Quantitative Finance and Insurance

Research products

Selected research products

1. "Non-Standard Errors", (forthcoming), Journal of Finance, with more than 300 co-authors from all around the globe.
2. "Matrix variate distributions as a tool for insurers and their application to natural hazard loss modeling", (2023), Variance, accepted,with E. Boyle and P. Jevtic. 

3. "An analysis of the Dutch-style pension plans proposed by UK policy-makers", (2022), Journal of Social Policy 51 (2), 325-345, with I. Owadally and R.Ram.

4. "Stochastic Mortality Models and Pandemic Shocks", (2022), in Pandemics: Insurance and Social Protection, Boado-Penas, M., Eisenberg, J., and Sahin, S. (Eds.), Springer, with P. Jevtic.

5. "Geographical diversification and longevity risk mitigation in annuity portfolios", (2021), ASTIN Bulletin 51 (2), 375-410, with C. De Rosa and E. Luciano.

6. "A square-root factor-based multi-population extension of the mortality laws", (2021), Mathematics, 9(19), 2402, with P. Jevtic

7. "Optimal life-cycle labour supply, consumption, and investment: the role of longevity-linked assets", (2020), Journal of Banking and Finance 120, with F. Menoncin.

8. “A trade-off theory of ownership and capital structure“, (2019), Journal of Financial Economics 131, 715-735, with G. Nicodano.

9. “Communities and regularities in the behavior of investment fund managers“, (2019), Proceedings of the National Academy of Sciences of the United States of America 116 (14) 6569-6574, with A. Flori, F. Pammolli, S. Buldyrev and Eugene H. Stanley.

10. A continuous-time stochastic model for the mortality surface of multiple populations, (2019), Insurance: Mathematics and Economics 88, 181-195, with P. Jevtic.

11. International longevity risk pooling“, (2018), in Mathematical and Statistical Methods for Actuarial Sciences and Finance MAF 2018, Perna, C., Sibillo, M., Corazza, M., Durban, M. and Grané, A. (Eds.), Springer, with C. De Rosa and E. Luciano.

12. “Longevity-linked assets and pre-retirment consumption/portfolio decisions“, (2017), Insurance: Mathematics and Economics, 76, 75-86, with F. Menoncin.

13. “Single and cross-generation natural hedging of longevity and financial risk” (2017), Journal of Risk and Insurance, 84, 3, 961-986, with E. Luciano and E. Vigna.

14. “Basis risk in static versus dynamic longevity risk hedging“, (2017), Scandinavian Actuarial Journal, 17, 4, 343-365, with C. De Rosa and E. Luciano.

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

16. “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.

17. “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.

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

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

20. “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.).

21. “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.).

Courses

• Matematica Finanziaria e Attuariale (INT0415)
  Corso di laurea in matematica per la Finanza e l'Assicurazione
• QUANTITATIVE RISK MANAGEMENT (SEM0088)
  Quantitative Finance and Insurance

Research groups

• Finanza / Finance
• Matematica Applicata e Probabilità per l'Economia, la Finanza e le Assicurazioni / Applied Mathematics and Probability for Economics, Finance and Insurance

Research projects

• Measuring, managing and hedging indirect climate-transition risk - PRIN PNRR 2022
• Stochastic control and games and the role of information - PRIN 2022
• Incertezza nel capitale e distribuzione della ricchezza
• Dividend policy and capital structure
• Longevity risk modeling with spatial effects
• Scelte di finanziamento e payout policy

Activities in agenda

See my calendar

Academic bodies

• Consiglio - Dipartimento di Scienze economico-sociali e matematico-statistiche
• Giunta - Dipartimento di Scienze economico-sociali e matematico-statistiche

• Admission Committee - Quantitative Finance and Insurance
• Program Committee - Quantitative Finance and Insurance
• Training Offer Committee

Office hours

Mercoledì 11-13. Si prega di avvisare via mail.

Personal web page: https://sites.google.com/view/lucaregis