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Author ID: vigna.elena Recent zbMATH articles by "Vigna, Elena"
Published as: Vigna, Elena
Documents Indexed: 20 Publications since 2001, including 1 Book and 1 Additional arXiv Preprint
Co-Authors: 16 Co-Authors with 17 Joint Publications
353 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

18 Publications have been cited 403 times in 247 Documents Cited by Year
On efficiency of mean-variance based portfolio selection in defined contribution pension schemes. Zbl 1294.91168
Vigna, Elena
59
2014
Optimal investment choices post-retirement in a defined contribution pension scheme. Zbl 1093.91027
Gerrard, Russell; Haberman, Steven; Vigna, Elena
54
2004
Optimal investment strategies and risk measures in defined contribution pension schemes. Zbl 1039.91025
Haberman, Steven; Vigna, Elena
48
2002
Optimal investment strategy for defined contribution pension schemes. Zbl 0976.91039
Vigna, Elena; Haberman, Steven
42
2001
Mortality risk via affine stochastic intensities: calibration and empirical relevance. Zbl 1398.91345
Luciano, Elisa; Vigna, Elena
37
2008
Modelling stochastic mortality for dependent lives. Zbl 1189.91076
Luciano, Elisa; Spreeuw, Jaap; Vigna, Elena
31
2008
Delta-gamma hedging of mortality and interest rate risk. Zbl 1237.91134
Luciano, Elisa; Regis, Luca; Vigna, Elena
24
2012
Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework. Zbl 1396.91307
Menoncin, Francesco; Vigna, Elena
23
2017
Income drawdown option with minimum guarantee. Zbl 1304.91187
Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto; Vigna, Elena
16
2014
Choosing the optimal annuitization time post-retirement. Zbl 1279.91094
Gerrard, Russell; Højgaard, Bjarne; Vigna, Elena
16
2012
Mortality surface by means of continuous time cohort models. Zbl 1284.91240
Jevtić, Petar; Luciano, Elisa; Vigna, Elena
13
2013
The management of decumulation risks in a defined contribution pension plan. Zbl 1479.91325
Gerrard, Russell; Haberman, Steven; Vigna, Elena
12
2006
On the sub-optimality cost of immediate annuitization in DC pension funds. Zbl 1339.91062
Di Giacinto, Marina; Vigna, Elena
7
2012
On time consistency for mean-variance portfolio selection. Zbl 1457.91352
Vigna, Elena
7
2020
A unisex stochastic mortality model to comply with EU Gender Directive. Zbl 1416.91162
Chen, An; Vigna, Elena
6
2017
Mean-variance dynamic optimality for DC pension schemes. Zbl 1452.91275
Menoncin, Francesco; Vigna, Elena
4
2020
Tail optimality and preferences consistency for intertemporal optimization problems. Zbl 1486.49040
Vigna, Elena
2
2022
Solvency requirement in a unisex mortality model. Zbl 1416.91161
Chen, An; Guillen, Montserrat; Vigna, Elena
2
2018
Tail optimality and preferences consistency for intertemporal optimization problems. Zbl 1486.49040
Vigna, Elena
2
2022
On time consistency for mean-variance portfolio selection. Zbl 1457.91352
Vigna, Elena
7
2020
Mean-variance dynamic optimality for DC pension schemes. Zbl 1452.91275
Menoncin, Francesco; Vigna, Elena
4
2020
Solvency requirement in a unisex mortality model. Zbl 1416.91161
Chen, An; Guillen, Montserrat; Vigna, Elena
2
2018
Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework. Zbl 1396.91307
Menoncin, Francesco; Vigna, Elena
23
2017
A unisex stochastic mortality model to comply with EU Gender Directive. Zbl 1416.91162
Chen, An; Vigna, Elena
6
2017
On efficiency of mean-variance based portfolio selection in defined contribution pension schemes. Zbl 1294.91168
Vigna, Elena
59
2014
Income drawdown option with minimum guarantee. Zbl 1304.91187
Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto; Vigna, Elena
16
2014
Mortality surface by means of continuous time cohort models. Zbl 1284.91240
Jevtić, Petar; Luciano, Elisa; Vigna, Elena
13
2013
Delta-gamma hedging of mortality and interest rate risk. Zbl 1237.91134
Luciano, Elisa; Regis, Luca; Vigna, Elena
24
2012
Choosing the optimal annuitization time post-retirement. Zbl 1279.91094
Gerrard, Russell; Højgaard, Bjarne; Vigna, Elena
16
2012
On the sub-optimality cost of immediate annuitization in DC pension funds. Zbl 1339.91062
Di Giacinto, Marina; Vigna, Elena
7
2012
Mortality risk via affine stochastic intensities: calibration and empirical relevance. Zbl 1398.91345
Luciano, Elisa; Vigna, Elena
37
2008
Modelling stochastic mortality for dependent lives. Zbl 1189.91076
Luciano, Elisa; Spreeuw, Jaap; Vigna, Elena
31
2008
The management of decumulation risks in a defined contribution pension plan. Zbl 1479.91325
Gerrard, Russell; Haberman, Steven; Vigna, Elena
12
2006
Optimal investment choices post-retirement in a defined contribution pension scheme. Zbl 1093.91027
Gerrard, Russell; Haberman, Steven; Vigna, Elena
54
2004
Optimal investment strategies and risk measures in defined contribution pension schemes. Zbl 1039.91025
Haberman, Steven; Vigna, Elena
48
2002
Optimal investment strategy for defined contribution pension schemes. Zbl 0976.91039
Vigna, Elena; Haberman, Steven
42
2001
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Cited by 344 Authors

