Staino, Alessandro; Russo, Emilio; Costabile, Massimo; Leccadito, Arturo Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with conditional value-at-risk (CVaR) constraint. (English) Zbl 07778015 Comput. Manag. Sci. 20, Paper No. 12, 32 p. (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{A. Staino} et al., Comput. Manag. Sci. 20, Paper No. 12, 32 p. (2023; Zbl 07778015) Full Text: DOI
Martire, Antonio L.; Russo, Emilio; Staino, Alessandro Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods. (English) Zbl 1519.91217 Decis. Econ. Finance 46, No. 1, 177-220 (2023). MSC: 91G05 45D05 65C05 PDFBibTeX XMLCite \textit{A. L. Martire} et al., Decis. Econ. Finance 46, No. 1, 177--220 (2023; Zbl 1519.91217) Full Text: DOI
Costabile, Massimo; Massabó, Ivar; Russo, Emilio; Staino, Alessandro Lattice-based model for pricing contingent claims under mixed fractional Brownian motion. (English) Zbl 1507.91220 Commun. Nonlinear Sci. Numer. Simul. 118, Article ID 107042, 13 p. (2023). MSC: 91G20 60G22 60G40 PDFBibTeX XMLCite \textit{M. Costabile} et al., Commun. Nonlinear Sci. Numer. Simul. 118, Article ID 107042, 13 p. (2023; Zbl 1507.91220) Full Text: DOI
De Angelis, Paolo; De Marchis, Roberto; Martire, Antonio L.; Russo, Emilio A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders. (English) Zbl 1492.91371 Decis. Econ. Finance 45, No. 1, 415-446 (2022). MSC: 91G20 PDFBibTeX XMLCite \textit{P. De Angelis} et al., Decis. Econ. Finance 45, No. 1, 415--446 (2022; Zbl 1492.91371) Full Text: DOI
Costabile, Massimo; Massabó, Ivar; Russo, Emilio; Staino, Alessandro A lattice approach to evaluate participating policies in a stochastic interest rate framework. (English) Zbl 1460.91217 J. Comput. Appl. Math. 385, Article ID 113212, 18 p. (2021). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91G05 91G30 PDFBibTeX XMLCite \textit{M. Costabile} et al., J. Comput. Appl. Math. 385, Article ID 113212, 18 p. (2021; Zbl 1460.91217) Full Text: DOI
Staino, Alessandro; Russo, Emilio Nested conditional value-at-risk portfolio selection: a model with temporal dependence driven by market-index volatility. (English) Zbl 1431.91369 Eur. J. Oper. Res. 280, No. 2, 741-753 (2020). MSC: 91G10 90C15 91G70 PDFBibTeX XMLCite \textit{A. Staino} and \textit{E. Russo}, Eur. J. Oper. Res. 280, No. 2, 741--753 (2020; Zbl 1431.91369) Full Text: DOI
Costabile, Massimo; Massabò, Ivar; Russo, Emilio A shifted tree model for the efficient evaluation of options with fixed dividends. (English) Zbl 1473.91021 IMA J. Manag. Math. 29, No. 1, 39-51 (2018). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{M. Costabile} et al., IMA J. Manag. Math. 29, No. 1, 39--51 (2018; Zbl 1473.91021) Full Text: DOI
Russo, Emilio; Staino, Alessandro A lattice-based model for evaluating bonds and interest-sensitive claims under stochastic volatility. (English) Zbl 1395.91465 Int. J. Theor. Appl. Finance 21, No. 4, Article ID 1850023, 18 p. (2018). MSC: 91G20 91G30 60H30 PDFBibTeX XMLCite \textit{E. Russo} and \textit{A. Staino}, Int. J. Theor. Appl. Finance 21, No. 4, Article ID 1850023, 18 p. (2018; Zbl 1395.91465) Full Text: DOI
De Angelis, Paolo; Martire, Antonio Luciano; Russo, Emilio A bivariate model for evaluating equity-linked policies with surrender option. (English) Zbl 1401.91128 Scand. Actuar. J. 2016, No. 3, 246-261 (2016). MSC: 91B30 91G20 60J10 62P05 PDFBibTeX XMLCite \textit{P. De Angelis} et al., Scand. Actuar. J. 2016, No. 3, 246--261 (2016; Zbl 1401.91128) Full Text: DOI
