Elena Vigna

Laurea in Matematica, Università di Torino, 1996.
Postgraduate Certificate in Actuarial Management, City University, London, 1999.
Ph.D. in Applied Mathematics, Università di Trieste, 2000.

FIELDS:  Pension Schemes, Asset Allocation, Investment Risk, Stochastic Mortality.

ADDRESS:
Dipartimento di Statistica e Matematica Applicata                                            Tel.: ++39 011 670 5754
Università di Torino                                                                                         Fax: ++39 011 670 5783
corso Unione Sovietica,218 bis                                                                       E-mail: elena.vigna at econ.unito.it
10134 Torino
Italy


Honorary Visiting Fellow of the Faculty of Actuarial Science, Cass Business School, City University (London).
Affiliate of Collegio Carlo Alberto, Torino.
Fellow of CeRP, Collegio Carlo Alberto, Torino.
Winner of the American Society of Actuaries 2002 Edward A. Lew Award.

Didattica (teaching)
  • Corso di Matematica Generale E
  • Corso di MAEF E
    • Research

      Publications in international refereed journals

  • ''Delta and Gamma hedging of mortality and interest rate risk'' with E. Luciano and L. Regis, to appear in Insurance: Mathematics and Economics, 2012.
  • ''On the sub-optimality cost of immediate annuitization in DC pension funds'' with M. Di Giacinto, to appear in Central European Journal of Operations Research, 2012.
  • ''Choosing the optimal annuitization time post retirement'' with R. Gerrard and B. Hĝjgaard, to appear in Quantitative Finance, 2012.
  • ''Mortality risk via affine stochastic intensities: calibration and empirical relevance'' with E. Luciano, Belgian Actuarial Bulletin, 8, 5-16, 2008.
  • ''Modelling stochastic mortality for dependent lives'' with E. Luciano and J. Spreeuw, Insurance: Mathematics and Economics, 43, 234-244, 2008.
  • ''The Management of De-cumulation Risks in a Defined Contribution Environment'', 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.

    •   Other publications

  • ''A switch criterion for defined contribution pension schemes'', with B. Arts, proceedings of the 13th International AFIR Colloquium (2003), 261-290.
  • ''Convenienza finanziaria dei fondi pensione: confronto tra lavoratore aderente e lavoratore non aderente a un fondo aziendale'', INPDAP – Rivista bimestrale dell'Istituto Nazionale di Previdenza per i dipendenti dell’Amministrazione Pubblica – N: 4/98 luglio/agosto 1998, 121-132.

    •   Working papers

  • ''Mean-variance portfolio selection and efficient frontier for defined contribution pension schemes'' with B. Hĝjgaard, 2007. Technical report R-2007-13. Department of Mathematical Sciences. Aalborg University.
  • ''Non mean reverting affine processes for stochastic mortality'' with E. Luciano, working paper ICER 4/05, 2005.
  • ''A note on stochastic survival probabilities and their calibration'' with E. Luciano, working paper ICER 1/05, 2005.
  • "The income drawdown option: quadratic loss",  with R. Gerrard, S. Haberman and B. Hĝjgaard, Actuarial Research Paper No. 155, Cass Business School, City University, London, 2004.
  • ''Studio della convenienza finanziaria dell'adesione a un fondo pensione aziendale'', Studi di Matematica Finanziaria e Attuariale, N. 21 giugno 1998, Istituto Metodi Quantitativi, Università Bocconi, Milan.

    •   Work in progresss

  • ''Mean-variance inefficiency of CARA and CRRA utility functions for portfolio selection in defined contribution pension schemes'', 2009. Carlo Alberto Notebook n. 108.
  • ''Constrained portfolio choices in the decumulation phase of a pension plan'' with M. Di Giacinto, S. Federico and F. Gozzi, 2007.

    • Home page