24 Forsyth, Peter A.
15 Vigna, Elena
12 Yao, Haixiang
11 Liang, Zongxia
8 Dang, Duy Minh
8 Regis, Luca
7 Jevtić, Petar
7 Li, Zhongfei
6 Guan, Guohui
6 Josa-Fombellida, Ricardo
6 Sherris, Michael
6 Van Staden, Pieter M.
6 Vetzal, Kenneth R.
5 Chen, An
5 Devolder, Pierre
5 Li, Johnny Siu-Hang
5 Luciano, Elisa
5 Zhang, Ling
4 Bian, Lihua
4 Chen, Ping
4 Chen, Zhiping
4 Deelstra, Griselda
4 Delong, Łukasz
4 Federico, Salvatore
4 Gao, Jianwei
4 Gerrard, Russell
4 Guillen, Montserrat
4 Haberman, Steven
4 He, Lin
4 Li, Yuying
4 Menoncin, Francesco
4 Sun, Jingyun
4 Zhao, Hui
4 Ziveyi, Jonathan
3 Barigou, Karim
3 Di Giacinto, Marina
3 Gozzi, Fausto
3 Hainaut, Donatien
3 Li, Xun
3 Liu, Yanxin
3 Lu, Yang
3 Lu, Yi
3 Oosterlee, Cornelis Willebrordus
3 Rincón-Zapatero, Juan Pablo
3 Wang, Jian
3 Wang, Liyuan
3 Wang, Suxin
3 Wei, Jiaqin
3 Wu, Huiling
3 Zhou, Kenneth Q.
2 Ballotta, Laura
2 Casalini, Riccardo
2 Chang, Hao
2 Dadashi, Hassan
2 De Rosa, Clemente
2 Eberlein, Ernst W.
2 Fusai, Gianluca
2 Gambaro, Anna Maria
2 Ghilarducci, Alessandro
2 Grasselli, Martino
2 Hardy, Mary Rosalyn
2 Hieber, Peter
2 Huang, Hong-Chih
2 Ignatieva, Katja
2 Konicz, Agnieszka Karolina
2 Lai, Yongzeng
2 Lee, Hyunju
2 Li, Danping
2 Li, Jiaao
2 Li, Xingyi
2 Liu, Zilan
2 López-Casado, Paula
2 Lopez, Olivier
2 Ma, Qinghua
2 Mamon, Rogemar S.
2 Milevsky, Moshe Arye
2 Navas, Jorge A.
2 Nielsen, Jens Perch
2 Peng, Xingchun
2 Pérez-Marín, Ana María
2 Petersen, Kitt Skovsø
2 Pisinger, David
2 Rach, Manuel
2 Rong, Ximin
2 Salhi, Yahia
2 Schmidt, Thorsten
2 Schumacher, Johannes M.
2 Śliwka, Piotr
2 Tsanakas, Andreas
2 Van Weverberg, Christopher
2 Wang, Chou-Wen
2 Wang, Rongming
2 Westmacott, Graham
2 Wong, Kwok Chuen
2 Xu, Mengyi
2 Xu, Yajing
2 Yam, Sheung Chi Phillip
2 Zeineddine, Raghid
2 Zeng, Li
2 Zeng, Yan
...and 244 more Authors
all top 5

Cited in 48 Serials

87 Insurance Mathematics & Economics
15 ASTIN Bulletin
14 Journal of Industrial and Management Optimization
12 European Journal of Operational Research
12 Scandinavian Actuarial Journal
11 North American Actuarial Journal
9 Journal of Computational and Applied Mathematics
9 Quantitative Finance
8 International Journal of Theoretical and Applied Finance
6 Finance and Stochastics
4 Journal of Economic Dynamics & Control
4 Decisions in Economics and Finance
4 SIAM Journal on Financial Mathematics
4 European Actuarial Journal
3 Communications in Statistics. Theory and Methods
3 Mathematical Problems in Engineering
3 Methodology and Computing in Applied Probability
2 Computational and Applied Mathematics
2 Applied Mathematical Finance
2 Computational Management Science
2 Journal of the Operations Research Society of China
2 Dependence Modeling
1 Journal of Mathematical Analysis and Applications
1 Scandinavian Journal of Statistics
1 Applied Mathematics and Optimization
1 Journal of Optimization Theory and Applications
1 Numerische Mathematik
1 SIAM Journal on Control and Optimization
1 Social Choice and Welfare
1 Optimization
1 Chinese Journal of Applied Probability and Statistics
1 Computers & Operations Research
1 Numerical Methods for Partial Differential Equations
1 Annals of Operations Research
1 Applications of Mathematics
1 Statistical Papers
1 Mathematical Methods of Operations Research
1 Discrete Dynamics in Nature and Society
1 Journal of Applied Statistics
1 CEJOR. Central European Journal of Operations Research
1 Probability in the Engineering and Informational Sciences
1 Journal of Systems Science and Complexity
1 Stochastic Models
1 OR Spectrum
1 Stochastics
1 Mathematics and Financial Economics
1 Cogent Mathematics
1 Probability, Uncertainty and Quantitative Risk

Citations by Year