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Computationally simple lattice methods for option and bond pricing

Costabile, Massimo; Leccadito, Arturo; Massabó, Ivar - In: Decisions in economics and finance : DEF ; a journal of … 32 (2009) 2, pp. 161-181

Persistent link: https://www.econbiz.de/10003893191

A simplified approach to approximate diffusion processes widely used in finance

Costabile, Massimo; Massabó, Ivar - In: The journal of derivatives : the official publication … 17 (2009/10) 3, pp. 65-85

Persistent link: https://www.econbiz.de/10003961022

Minimum capital requirement and portfolio allocation for non-life insurance : a semiparametric model with Conditional Value-at-Risk (CVaR) constraint

Staino, Alessandro; Russo, Emilio; Costabile, Massimo; … - In: Computational management science 20 (2023) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10014228472

Computing risk measures of life insurance policies through the Cox-Ross-Rubinstein model

Costabile, Massimo - In: The journal of derivatives : the official publication … 26 (2018) 2, pp. 86-94

Persistent link: https://www.econbiz.de/10011968701

A moment-matching method to generate arbitrage-free scenarios

Staino, Alessandro; Russo, Emilio - In: European journal of operational research : EJOR 246 (2015) 2, pp. 619-630

Persistent link: https://www.econbiz.de/10011338769

Nested Conditional Value-at-Risk portfolio selection : a model with temporal dependence driven by market-index volatility

Staino, Alessandro; Russo, Emilio - In: European journal of operational research : EJOR 280 (2020) 2, pp. 741-753

Persistent link: https://www.econbiz.de/10012132469

Surrender and path-dependent guarantees in variable annuities : integral equation solutions and benchmark methods

Martire, Antonio L.; Russo, Emilio; Staino, Alessandro - In: Decisions in economics and finance : a journal of … 46 (2023) 1, pp. 177-220

Persistent link: https://www.econbiz.de/10014321412

Fair valuations of insurance policies under multiple risk factors : a flexible lattice approach

Devolder, Pierre; Russo, Emilio; Staino, Alessandro - In: ASTIN bulletin : the journal of the International … 54 (2024) 2, pp. 385-409

Persistent link: https://www.econbiz.de/10015055294

A mulistage stochastic programming approach for capital budgeting problems under uncertainty

Beraldi, Patrizia; Violi, Antonio; De Simone, Francesco; … - In: IMA journal of management mathematics 24 (2013) 1, pp. 89-110

Persistent link: https://www.econbiz.de/10009716279

Modeling the future value distribution of a life insurance portfolio

Costabile, Massimo; Viviano, Fabio - In: Risks : open access journal 9 (2021) 10, pp. 1-17

This paper addresses the problem of approximating the future value distribution of a large and heterogeneous life insurance portfolio which would play a relevant role, for instance, for solvency capital requirement valuations. Based on a metamodel, we first select a subset of representative...

Persistent link: https://www.econbiz.de/10012632215