×

D’Amico, Guglielmo

Author ID: damico.guglielmo Recent zbMATH articles by "D’Amico, Guglielmo"
Published as: D’Amico, Guglielmo; D’Amico, G.; d’Amico, Guglielmo; D’amico, Guglielmo
Homepage: https://sites.google.com/site/damicogu/home
External Links: ORCID

Publications by Year

Citations contained in zbMATH Open

47 Publications have been cited 166 times in 81 Documents Cited by Year
Homogeneous semi-Markov reliability models for credit risk management. Zbl 1125.91341
D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo
22
2005
Valuing credit default swap in a non-homogeneous semi-Markovian rating based model. Zbl 1161.91386
D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo
12
2007
Initial and final backward and forward discrete time non-homogeneous semi-Markov credit risk models. Zbl 1194.60054
D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo
12
2010
Full backward non-homogeneous semi-Markov processes for disability insurance models: a Catalunya real data application. Zbl 1231.91169
D’Amico, Guglielmo; Guillen, Montserrat; Manca, Raimondo
11
2009
Performance analysis of second order semi-Markov chains: an application to wind energy production. Zbl 1322.60187
D’Amico, Guglielmo; Petroni, Filippo; Prattico, Flavio
9
2015
Semi-Markov reliability models with recurrence times and credit rating applications. Zbl 1175.91190
D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo
7
2009
Discrete time non-homogeneous semi-Markov reliability transition credit risk models and the default distribution functions. Zbl 1247.91194
D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo
6
2011
Semi-Markov disability insurance models. Zbl 1275.91076
D’Amico, Guglielmo; Guillen, Montserrat; Manca, Raimondo
6
2013
Copula based multivariate semi-Markov models with applications in high-frequency finance. Zbl 1403.91385
D’Amico, Guglielmo; Petroni, Filippo
6
2018
Age-usage semi-Markov models. Zbl 1225.90034
D’Amico, Guglielmo
5
2011
The crossing barrier of a non-homogeneous semi-Markov chain. Zbl 1196.60147
D’Amico, Guglielmo
5
2009
A semi-Markov approach to the stock valuation problem. Zbl 1298.91161
D’Amico, Guglielmo
5
2013
A semi-Markov maintenance model with credit rating application. Zbl 1154.91498
D’Amico, Guglielmo
4
2009
A non-homogeneous semi-Markov reward model for the credit spread computation. Zbl 1214.91125
D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo
4
2011
Dynamic measurement of poverty: modeling and estimation. Zbl 1405.91406
D’Amico, Guglielmo; Regnault, Philippe
4
2018
The dynamic behaviour of non-homogeneous single-unireducible Markov and semi-Markov chains. Zbl 1154.91330
D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo
3
2009
Duration dependent semi-Markov models. Zbl 1245.60085
D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo
3
2011
Novel advancements in the Markov chain stock model: analysis and inference. Zbl 1458.62230
Barbu, Vlad Stefan; D’Amico, Guglielmo; De Blasis, Riccardo
3
2017
Rate of occurrence of failures (ROCOF) of higher-order for Markov processes: analysis, inference and application to financial credit ratings. Zbl 1331.60169
D’Amico, Guglielmo
3
2015
Discrete time homogeneous Markov processes for the study of the basic risk processes. Zbl 1330.60088
D’Amico, Guglielmo; Gismondi, Fulvio; Janssen, Jacques; Manca, Raimondo
3
2015
Multivariate high-frequency financial data via semi-Markov processes. Zbl 1311.60102
D’Amico, G.; Petroni, F.
3
2014
Statistical inference for Markov chain European option: estimating the price, the bare risk and the theta by historical distributions of Markov chain. Zbl 1193.91153
