LUCA REGIS
CV - Updated April 2017
Contact Information
Department of Economics and Statistics University of Siena
Piazza San Francesco, 7 53100 Siena, Italy
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Office: 216 - int. 2785 E-mail: luca.regis@unisi.it
Academic Position
Assistant Professor Tenure-Track (Rtd-B), Department of Economics and Statistics, University of Siena, 2016 to present.
Education Ph.D. in Economics, University of Torino, Italy, 2011.
Visiting Scholar, Université Paris 6 and Ecole Polytechnique, 2008/2009.
M.A in Finance, summa cum laude, University of Torino, 2006.
Research Interests
Actuarial Mathematics, Mathematical Finance, Insurance Risk Management, Corporate Finance.
Publications in International Journals
[1] Basis risk in static versus dynamic longevity risk hedging, 2017, Scandinavian Actu- arial Journal, 17, 4, 343-365, with C. De Rosa and E. Luciano.
[2] Single- and cross-generation natural hedging of longevity and financial risk, 2016, Journal of Risk and Insurance, forthcoming, with E. Luciano and E. Vigna.
[3] Assessing the solvency of insurance portfolios via a continuous-time cohort model, 2015, Insurance: Mathematics and Economics, 61, 36-47, with P. Jevtic.
[4] Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk, 2014, Insurance: Mathematics and Economics, 55, 68-77, with E. Lu- ciano.
[5] Delta-Gamma Hedging of Mortality and Interest Rate Risk, 2012, Insurance: Math- ematics and Economics, 50, 402-412, with E. Luciano and E. Vigna.
Other Refereed Publications
[6] Risk-return appraisal of longevity swaps, 2014, in Pension and Longevity Risk Trans- fer for Institutional Investors, Institutional Investor Journals, Fall 2014, 1, 99-108, with E. Luciano.
[7] Demography, Sustainability and Growth. Notes on the Sustainability of Health and Pension Systems in Europe, 2014, in Portrait of a Health Economist, Essays in Honor of Bengt Jonsson, Culyer A. and Kobelt, G. (Eds.), IHE- The Swedish Institute for Health Economics, Lund, Sweden, pp.125-132. with F. Pammolli.
[8] Demographic Risk Transfer: is it worth for annuity providers?, 2013, in Interplay between Finance and Insurance - Actuarial Financial Mathematics Conference, M. Van- maele, G. Deelstra, A. De Schepper, J. Dhaene, W. Schoutens, S. Vanduffel (Eds.), 57-62, with E. Luciano.
[9] Good and Bad Banks, 2012, in Mathematical and Statistical Methods for Actuarial Sciences and Finance, Perna C., Sibillo M. (Eds.), Springer, 359-366.
[10] Dynamic Hedging of Life Insurance Reserves, 2012, in Interplay between Finance and Insurance - Actuarial Financial Mathematics Conference, M. Vanmaele, G. Deel- stra, A. De Schepper, J. Dhaene, W. Schoutens, S. Vanduffel (Eds.), 101-106.
[11] A Bayesian copula model for Claims Reserving, 2011, Interplay between Finance and Insurance - Actuarial Financial Mathematics Conference, M. Vanmaele, G. Deelstra, A.
De Schepper, J. Dhaene, W. Schoutens, S. Vanduffel (Eds.), 113-118.
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Submitted Journal Publications
[12] Longevity assets and pre-retirement consumption/portfolio decisions, 2015, EIC Working Paper 2/2015, with F. Menoncin, R & R.
[13] Taxes, Ownership and Capital Structure, 2015, with G. Nicodano, R&R, Journal of Financial Economics, ECGI Finance Working Paper Series.
[14] A continuous-time stochastic model for the mortality surface of multiple popula- tions, R& R, with P. Jevtic.
Working Papers [15] Longevity Risk and Public Pensions. Evidence from Italian Data, with B. Frassi and F. Pammolli, EIC Working Paper 1/2017.
[16] A Bayesian copula model for Stochastic Claims Reserving, 2011, Carlo Alberto Notebooks n.227.
[17] Risk Premium Impact in the Perturbative Black-Scholes Model, pre-print available at arxiv.org, 2008, with S. Scotti.
[18] Bank Efficiency and Banking Sector Development: the case of Italy, ICER Working Paper 5/07, 2007, with E. Luciano.
Current Articles in Progress
A three-factor cohort based model for the mortality surface, with E. Vigna, presented at the 2nd EAJ Conference, Wien.
Geographical Diversification in Annuity Portfolios, with C. De Rosa and E. Luciano.
Current Books in Progress
Hedging and risk-return frontier in insurance: an ALM perspective, with C. De Rosa and E. Luciano, accepted for publication by Springer-Bocconi.
Grants Co-Investigator, “Hedging and risk-return frontier in insurance: an ALM perspective.", (PI: prof. E. Luciano), 2014-2016, funded by the Global Risk Institute, Canada.
Co-Investigator, “Taxation, organizational and financial choices and start-up firm growth:
theoretical aspects and empirical evidence." (PI: prof. A. Sembenelli), 2012-2014, funded by the University of Torino.
Co-Investigator, “Multivariate processes in finance and use of copula functions", (PI:
prof. E. Luciano), 2008, funded by the University of Torino.
