Elena Vigna

Finance · 2001–2017

A researcher in the Science corpus: 8 papers; trusts 40 researchers and is trusted by 14 researchers here, as inferred from the citation graph.

Subfields

• Finance — 59 citations into it; #9,148 of 10,518 by trust here, #3,859 by citations
• Demography — 48 citations into it; #465 of 4,236 by trust here, #526 by citations
• Economics and Econometrics — 46 citations into it; #14,880 of 23,481 by trust here, #10,872 by citations
• Accounting — 24 citations into it; #2,255 of 8,970 by trust here, #4,140 by citations
• General Health Professions — 19 citations into it; #3,462 of 4,781 by trust here, #2,897 by citations
• Management Science and Operations Research — 17 citations into it; #2,796 of 11,946 by trust here, #6,563 by citations
• General Decision Sciences — 13 citations into it

Whom Elena Vigna trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Andrew J. G. Cairns
2. Xun Yu Zhou
3. Jian-wei Gao
4. Enrico Biffis
5. David P. Blake
6. M. Dahl
7. Duan Li
8. M. Milevsky
9. Kevin Dowd
10. Daniel Kahneman

Who trusts Elena Vigna overall

1. Guohui Guan
2. F. Menoncin
3. Zongxia Liang
4. Huiling Wu
5. J. L. Pedersen
6. Elisa Luciano
7. Jian-wei Gao
8. Haixiang Yao
9. Ricardo Josa-Fombellida

Papers from Elena Vigna's perspective

Ordered by how strongly the researchers Elena Vigna trusts endorse each paper. Same corpus, a different order for every researcher.

1. A Two-Factor Model for Stochastic Mortality With Parameter Uncertainty: Theory and Calibration
2. Mortality derivatives and the option to annuitise
3. Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
4. Valuation and hedging of life insurance liabilities with systematic mortality risk
5. Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans
6. A Poisson log-bilinear regression approach to the construction of projected lifetables
7. Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework
8. Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk* (ASTIN Bulletin: The Journal of the International Actuarial Association)
9. Affine Processes for Dynamic Mortality and Actuarial Valuations
10. Methods of Mathematical Finance

Their papers

• On efficiency of mean–variance based portfolio selection in defined contribution pension schemes (2014) — 119 citations
• Modelling stochastic mortality for dependent lives (2008) — 116 citations
• Non Mean Reverting Affine Processes for Stochastic Mortality (2005) — 165 citations
• Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework (2017) — 50 citations
• Mortality surface by means of continuous time cohort models (2013) — 48 citations
• Delta–Gamma hedging of mortality and interest rate risk (2012) — 64 citations
• Optimal investment choices post-retirement in a defined contribution pension scheme (2004) — 160 citations
• Optimal investment strategy for defined contribution pension schemes (2001) — 139 citations