Costabile, M.; Massabò, I.; Russo, E. Computing finite-time survival probabilities using multinomial approximations of risk models. (English) Zbl 1401.91122 Scand. Actuar. J. 2015, No. 5, 406-422 (2015). MSC: 91B30 60J05 PDFBibTeX XMLCite \textit{M. Costabile} et al., Scand. Actuar. J. 2015, No. 5, 406--422 (2015; Zbl 1401.91122) Full Text: DOI
Staino, Alessandro; Russo, Emilio A moment-matching method to generate arbitrage-free scenarios. (English) Zbl 1346.91221 Eur. J. Oper. Res. 246, No. 2, 619-630 (2015). MSC: 91G10 PDFBibTeX XMLCite \textit{A. Staino} and \textit{E. Russo}, Eur. J. Oper. Res. 246, No. 2, 619--630 (2015; Zbl 1346.91221) Full Text: DOI
Costabile, Massimo; Leccadito, Arturo; Massabó, Ivar; Russo, Emilio Option pricing under regime-switching jump-diffusion models. (English) Zbl 1314.91206 J. Comput. Appl. Math. 256, 152-167 (2014). MSC: 91G20 91G60 60J75 PDFBibTeX XMLCite \textit{M. Costabile} et al., J. Comput. Appl. Math. 256, 152--167 (2014; Zbl 1314.91206) Full Text: DOI
Beraldi, Patrizia; Violi, Antonio; De Simone, Francesco; Costabile, Massimo; Massabò, Ivar; Russo, Emilio A multistage stochastic programming approach for capital budgeting problems under uncertainty. (English) Zbl 1258.91117 IMA J. Manag. Math. 24, No. 1, 89-110 (2013). MSC: 91B38 90C15 90C29 PDFBibTeX XMLCite \textit{P. Beraldi} et al., IMA J. Manag. Math. 24, No. 1, 89--110 (2013; Zbl 1258.91117) Full Text: DOI Link
Costabile, M.; Massabò, I.; Russo, E. On pricing contingent claims under the double Heston model. (English) Zbl 1262.91147 Int. J. Theor. Appl. Finance 15, No. 5, Article ID 1250033, 27 p. (2012). MSC: 91G60 91B25 91B70 PDFBibTeX XMLCite \textit{M. Costabile} et al., Int. J. Theor. Appl. Finance 15, No. 5, Article ID 1250033, 27 p. (2012; Zbl 1262.91147) Full Text: DOI
Costabile, Massimo; Massabò, Ivar; Russo, Emilio Fair valuation of equity-linked policies under insurer default risk. (English) Zbl 1291.91102 N. Am. Actuar. J. 15, No. 4, 517-534 (2011). MSC: 91B30 91G20 91G40 PDFBibTeX XMLCite \textit{M. Costabile} et al., N. Am. Actuar. J. 15, No. 4, 517--534 (2011; Zbl 1291.91102) Full Text: DOI
Costabile, Massimo; Massabó, Ivar; Russo, Emilio On pricing arithmetic average reset options with multiple reset dates in a lattice framework. (English) Zbl 1218.91168 J. Comput. Appl. Math. 235, No. 17, 5307-5325 (2011). MSC: 91G60 91G20 PDFBibTeX XMLCite \textit{M. Costabile} et al., J. Comput. Appl. Math. 235, No. 17, 5307--5325 (2011; Zbl 1218.91168) Full Text: DOI
Costabile, Massimo; Massabó, Ivar; Russo, Emilio A binomial approximation for two-state Markovian HJM models. (English) Zbl 1213.91159 Rev. Deriv. Res. 14, No. 1, 37-65 (2011). MSC: 91G60 91G20 91G30 PDFBibTeX XMLCite \textit{M. Costabile} et al., Rev. Deriv. Res. 14, No. 1, 37--65 (2011; Zbl 1213.91159) Full Text: DOI
Costabile, Massimo; Massabó, Ivar; Russo, Emilio A binomial model for valuing equity-linked policies embedding surrender options. (English) Zbl 1141.91496 Insur. Math. Econ. 42, No. 3, 873-886 (2008). MSC: 91B30 PDFBibTeX XMLCite \textit{M. Costabile} et al., Insur. Math. Econ. 42, No. 3, 873--886 (2008; Zbl 1141.91496) Full Text: DOI
Russo, Emilio; Spagnolo, Fabio; Mamon, Rogemar An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market. (English) Zbl 1311.91152 Mamon, Rogemar S. (ed.) et al., Hidden Markov models in finance. New York, NY: Springer (ISBN 978-0-387-71081-5/hbk). International Series in Operations Research & Management Science 104, 133-153 (2007). MSC: 91B64 60J20 PDFBibTeX XMLCite \textit{E. Russo} et al., Int. Ser. Oper. Res. Manag. Sci. 104, 133--153 (2007; Zbl 1311.91152) Full Text: DOI