Past Positions and Academic Work
Experience
Assistant Professor, IMT School for Advanced Studies Lucca, AXES Research Unit, Sept. 2013 to Oct. 2016.
Postdoctoral Fellow, Dept. of Economics and Statistics, University of Torino, Apr. 2012 to Aug. 2013.
Research Assistant, Collegio Carlo Alberto, Sept. 2007 to Aug. 2008 and Sept. 2009 to Dec. 2011.
Research Assistant, ICER, Nov. 2006 to Apr. 2007.
Conference and Seminar
Presentations
2017 : University of Siena (seminar), University of Modena and Reggio Emilia (semi- nar).
2016 : 14th International Pension Workshop (Paris, FR), 16th Iberian Italian Actuarial Conference (Paestum, IT), University of Rome La Sapienza (seminar).
2015 : PARTY 2015 Conference (Liverpool, UK), XVI Workshop on Quantitative Fi- nance (Parma, IT), 19th IME Conference 2015 (Liverpool, UK); Longevity 11 Confer- ence (Lyon, FR), 3rd Money, Banking and Finance Workshop (Pavia, IT).
2014 : Prometeia Spa (seminar, Bologna, IT), International Netspar Pension Workshop (Venice, IT), IRMC Conference 2014 (Warsaw, PL), 2nd EAJ Conference (Wien, AU), XIII Money, Banking and Finance Society Conference (Rome, IT).
2013 : CISA Young Researchers’ Workshop (Firenze, IT), XXXVII AMASES Confer- ence (Stresa, IT), IMT Lucca (seminar, Lucca, IT), XXX AFFI Conference (Lyon, FR),
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Afmath Conference 2013 (Brussels, BE), XIV Workshop in Quantitative Finance (Ri- mini, IT), PARTY 2013 (Ascona, CH).
2012 : Collegio Carlo Alberto (seminar, Moncalieri, IT), Netspar International Pen- sion Workshop (Paris, FR), XXXVI AMASES Conference (Vieste, IT), VIII Longevity Conference (Toronto, CA), V MAF Conference (Venezia, IT), Afmath Conference 2012 (Brussels, BE).
2011 : XXXV AMASES Conference (Pisa, IT), XV IME Conference (Trieste, IT), IV International Risk Forum (Paris, FR), Afmath Conference 2011 (Brussels, BE), XII Workshop in Quantitative Finance (Padova, IT).
2010 : IRMC 2010 (Firenze, IT), IV MAF Conference (Ravello, IT).
Teaching Experience
Credit Risk Modeling, M.A. , University of Siena, 2017.
Financial Mathematics, Undergraduate, University of Siena, 2017.
Corporate Finance, Ph.D., IMT Lucca, 2016.
Additional Statistical Training, M.A., University of Torino, 2015 and 2016.
Financial Economics, University of Torino, Undergraduate, 2012 and 2013.
Financial and Actuarial Mathematics, Undergraduate, University of Torino, 2011-2013, 2015-present.
The sustainability of Public Health Expenditure, seminar, MEFOP and Tuscia Univer- sity, Master in Law and Economics of pension funds, 2015.
Mathematics II, Undergraduate, Polytechnic University of Torino, 2010.
Statistics and Economics, Undergraduate, T.A., 2010.
Mathematical Finance, M.A., University of Torino, 2009.
Journal Service Editorial Board Member, Risks.
Guest Editor of the Special Issue “Actuarial and Financial Risks in Life Insurance, Pen- sions and Household Finance" of Risks.
Ad hoc referee for: Applied Mathematics and Computation, Economic Research, In- surance: Mathematics and Economics, Risks, International Journal of Theoretical and Applied Finance, Scandinavian Actuarial Journal, Acta Mathematica Scientia, Quanti- tative Finance, Communications in Statistics: Theory and Methods.
Other academic services and qualifications
Italian national qualification to the role of Associate Professor, 13/D4 (Mathematical Methods for Economics, Finance and Actuarial Science), obtained in April 2017.
French national qualification to the role of Maitre de Conference, in sections 5 (Eco- nomics) and 26 (Applied Mathematics), obtained in March 2013.
Deputy Director, Master in Insurance and Risk Management, Collegio Carlo Alberto, April 2011 to June 2013.
Member of the Ph.D. Committee of 1 Ph.D. Thesis Defence (Ms. Benedetta Frassi), EMDS Ph.D. IMT Lucca, 2017; External Referee for 1 Ph.D. Thesis, SAFD Ph.D.
School, University of Bergamo.
Co-supervisor of 2 Master Thesis, Quantitative Finance and Insurance Master program, University of Torino.
Member of the Selection Committee for 1 Assistant Professor Position (2013), 1 Research Collaborator Position (2016), 1 Post-Doc Position (2017); member of the Pre-Evaluation Committee for the Ph.D. in Economics 2015,2016, IMT Lucca.
Quality Assurance Responsible, Department of Economics and Statistics, University of Siena, 2017- present.
Postdoc Representative in the Department Council, University of Torino, Mar. 2012- Aug. 2013.
Assistant Professors and Post-Doc Representative, Academic Council, IMT Lucca, Mar.
2015 - Nov. 2015.
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Other professional activities
Consultant for some italian companies on risk management and asset management (in- cluding Fondiaria-Sai, UPB, Azimut sgr).
Personal Information
Born October 20th, 1982. Citizenship: Italian. Married, 2 children.
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