D’Amico, Guglielmo
2
2006
Storage impulsive processes in the merging phase space. Zbl 1304.60054
Koroliuk, Vladimir S.; Manca, Raimondo; D’Amico, Guglielmo
2
2014
Valuation of R&D compound option using Markov chain approach. Zbl 1473.91028
D’Amico, Guglielmo; Villani, Giovanni
2
2021
A semi-Markov modulated interest rate model. Zbl 1283.91189
D’Amico, Guglielmo; Manca, Raimondo; Salvi, Giovanni
2
2013
Insuring wind energy production. Zbl 1400.91243
D’Amico, Guglielmo; Petroni, Filippo; Prattico, Flavio
2
2017
A convergence result in the estimation of Markov chains with application to compound options. Zbl 1211.62142
D’Amico, Guglielmo
1
2008
Nonparametric estimation of the expected accumulated reward for semi-Markov chains. Zbl 1185.62066
D’Amico, Guglielmo
1
2009
Stochastic dividend discount model: risk and return. Zbl 1383.60070
D’Amico, G.
1
2017
Patient’s age depending HIV/AIDS evolution analysis by means of a non-homogeneous semi-Markov model. Zbl 1180.92077
D’Amico, Guglielmo; Di Biase, Giuseppe; Janssen, Jacques; Manca, Raimondo
1
2009
Monte Carlo semi-Markov methods for credit risk migration models and Basel II rules. I. Zbl 1164.60063
Biffi, Elena; D’Amico, Guglielmo; Di Biase, Giuseppe; Janssen, Jacques; Manca, Raimondo; Silvestrov, Dmitrii
1
2008
Step semi-Markov models and application to manpower management. Zbl 1356.60139
Barbu, Vlad Stefan; D’Amico, Guglielmo; Manca, Raimondo; Petroni, Filippo
1
2016
Single-use reliability computation of a semi-Markovian system. Zbl 1340.60138
D’Amico, Guglielmo
1
2014
A stochastic model for the HIV/AIDS dynamic evolution. Zbl 1360.92068
Di Biase, Giuseppe; D’Amico, Guglielmo; Di Girolamo, Arturo; Janssen, Jacques; Iacobelli, Stefano; Tinari, Nicola; Manca, Raimondo
1
2007
Storage impulsive processes on increasing time intervals. Zbl 1329.60267
Koroliuk, V. S.; Manca, R.; D’Amico, G.
1
2014
A new approach to the modeling of financial volumes. Zbl 1423.60137
D’Amico, Guglielmo; Gismondi, Fulvio; Petroni, Filippo
1
2018
A copula-based Markov reward approach to the credit spread in the European Union. Zbl 1430.91123
D’Amico, Guglielmo; Petroni, Filippo; Regnault, Philippe; Scocchera, Stefania; Storchi, Loriano
1
2019
A multivariate Markov chain stock model. Zbl 1447.91133
D’Amico, Guglielmo; De Blasis, Riccardo
1
2020
Bivariate semi-Markov process for counterparty credit risk. Zbl 1292.60089
D’Amico, Guglielmo; Manca, Raimondo; Salvi, Giovanni
1
2014
The input evaluation of generalized Bernoulli processes for salary lines construction by means of continuous time generalized non-homogeneous semi-Markov processes. Zbl 1386.90069
D’Amico, Guglielmo; Di Biase, Giuseppe; Gismondi, Fulvio; Manca, Raimondo
1
2013
Confidence sets for dynamic poverty indexes. Zbl 07611133
D’Amico, Guglielmo; De Blasis, Riccardo
1
2022
Homogeneous discrete time alternating compound renewal process: a disability insurance application. Zbl 1393.60097
D’Amico, Guglielmo; Gismondi, Fulvio; Janssen, Jacques; Manca, Raimondo
1
2015
HIV evolution: a quantification of the effects due to age and to medical progress. Zbl 1267.92049
D’Amico, Guglielmo; Di Biase, Giuseppe; Janssen, Jacques; Manca, Raimondo
1
2011
Optimal control of a dispatchable energy source for wind energy management. Zbl 1414.90132
D’Amico, Guglielmo; Petroni, Filippo; Sobolewski, Robert Adam
1
2019
The study of basic risk processes by discrete-time non-homogeneous Markov processes. Zbl 1402.60089
D’Amico, G.; Gismondi, F.; Janssen, J.; Manca, R.; Petroni, F.; Di Prignano, E. Volpe
1
2018
Bivariate semi-Markov reward chain and credit spreads. Zbl 1433.91199
