ecole Polytechnique (2008/2009)

M.A. in Corporate Finance and Financial Markets, University of Torino, with highest honors, 2006