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Calibrating affine stochastic mortality models using term assurance premiums
Russo, Vincenzo; Giacometti, Rosella; Ortobelli, Sergio; … - In: Insurance / Mathematics & economics 49 (2011) 1, pp. 53-60
Persistent link: https://www.econbiz.de/10009157445
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Portfolio selection with uncertainty measures consistent with additive shifts
Giacometti, Rosella; Ortobelli, Sergio; Tichý, Tomáš - In: Prague economic papers : a bimonthly journal of … 24 (2015) 1, pp. 3-16
Persistent link: https://www.econbiz.de/10011288798
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Joint tails impact in stochastic volatility portfolio selection models
Bonomelli, Marco; Giacometti, Rosella; Ortobelli Lozza, … - In: Stochastic optimization: theory and applications, (pp. 833-848). 2020
Persistent link: https://www.econbiz.de/10012290845
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A stochastic optimization model for gas retail with temperature scenarios and oil price parameters
Maggioni, Francesca; Bertocchi, Marida; Giacometti, R.; … - In: IMA journal of management mathematics 21 (2010) 2, pp. 149-163
Persistent link: https://www.econbiz.de/10003984229