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Year of publication
Subject
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Theorie 17 Theory 17 Markov chain 16 Markov-Kette 16 Credit risk 11 Income distribution 10 Kreditrisiko 10 Einkommensverteilung 7 Finanzmathematik 6 Stochastic process 6 Stochastischer Prozess 6 Entropie 5 Entropy 5 Mathematical finance 4 Mathematisches Modell 4 Risikomanagement 4 Portfolio selection 3 Portfolio-Management 3 Risiko 3 Risk management 3 Semi-Markov process 3 Bevölkerungsentwicklung 2 Black-Scholes model 2 Black-Scholes-Modell 2 Credit rating 2 Credit ratings 2 Credit risky bonds 2 Demographic development 2 Deutschland 2 Disability benefits 2 Dynamic Theil's Entropy 2 Dynamic Theil's entropy 2 Economic policies 2 Erwerbsminderungsrente 2 Estimation 2 Finance 2 Financial management theory 2 Finanzanalyse 2 Finanzierungstheorie 2 Finanzwirtschaft 2
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Online availability
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Free 12 Undetermined 11 CC license 1
Type of publication
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Article 44 Book / Working Paper 18
Type of publication (narrower categories)
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Article in journal 18 Aufsatz in Zeitschrift 18 Aufsatz im Buch 2 Book section 2 Lehrbuch 2 Article 1 Textbook 1
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Language
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English 37 Undetermined 24 Italian 1
Author
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Manca, Raimondo 59 D'Amico, Guglielmo 29 Janssen, Jacques 28 Di Biase, Giuseppe 14 D’Amico, Guglielmo 8 Guglielmo D’Amico 5 Guillen, Montserrat 5 Biase, Giuseppe Di 3 Gismondi, Fulvio 3 Habart-Corlosquet, Marine 3 Salvi, Giovanni 3 D'AMICO, GUGLIELMO 2 Guglielmo D’Amico 2 MANCA, RAIMONDO 2 Pasricha, Puneet 2 Selvamuthu, Dharmaraja 2 Corini, Chiara 1 DI BIASE, GIUSEPPE 1 Devolder, Pierre 1 Gehin, William 1 Giuseppe, Biase di 1 Gronchi, Sandro 1 Guillén, Montserrat 1 JANSSEN, JACQUES 1 Petroni, Filippo 1 Prattico, Flavio 1 Raimondo, Manca 1 Sandro, Gronchi 1 Sassoferrato, Il 1 Volpe di Prignano, Ernesto 1 Volpe, Ernesto 1
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Institution
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arXiv.org 3 Xarxa de Referència en Economia Aplicada (XREAP) 1
Published in...
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Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries 3 Computational economics 3 Insurance / Mathematics & economics 3 Papers / arXiv.org 3 Computational Economics 2 Decisions in Economics and Finance 2 Decisions in economics and finance : DEF ; a journal of applied mathematics 2 Economic modelling 2 Focus series in finance, business and management 2 Global journal of business research : GJBR 2 Panoeconomicus 2 Socio-economic planning sciences : the international journal of public sector decision-making 2 Accounting & taxation : AT 1 Applied stochastic methods series 1 Czech Journal of Economics and Finance (Finance a uver) 1 Document de Treball 1 Economic Modelling 1 FOCUS 1 Finance a úvěr 1 Financial Innovation 1 Financial hedging 1 Financial innovation : FIN 1 Global Journal of Business Research 1 Hitotsubashi Journal of Economics 1 Hitotsubashi journal of economics 1 IMA journal of management mathematics 1 Input-output techniques : proceedings of the Third Hungarian Conference on Input-Output Techniques ; 3 - 5. November 1981, Héviz 1 Insurance: Mathematics and Economics 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1 Journal of the Operational Research Society : OR 1 Mathematics and statistics series 1 Networks, topology and dynamics : theory and applications to economics and social systems 1 Physica A: Statistical Mechanics and its Applications 1 Politica economica - Journal of Economic Policy (PEJEP) 1 Politica economica : rivista di studi e ricerche per la politica economica 1 Statistics & Probability Letters 1 Working Papers / Xarxa de Referència en Economia Aplicada (XREAP) 1
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Source
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ECONIS (ZBW) 31 RePEc 18 OLC EcoSci 8 USB Cologne (EcoSocSci) 4 EconStor 1
Showing 1 - 10 of 62
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Portfolio optimization of credit risky bonds: A semi-Markov process approach
Pasricha, Puneet; Selvamuthu, Dharmaraja; D'Amico, Guglielmo - In: Financial Innovation 6 (2020) 1, pp. 1-14
This article presents a semi-Markov process based approach to optimally select a portfolio consisting of credit risky bonds. The criteria to optimize the credit portfolio is based on lÉ-norm risk measure and the proposed optimization model is formulated as a linear programming problem. The...
