The presence of any friction in financial markets qualitatively changes the nature of the
optimization problem faced by an investor. It requires one to either act or do nothing, an issue …

In this paper, we address the mortality risk of individuals and adopt parsimonious time-
homogeneous a±ne processes for their mortality intensities. We calibrate the models to different …

Stochastic mortality, ie modelling death arrival via a jump process with stochastic intensity,
is gaining an increasing reputation as a way to represent mortality risk. This paper is a first …

We study and calibrate a cohort-based model which captures the characteristics of a
mortality surface with a parsimonious, continuous-time factor approach. The model allows for …

… Umberto Cherubini Elisa Luciano … Umberto Cherubini Elisa Luciano … Copula
methods in finance / Umberto Cherubini, Elisa Luciano, and Walter Vecchiato. p. cm. …

The purpose of this study is to analyse, for men and women, the microeconomic determinants
of life insurance purchases. Indeed, only a few papers have tried to justify rigorously the …

We discuss a Lévy multivariate model for financial assets which incorporates jumps, skewness,
kurtosis and stochastic volatility. We use it to describe the behaviour of a series of stocks …

The adoption of copula functions is suggested in order to price bivariate contingent claims.
Copulas enable the marginal distributions extracted from vertical spreads in the options …

This paper provides a tractable, parsimonious model for assessing basis risk in longevity
and its effect on the hedging strategies of Pension Funds and annuity providers. Basis risk is …

This paper uses copula functions to evaluate tail probabilities and market risk trade‐offs at a
given confidence level, dropping the joint normality assumption on returns. Copulas enable …