Publications
PUBLICATIONS IN INTERNATIONAL REFEREED JOURNALS
· "Optimal additional voluntary contribution in DC pension schemes to manage inadequacy risk", with H. Ferreira Morici, to appear in Decisions in Economics and Finance, 2024. www.carloalberto.org/wp-content/uploads/2023/09/no.699.pdf
. “Tail optimality and preferences consistency for intertemporal optimization problems”, SIAM Journal on Financial Mathematics 13, 295-320, 2022. https://www.carloalberto.org/wp-content/uploads/2017/07/no.502.pdf
· “On time consistency for mean-variance portfolio selection”, International Journal of Theoretical and Applied Finance 23 (06), 1-22, 2020. https://www.carloalberto.org/wp-content/uploads/2018/11/no.476.pdf
· "Mean-variance dynamic optimality for DC pension schemes”, with F. Menoncin, European Actuarial Journal 10, 125-148, 2020. https://www.carloalberto.org/wp-content/uploads/2019/04/no.587.pdf
· "The Italian Pension Gap: a Stochastic Optimal Control Approach”, with A. Milazzo, Risks 2018, 6, 48.
· “Solvency requirement in a unisex mortality model”, with A. Chen and M. Guillen, ASTIN Bulletin 48, 1219-1243, 2018. http://www.carloalberto.org/assets/working-papers/no.504.pdf
· “Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework”, with F. Menoncin, Insurance: Mathematics and Economics 76, 172-184, 2017.
· “A unisex stochastic mortality model to comply with EU Gender Directive”, with A. Chen, Insurance: Mathematics and Economics 73, 124-136, 2017. http://www.carloalberto.org/assets/working-papers/no.440.pdf
· "Spouses' dependence across generations and pricing impact on reversionary annuities”, with E. Luciano and J. Spreeuw, Risks 2016, 4, 16 (Special issue: Life Insurance and Pensions).
· “Single and cross-generation natural hedging of longevity and financial risk”, with E. Luciano and L. Regis, Journal of Risk and Insurance 84, 961-986, 2017. http://www.carloalberto.org/assets/working-papers/no.257.pdf
· “Income drawdown option with minimum guarantee”, with M. Di Giacinto, S. Federico and F. Gozzi, European Journal of Operational Research 234, 610-624, 2014. http://www.carloalberto.org/assets/working-papers/no.272.pdf
· “On efficiency of mean-variance based portfolio selection in DC pension schemes”, Quantitative Finance 14, 237-258, 2014. http://www.carloalberto.org/assets/working-papers/no.154.pdf
· “Mortality surface by means of continuous time cohort models”, with E. Luciano and P. Jevtić, Insurance: Mathematics and Economics, 53, 122-133, 2013. http://www.carloalberto.org/assets/working-papers/no.264.pdf
· “On the sub-optimality cost of immediate annuitization in DC pension funds” with M. Di Giacinto, Central European Journal of Operations Research, 20, 497-527, 2012.
· “Delta and Gamma hedging of mortality and interest rate risk”, with E. Luciano and L. Regis, Insurance: Mathematics and Economics 50, 402-412, 2012.
· “Choosing the optimal annuitization time post retirement” with R. Gerrard and B. Højgaard, Quantitative Finance 12, 1143-1159, 2012. http://www.carloalberto.org/assets/working-papers/no.76.pdf
· “Modelling stochastic mortality for dependent lives”, with E. Luciano and J. Spreeuw, Insurance: Mathematics and Economics 43, 234-244, 2008.
· “Mortality risk via affine stochastic intensities: calibration and empirical relevance”, with E. Luciano, Belgian Actuarial Bulletin 8, 5-16, 2008.
· “The Management of De-cumulation Risks in a Defined Contribution Pension Scheme”, with R. Gerrard and S. Haberman, North American Actuarial Journal 10 (1), 84-110, 2006.
· “Optimal investment choices post retirement in a defined contribution pension scheme”, with R. Gerrard and S. Haberman, Insurance: Mathematics and Economics 35, 321-342, 2004.
· “Optimal Investment Strategies and Risk Measures in Defined Contribution Pension Schemes” with S. Haberman, Insurance: Mathematics and Economics 31, 35-69, 2002.
· “Optimal Investment Strategy for Defined Contribution Pension Schemes” with S.Haberman, Insurance: Mathematics and Economics 28, 233-262, 2001.