D’Amico, Guglielmo; Manca, Raimondo; Salvi, Giovanni
1
2016
Change point dynamics for financial data: an indexed Markov chain approach. Zbl 1417.91564
D’Amico, Guglielmo; Lika, Ada; Petroni, Filippo
1
2019
Confidence sets for dynamic poverty indexes. Zbl 07611133
D’Amico, Guglielmo; De Blasis, Riccardo
1
2022
Valuation of R&D compound option using Markov chain approach. Zbl 1473.91028
D’Amico, Guglielmo; Villani, Giovanni
2
2021
A multivariate Markov chain stock model. Zbl 1447.91133
D’Amico, Guglielmo; De Blasis, Riccardo
1
2020
A copula-based Markov reward approach to the credit spread in the European Union. Zbl 1430.91123
D’Amico, Guglielmo; Petroni, Filippo; Regnault, Philippe; Scocchera, Stefania; Storchi, Loriano
1
2019
Optimal control of a dispatchable energy source for wind energy management. Zbl 1414.90132
D’Amico, Guglielmo; Petroni, Filippo; Sobolewski, Robert Adam
1
2019
Change point dynamics for financial data: an indexed Markov chain approach. Zbl 1417.91564
D’Amico, Guglielmo; Lika, Ada; Petroni, Filippo
1
2019
Copula based multivariate semi-Markov models with applications in high-frequency finance. Zbl 1403.91385
D’Amico, Guglielmo; Petroni, Filippo
6
2018
Dynamic measurement of poverty: modeling and estimation. Zbl 1405.91406
D’Amico, Guglielmo; Regnault, Philippe
4
2018
A new approach to the modeling of financial volumes. Zbl 1423.60137
D’Amico, Guglielmo; Gismondi, Fulvio; Petroni, Filippo
1
2018
The study of basic risk processes by discrete-time non-homogeneous Markov processes. Zbl 1402.60089
D’Amico, G.; Gismondi, F.; Janssen, J.; Manca, R.; Petroni, F.; Di Prignano, E. Volpe
1
2018
Novel advancements in the Markov chain stock model: analysis and inference. Zbl 1458.62230
Barbu, Vlad Stefan; D’Amico, Guglielmo; De Blasis, Riccardo
3
2017
Insuring wind energy production. Zbl 1400.91243
D’Amico, Guglielmo; Petroni, Filippo; Prattico, Flavio
2
2017
Stochastic dividend discount model: risk and return. Zbl 1383.60070
D’Amico, G.
1
2017
Step semi-Markov models and application to manpower management. Zbl 1356.60139
Barbu, Vlad Stefan; D’Amico, Guglielmo; Manca, Raimondo; Petroni, Filippo
1
2016
Bivariate semi-Markov reward chain and credit spreads. Zbl 1433.91199
D’Amico, Guglielmo; Manca, Raimondo; Salvi, Giovanni
1
2016
Performance analysis of second order semi-Markov chains: an application to wind energy production. Zbl 1322.60187
D’Amico, Guglielmo; Petroni, Filippo; Prattico, Flavio
9
2015
Rate of occurrence of failures (ROCOF) of higher-order for Markov processes: analysis, inference and application to financial credit ratings. Zbl 1331.60169
D’Amico, Guglielmo
3
2015
Discrete time homogeneous Markov processes for the study of the basic risk processes. Zbl 1330.60088
D’Amico, Guglielmo; Gismondi, Fulvio; Janssen, Jacques; Manca, Raimondo
3
2015
Homogeneous discrete time alternating compound renewal process: a disability insurance application. Zbl 1393.60097
D’Amico, Guglielmo; Gismondi, Fulvio; Janssen, Jacques; Manca, Raimondo
1
2015
Multivariate high-frequency financial data via semi-Markov processes. Zbl 1311.60102
D’Amico, G.; Petroni, F.
3
2014
Storage impulsive processes in the merging phase space. Zbl 1304.60054
Koroliuk, Vladimir S.; Manca, Raimondo; D’Amico, Guglielmo
2
2014
Single-use reliability computation of a semi-Markovian system. Zbl 1340.60138
D’Amico, Guglielmo
1
2014
Storage impulsive processes on increasing time intervals. Zbl 1329.60267
Koroliuk, V. S.; Manca, R.; D’Amico, G.
1
2014
Bivariate semi-Markov process for counterparty credit risk. Zbl 1292.60089
D’Amico, Guglielmo; Manca, Raimondo; Salvi, Giovanni
1
2014
