UAM & ICMATDepartamento de MatemáticasUniversidad Autónoma de MadridCampus de Cantoblanco Módulo 17 - Despacho 31328049 Madrid - Spain +34 91 497 5253 alessandro.ferriero@gmail.com
Research Interests
Mathematical modeling in insurance and finance.Calculus of variations and PDEs.
Publications and Preprints
How to build a risk-factors model for a Non-Life insurance portfolio, preprint (2019).The optimal stopping time for a class of Itô diffusion bridges, preprint (2019).One-year change methodologies for fixed-sum insurance contracts, Risks 75 (2018), n. 6(3), 75.Solvency capital estimation, reserving cycle and ultimate risk, Insurance: Mathematics and Economics 68 (2016).On the Tonelli’s partial regularity, Differential Integral Equations 26 (2013), n. 1/2.A direct proof of the Tonelli’s partial regularity result, Discrete Contin. Dyn. Syst. 32 (2012), n. 6.A new method for modeling dependence via extended common-shock type models, SCOR papers (2011), n. 16.Relaxation and regularity in the calculus of variations, J. Differential Equations 249 (2010), n. 10.A note on the convex hull of sets of finite perimeter in the plane, Discrete Contin. Dyn. Syst. Ser. B 11 (2009), n. 1.Regularity and selecting principles for implicit ordinary differential equations, Discrete Contin. Dyn. Syst. Ser. B 11 (2009), n. 1.Quasi-static evolution for fatigue debonding, ESAIM Control Optim. Calc. Var. 4 (2008), n. 2.Homogenization and long time asymptotic of a fluid-structure interaction problem, Discrete Contin. Dyn. Syst. Ser. B 9 (2008), n. 2.The weak repulsion property, J. Math. Pures Appl. 88 (2007), n. 4. Action functionals that attain regular minima in presence of energy gaps, Discrete Contin. Dyn. Syst. 19 (2007), n. 4.On the existence of solutions to a minum time control problems and applications to Fermat's principle and the Brachistochrone, Systems Control Lett. 55 (2006).The approximation of higher-order integrals of the calculus of variations and the Lavrentiev phenomenon, SIAM J. Control Optim. 44 (2005), n. 1.On the validity of the Euler-Lagrange equation, J. Math. Anal. Appl. 304 (2005), n. 1.The Lavrentiev phenomenon in the calculus of variations, PhD Thesis (2004).Reparameterizations and approximation of integrals of the calculus of variations, J. Differential Equations 193 (2003), n. 2.Existence of Lipschitz solutions to the classical problem of the calculus of variations in the autonomous case, Ann. Inst. H. Poincaré Anal. Non Linéaire 20 (2003), n. 6.Funzioni armoniche: convergenza tangenziale e non-tangenziale, Master Thesis (2001).
Teaching
18/19: practice for “Cálculo Numérico”, Matemáticas.18/19: theory and practice for “Economía y Finanzas Matemáticas”, Matemáticas.17/18: practice for “Cálculo Numérico”, Matemáticas.17/18: theory and practice for “Probabilidad I”, Matemáticas-Informática.17/18: theory and practice for “Probabilidad y Estadística”, Informática.16/17: practice for “Cálculo Numérico”, Matemáticas.16/17: theory and practice for “Probabilidad I”, Matemáticas-Informática.16/17: theory and practice for “Probabilidad y Estadística”, Informática.15/16: theory and practice for “Continuous-time financial modeling”, Máster en Matemáticas.15/16: practice for “Cálculo Numérico”, Matemáticas.14/15: practice for “Cálculo Numérico”, Matemáticas.14/15: theory and practice for “Análisis II”, Física.14/15: theory and practice for “Análisis de Datos”, Biología.13/14: theory and practice for “Estadística”, Ciencia de la Alimentación.13/14: theory and practice for “Continuous-time financial modeling”, Máster en Matemáticas.12/13: theory and practice for “Continuous-time financial modeling”, Máster en Matemáticas.11/12: theory and practice for “Probabilidad II”, Matemáticas-Informática. 10/11: theory and practice for “Probabilidad II”, Matemáticas-Informática. 09/10: practice for “Bases de Estadística”, Biología.