Persistent link: https://www.econbiz.de/10012602859
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Portfolio optimization of credit risky bonds : a semi-Markov process approach
Pasricha, Puneet; Selvamuthu, Dharmaraja; D'Amico, Guglielmo - In: Financial innovation : FIN 6 (2020) 25, pp. 1-14
This article presents a semi-Markov process based approach to optimally select a portfolio consisting of credit risky bonds. The criteria to optimize the credit portfolio is based on l∞-norm risk measure and the proposed optimization model is formulated as a linear programming problem. The...
Persistent link: https://www.econbiz.de/10012268914
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Measuring Income Inequality : An Application of the Population Dynamic Theil's Entropy
D’Amico, Guglielmo - 2016
In this paper we use the index we call Population Dynamic Theil's Entropy to analyze as the income inequality varies on time. The index may consider both the inequality among the classes in which we assign the individuals and the inequality within each class. This inequality measure working in a...
Persistent link: https://www.econbiz.de/10013003817
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Tornadoes and related damage costs: statistical modeling with a semi-Markov approach
Corini, Chiara; D'Amico, Guglielmo; Petroni, Filippo; … - arXiv.org - 2015
We propose a statistical approach to tornadoes modeling for predicting and simulating occurrences of tornadoes and accumulated cost distributions over a time interval. This is achieved by modeling the tornadoes intensity, measured with the Fujita scale, as a stochastic process. Since the Fujita...
Persistent link: https://www.econbiz.de/10011204278
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DECOMPOSITION OF THE POPULATION DYNAMIC THEIL'S ENTROPY AND ITS APPLICATION TO FOUR EUROPEAN COUNTRIES
D'AMICO, GUGLIELMO; DI BIASE, GIUSEPPE; MANCA, RAIMONDO - In: Hitotsubashi Journal of Economics 55 (2014) 2, pp. 229-239
In this paper we propose a modification of the Dynamic Theil's Entropy that considers the inequality in the whole population. We decompose it into three addends and we show how to compute them within a Markov model of income evolution. In this way the income inequality can be measured in the...
Persistent link: https://www.econbiz.de/10011156841
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A Duration Dependent Rating Migration Model: Real Data Application and Cost of Capital Estimation
Giuseppe, Biase di; D'Amico, Guglielmo; Janssen, Jacques; … - In: Czech Journal of Economics and Finance (Finance a uver) 64 (2014) 3, pp. 233-245
This paper presents a duration dependent model for analyzing the evolution of credit ratings. It considers the backward recurrence process to tackle the time of permanence problem in the rating classes. In this way it is possible to manage the duration effects, which represent one of the most...
Persistent link: https://www.econbiz.de/10011075597
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Effects on Taxation on the Forecasting of Income Inequality: Evidence from Germany, Greece, and Italy
Guglielmo D’Amico; Biase, Giuseppe Di; Manca, … - In: Panoeconomicus 60 (2013) 6, pp. 707-723
In this paper, we investigate the impact of the fiscal system on wealth redistribution in Germany, Greece, and Italy. We demonstrate the application of the model to the data of the quoted countries. We obtain the gross income distributions by starting from the net income distributions downloaded...
Persistent link: https://www.econbiz.de/10011134509
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What After Fornero's Reform
Sandro, Gronchi; Raimondo, Manca - In: Politica economica - Journal of Economic Policy (PEJEP) (2013) 3, pp. 241-268
The paper acknowledges the «Fornero's reform» the merit of having restored universal and flexible rules for retirement, not also the one of having reformed the conversion coefficients prescribing they are assigned to each cohorts, according to the protocol followed by all other countries which...
Persistent link: https://www.econbiz.de/10011196223
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Discrete Time Non-Homogeneous Semi-Markov Processes Applied to Models for Disability Insurance
D’Amico, Guglielmo - 2012
In this paper, we present a stochastic model for disability insurance contracts. The model is based on a discrete time non-homogeneous semi-Markov process (DTNHSMP) to which the backward recurrence time process is introduced. This permits a more exhaustive study of disability evolution and a...
Persistent link: https://www.econbiz.de/10013108382
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A Semi-Markov Modulated Interest Rate Model
D'Amico, Guglielmo; Manca, Raimondo; Salvi, Giovanni - arXiv.org - 2012
In this paper we propose a semi-Markov modulated model of interest rates. We assume that the switching process is a semi-Markov process with finite state space E and the modulated process is a diffusive process. We derive recursive equations for the higher order moments of the discount factor...
Persistent link: https://www.econbiz.de/10010599962
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