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Copula based multivariate semi-Markov models with applications in high-frequency finance

D'Amico, Guglielmo; Petroni, Filippo - In: European journal of operational research : EJOR 267 (2018) 2, pp. 765-777

Persistent link: https://www.econbiz.de/10011812746

A copula-based Markov reward approach to the credit spread in the European Union

D'Amico, Guglielmo; Petroni, Filippo; Regnalt, Philippe; … - In: Applied mathematical finance 26 (2019) 4, pp. 359-386

Persistent link: https://www.econbiz.de/10012210396

Performance estimation of photovoltaic energy production

Casula, Laura; D'Amico, Guglielmo; Masala, Giovanni; … - In: Letters in spatial and resource sciences : LSRS 13 (2020) 3, pp. 267-285

Persistent link: https://www.econbiz.de/10012392264

Risk management of pension fund : a model for salary evolution

D'Amico, Guglielmo; Lika, Ada; Petroni, Filippo - In: International Journal of Financial Studies : open … 7 (2019) 3/44, pp. 1-17

In this paper, we propose a semi-Markov chain to model the salary levels of participants ina pension scheme. The aim of the models is to understand the evolution in time of the salary of activeworkers in order to implement it in the construction of the actuarial technical balance sheet. It...

Persistent link: https://www.econbiz.de/10012150149

Change point dynamics for financial data : an indexed Markov chain approach

D'Amico, Guglielmo; Lika, Ada; Petroni, Filippo - In: Annals of finance 15 (2019) 2, pp. 247-266

Persistent link: https://www.econbiz.de/10012058237

A semi-Markov approach to the stock valuation problem

D'Amico, Guglielmo - In: Annals of finance 9 (2013) 4, pp. 589-610

Persistent link: https://www.econbiz.de/10010196598

Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits

D'Amico, Guglielmo; Singh, Shakti; Selvamuthu, Dharmaraja - In: Annals of finance 19 (2023) 3, pp. 383-400

Persistent link: https://www.econbiz.de/10014380571

Optimal investment-disinvestment choices in health-dependent variable annuity

D'Amico, Guglielmo; Singh, Shakti; Selvamuthu, Dharmaraja - In: Insurance : mathematics and economics 117 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10015066880

Willingness to accept a wind power plant : a survey study in the South of Italy

Vergine, Salvatore; Ramos-Sosa, María del Pino; … - In: Energy policy : the international journal of the … 192 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10015142016

Discrete time non-homogeneous semi-markov reliability transition credit risk models and the default distribution functions

D'Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo - In: Computational economics 38 (2011) 4, pp. 465-481

Persistent link: https://www.econbiz.de/10009356876