Publications

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2014

Coppola, Mariarosaria; D’Amato, Valeria

Basis risk in Solvency Capital Requirements for longevity risk (Journal Article)

Investment Management and Financial Innovations, 11 (3), pp. 53-57, 2014.

(Abstract | Links | BibTeX | Tags: Basis risk, Longevity Risk, net asset value, Solvency Capital Requirement)

2013

Coppola, Mariarosaria; D’Amato, Valeria; Levantesi, Susanna; Menzietti, Massimiliano; Russolillo, Maria

Longevity risk hedging and basis risk (Proceeding)

2013.

(Abstract | BibTeX | Tags: Basis risk, FDM, functional demographic model, Longevity Risk)

2012

Coppola, Mariarosaria; D’Amato, Valeria; Levantesi, Susanna; Menzietti, Massimiliano; Russolillo, Maria

Managing basis risk in longevity hedging strategies (Proceeding)

2012.

(Abstract | BibTeX | Tags: Basis risk, FDM, Longevity Risk)

Coppola, Mariarosaria; D’Amato, Valeria; Levantesi, Susanna; Menzietti, Massimiliano; Russolillo, Maria

Measuring and Hedging the basis risk by Functional Demographic Models (Journal Article)

Mathematical Methods in Economics and Finance, 7 (1), pp. 19-39, 2012, ISSN: 1971-6419.

(Abstract | Links | BibTeX | Tags: Basis risk, FDM, Lee Carter model, q-forward)