Semi-Markov disability insurance models. Zbl 1275.91076
D’Amico, Guglielmo; Guillen, Montserrat; Manca, Raimondo
6
2013
A semi-Markov approach to the stock valuation problem. Zbl 1298.91161
D’Amico, Guglielmo
5
2013
A semi-Markov modulated interest rate model. Zbl 1283.91189
D’Amico, Guglielmo; Manca, Raimondo; Salvi, Giovanni
2
2013
The input evaluation of generalized Bernoulli processes for salary lines construction by means of continuous time generalized non-homogeneous semi-Markov processes. Zbl 1386.90069
D’Amico, Guglielmo; Di Biase, Giuseppe; Gismondi, Fulvio; Manca, Raimondo
1
2013
Discrete time non-homogeneous semi-Markov reliability transition credit risk models and the default distribution functions. Zbl 1247.91194
D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo
6
2011
Age-usage semi-Markov models. Zbl 1225.90034
D’Amico, Guglielmo
5
2011
A non-homogeneous semi-Markov reward model for the credit spread computation. Zbl 1214.91125
D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo
4
2011
Duration dependent semi-Markov models. Zbl 1245.60085
D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo
3
2011
HIV evolution: a quantification of the effects due to age and to medical progress. Zbl 1267.92049
D’Amico, Guglielmo; Di Biase, Giuseppe; Janssen, Jacques; Manca, Raimondo
1
2011
Initial and final backward and forward discrete time non-homogeneous semi-Markov credit risk models. Zbl 1194.60054
D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo
12
2010
Full backward non-homogeneous semi-Markov processes for disability insurance models: a Catalunya real data application. Zbl 1231.91169
D’Amico, Guglielmo; Guillen, Montserrat; Manca, Raimondo
11
2009
Semi-Markov reliability models with recurrence times and credit rating applications. Zbl 1175.91190
D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo
7
2009
The crossing barrier of a non-homogeneous semi-Markov chain. Zbl 1196.60147
D’Amico, Guglielmo
5
2009
A semi-Markov maintenance model with credit rating application. Zbl 1154.91498
D’Amico, Guglielmo
4
2009
The dynamic behaviour of non-homogeneous single-unireducible Markov and semi-Markov chains. Zbl 1154.91330
D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo
3
2009
Nonparametric estimation of the expected accumulated reward for semi-Markov chains. Zbl 1185.62066
D’Amico, Guglielmo
1
2009
Patient’s age depending HIV/AIDS evolution analysis by means of a non-homogeneous semi-Markov model. Zbl 1180.92077
D’Amico, Guglielmo; Di Biase, Giuseppe; Janssen, Jacques; Manca, Raimondo
1
2009
A convergence result in the estimation of Markov chains with application to compound options. Zbl 1211.62142
D’Amico, Guglielmo
1
2008
Monte Carlo semi-Markov methods for credit risk migration models and Basel II rules. I. Zbl 1164.60063
Biffi, Elena; D’Amico, Guglielmo; Di Biase, Giuseppe; Janssen, Jacques; Manca, Raimondo; Silvestrov, Dmitrii
1
2008
Valuing credit default swap in a non-homogeneous semi-Markovian rating based model. Zbl 1161.91386
D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo
12
2007
A stochastic model for the HIV/AIDS dynamic evolution. Zbl 1360.92068
Di Biase, Giuseppe; D’Amico, Guglielmo; Di Girolamo, Arturo; Janssen, Jacques; Iacobelli, Stefano; Tinari, Nicola; Manca, Raimondo
1
2007
Statistical inference for Markov chain European option: estimating the price, the bare risk and the theta by historical distributions of Markov chain. Zbl 1193.91153
D’Amico, Guglielmo
2
2006
Homogeneous semi-Markov reliability models for credit risk management. Zbl 1125.91341
D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo
22
2005
all top 5

