Luciano Elisa

Elisa Luciano

Information about the author Elisa Luciano will soon be added to the site.
Found 9 papers in total
Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk
Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk
2017
This article provides natural hedging strategies for life insurance and annuity...
Copulae as a new tool in financial modelling
Copulae as a new tool in financial modelling
2002
The paper presents an overview of financial applications of copulas. Copulas permit to...
Portfolio value at risk bounds
Portfolio value at risk bounds
2002
This paper develops value at risk (VAR) measures for portfolios of correlated...
Value at risk as a risk measure for multiperiod static inventory models
Value at risk as a risk measure for multiperiod static inventory models
2003
The paper explores the possibility to use value-at-risk (VaR) in the context of...
Dynamic value at risk under optimal and suboptimal portfolio policies
Dynamic value at risk under optimal and suboptimal portfolio policies
2001
At present, all value at risk (VaR) implementations – i.e., all risk measures of...
Cycles optimization: The equivalent annuity and the net present value approaches
Cycles optimization: The equivalent annuity and the net present value approaches
2001
The paper discusses the use of a generalized version of the equivalent annuity...
Some basic problems in inventory theory: The financial perspective
Some basic problems in inventory theory: The financial perspective
1999
The analysis of the standard economic order quantity problem from a financial...
Capital structure and inventory management: The temporary sale price problem
Capital structure and inventory management: The temporary sale price problem
1999
The paper discusses the use of adjusted present value techniques in a problem of...
Some basic problems in inventory theory: The financial perspective
Some basic problems in inventory theory: The financial perspective
1998
This paper focuses the attention on the financial perspective of some basic problems...
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