Edit Profile (opens in new tab) Vigna, Elena Co-Author Distance Author ID: 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 all top 5 Co-Authors 3 single-authored 4 Haberman, Steven 4 Luciano, Elisa 3 Gerrard, Russell 2 Chen, An 2 Di Giacinto, Marina 2 Menoncin, Francesco 1 Cerreia-Vioglio, Simone 1 Federico, Salvatore 1 Gozzi, Fausto 1 Guillen, Montserrat 1 Højgaard, Bjarne 1 Jevtić, Petar 1 Marinacci, Massimo 1 Milazzo, Alessandro 1 Regis, Luca 1 Spreeuw, Jaap all top 5 Serials 8 Insurance Mathematics & Economics 2 Quantitative Finance 1 European Journal of Operational Research 1 International Journal of Theoretical and Applied Finance 1 CEJOR. Central European Journal of Operations Research 1 ASTIN Bulletin 1 North American Actuarial Journal 1 SIAM Journal on Financial Mathematics 1 Belgian Actuarial Bulletin 1 European Actuarial Journal all top 5 Fields 19 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 5 Operations research, mathematical programming (90-XX) 4 Systems theory; control (93-XX) 2 Probability theory and stochastic processes (60-XX) 2 Statistics (62-XX) 1 General and overarching topics; collections (00-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Real functions (26-XX) 1 Calculus of variations and optimal control; optimization (49-XX) Publications by Year all cited Publications top 5 cited Publications 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 all cited Publications top 5 cited Publications all top 5 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 all top 5 Cited in 11 Fields 239 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 79 Systems theory; control (93-XX) 51 Probability theory and stochastic processes (60-XX) 43 Statistics (62-XX) 28 Operations research, mathematical programming (90-XX) 18 Calculus of variations and optimal control; optimization (49-XX) 11 Numerical analysis (65-XX) 5 Partial differential equations (35-XX) 3 Integral equations (45-XX) 2 Biology and other natural sciences (92-XX) 1 Computer science (68-XX) Citations by Year