Cited by 99 Authors

38 D’Amico, Guglielmo
20 Manca, Raimondo
13 Petroni, Filippo
9 Janssen, Jacques
5 De Blasis, Riccardo
4 Gismondi, Fulvio
4 Swishchuk, Anatoliy
3 Barbu, Vlad Stefan
3 Di Biase, Giuseppe
3 Guillen, Montserrat
3 Limnios, Nikolaos
3 Vassiliou, Panagiotis C. G.
2 Angelelli, Enrico
2 Bouzebda, Salim
2 Di Basilio, Bice
2 Fuino, Michel
2 Korolyuk, Volodymyr Semenovych
2 Maegebier, Alexander
2 Masala, Giovanni Batista
2 Ortobelli Lozza, Sergio
2 Prattico, Flavio
2 Salvi, Giovanni
2 Scocchera, Stefania
2 Storchi, Loriano
2 Villani, Giovanni
2 Wagner, Joël
1 Agosto, Arianna
1 Balakrishnan, Narayanaswamy
1 Bianchi, Annamaria
1 Bufalo, Michele
1 Carette, Philippe
1 Chellai, Fatih
1 Ching, Wai-Ki
1 Choi, Kyoung Jin
1 Colaneri, Patrizio
1 Cui, Lirong
1 Dedu, Silvia Cristina
1 Deepa, R. Acharya
1 Dharmaraja, Selvamuthu
1 Di Bari, Antonio
1 Di Girolamo, Arturo
1 di Prignano, Ernesto Volpe
1 Elliott, Robert James
1 Gatzert, Nadine
1 Golomoziy, Vitaliy
1 Guerry, Marie-Anne
1 Hadi, Ibnu
1 Hainaut, Donatien
1 Hou, Yunhui
1 Huang, Ting-Zhu
1 Iacobelli, Stefano
1 Jallow, Mamadou Alieu
1 Jeon, Junkee
1 Lee, Hoseok
1 Lika, Ada
1 Lin, Hsuan-Chih
1 Liu, Fei
1 Mardnifard, H. A.
1 Mesbah, Ali
1 Moretto, Enrico
1 Mulyono
1 Nafiu, Lukman Abiodun
1 Nair, Vijayan N.
1 Ndoci, Alda
1 Negahdari, Farajollah
1 Ning, Zepeng
1 Ogutu, Carolyne Adhiambo
1 Panebianco, Fabrizio
1 Papamichail, Chrysanthi
1 Pasricha, Puneet
1 Preda, Vasile C.
1 Prummer, Anja
1 Regnault, Philippe
1 Samoilenko, Igor V.
1 Schön, Walter
1 Sheraz, Muhammad
1 Siedlarek, Jan-Peter
1 Silvestrov, Dmitrii
1 Singh, Shakti Nath
1 Sobolewski, Robert Adam
1 Suyono
1 Tardelli, Paola
1 Tian, Yongxiao
1 Tinari, Nicola
1 Vadori, Nelson
1 Vasileiou, Aglaia
1 Vergne, Nicolas
1 Votsi, Irene
1 Wang, Chao
1 Wang, Meng
1 Yan, Huaicheng
1 Yang, Yang
1 Yi, He
1 Yi, Jianjun
1 Yin, Yanyan
1 Zhang, Hao
1 Zhang, I. Y.
1 Zhang, Lixian
1 Zhang, Yueyuan
all top 5

Cited in 42 Serials

9 Methodology and Computing in Applied Probability
9 Annals of Finance
6 Insurance Mathematics & Economics
4 Communications in Statistics. Theory and Methods
4 Mathematical Problems in Engineering
3 Theory of Probability and Mathematical Statistics
3 Journal of Applied Statistics
2 Automatica
2 Linear Algebra and its Applications
2 Computational Economics
2 Journal of Nonparametric Statistics
2 Modern Stochastics. Theory and Applications
2 Stochastics and Quality Control
1 The Canadian Journal of Statistics
1 Journal of Statistical Physics
1 Physica A
1 Applied Mathematics and Computation
1 Fuzzy Sets and Systems
1 Journal of Economic Theory
1 Statistics & Probability Letters
1 Stochastic Analysis and Applications
1 Applications of Mathematics
1 Applied Mathematical Modelling
1 European Journal of Operational Research
1 The Journal of Analysis
1 Journal of Mathematical Sciences (New York)
1 Applied Mathematical Finance
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Journal of Applied Mathematics and Decision Sciences
1 Far East Journal of Theoretical Statistics
1 Informatica (Vilnius)
1 International Journal of Theoretical and Applied Finance
1 Scandinavian Actuarial Journal
1 Decisions in Economics and Finance
1 Stochastic Models
1 North American Actuarial Journal
1 Computational Management Science
1 Statistical Methods and Applications
1 Journal of Industrial and Management Optimization
1 Advances in Decision Sciences
1 Epidemiologic Methods
1 Environmetrics

Citations by Year