LUCA REGIS
CV - Updated December 2018
Contact Information
Department of Economics and Statistics University of Siena
Piazza San Francesco, 7 53100 Siena, Italy
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Office: 216
Phone number :+390577232785 E-mail: luca.regis@unisi.it
Academic Position
Tenure-Track Assistant Professor (Rtd-B), Department of Economics and Statistics, University of Siena, Nov. 2016 - present.
Italian national qualification to the role of Associate Professor, 13/D4 (Mathematical Methods for Economics, Finance and Actuarial Science), Apr. 2017 - Apr. 2023.
Education Ph.D. in Economics, University of Torino, Italy, 2011. Thesis title: Three Essays in Finance and Actuarial Science, supervisor: Prof. Elisa Luciano.
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, Corporate Finance.
Publications in International Journals
[1] Communities of experts: uncovering commonalities in the behavior of investment managers, 2019, Proceedings of the National Academy of Sciences of the United States of America, forthcoming, with A.Flori, F. Pammolli, S. Buldyrev and E.H. Stanley.
[2] A trade-off theory of ownership and capital structure, 2018, Journal of Financial Economics, forthcoming, with G. Nicodano.
[3] Longevity-linked assets and pre-retirement consumption/portfolio decisions, 2017, Insurance: Mathematics and Economics, 76, 75-86 , with F. Menoncin.
[4] 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.
[5] Single- and cross-generation natural hedging of longevity and financial risk, 2017, Journal of Risk and Insurance, 84 (3), 961-986, with E. Luciano and E. Vigna.
[6] Assessing the solvency of insurance portfolios via a continuous-time cohort model, 2015, Insurance: Mathematics and Economics, 61, 36-47, with P. Jevtic.
[7] 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.
[8] 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
[9] International longevity risk pooling, 2018, forthcoming in Mathematical and Statis- tical Methods for Actuarial Sciences and Finance MAF 2018, Perna, C., Sibillo, M., Corazza, M., Durbán, M. and Grané, A. (Eds.), Springer, with C. De Rosa and E.
Luciano.
[10] Risk-return appraisal of longevity swaps, 2014, in Pension and Longevity Risk Transfer for Institutional Investors, Institutional Investor Journals, Fall 2014, 1, 99- 108, with E. Luciano.
[11] 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
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of Bengt Jonsson, Culyer A. and Kobelt, G. (Eds.), IHE- The Swedish Institute for Health Economics, Lund, Sweden, pp.125-132. with F. Pammolli.
[12] Demographic Risk Transfer: is it worth for annuity providers?, 2013, in Inter- play between Finance and Insurance - Actuarial Financial Mathematics Conference, M.
Vanmaele, G. Deelstra, A. De Schepper, J. Dhaene, W. Schoutens, S. Vanduffel (Eds.), 57-62, with E. Luciano.
[13] Good and Bad Banks, 2012, in Mathematical and Statistical Methods for Actuarial Sciences and Finance, Perna C., Sibillo M. (Eds.), Springer, 359-366.
[14] 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.
[15] 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.
Current Articles in Progress
A continuous-time stochastic model for the mortality surface of multiple populations, R& R, with P. Jevtic, EIC Working Paper 3/2016.
Geographical Diversification in Annuity Portfolios, with C. De Rosa and E. Luciano.
Pre- and post-retirement consumption/savings choices with longevity-linked securities, with F. Menoncin.
An analysis of the Dutch-style pension plans proposed by UK policy-makers, with I.
Owadally and R. Ram.
Lifetime Consumption and Investment Decisions with Deferred Annuities, with I. Owadally, C. Jang, A. Clare.
Current Books in Progress
Hedging and risk-return frontier in insurance: an ALM perspective, with C. De Rosa and E. Luciano.
Working Papers Longevity Risk and Public Pensions. Evidence from Italian Data, with B. Frassi and F.
Pammolli, EIC Working Paper 1/2017.
A Bayesian copula model for Stochastic Claims Reserving, 2011, Carlo Alberto Notebooks n.227.
Risk Premium Impact in the Perturbative Black-Scholes Model, pre-print available at arxiv.org, 2008, with S. Scotti.
Bank Efficiency and Banking Sector Development: the case of Italy, ICER Working Paper 5/07, 2007, with E. Luciano.
Grants and Projects
Scientific Collaborator, LTI@Unito Project, Jan. 2018 - present.
Recipient of the FFABR 2017 grant by the Ministry of Education and University.
(Unique) Co-Investigator, “Hedging and risk-return frontier in insurance: an ALM per- spective.", (PI: prof. E. Luciano), 2014 - 2016, funded by the Global Risk Institute, Canada, 194k euros.
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, 5k euros.
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 - Oct. 2016.
Postdoctoral Fellow, Dept. of Economics and Statistics, University of Torino, Apr. 2012
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- Aug. 2013.
Research Assistant, Collegio Carlo Alberto, Sept. 2007 - Aug. 2008 and Sept. 2009 - Dec. 2011.
Research Assistant, ICER, Nov. 2006 - Apr. 2007.
Conference and Seminar
Presentations
2019 : University of Brescia (seminar).
2018 : Cass Business School (seminar), MAF 2018 Conference (Madrid, ES), XLII AMASES Conference (Napoli, IT), Unisacturial School 2018 (Paestum, IT), Workshop on Longevity Risk, Differential Mortality and Lifetime inequality (Brescia, IT), LTI Conference on Evolving Landscape on Bank and Non-Bank Finance" (Bank of Italy, Rome), University of Trieste (seminar).
2017 : University of Siena (seminar), University of Modena and Reggio Emilia (sem- inar), XLI AMASES Conference (Cagliari, IT), Workshop on Household Finance and Retirement Savings (Torino, IT).
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), 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
Probability, Ph.D. in Economics, University of Siena, 2018.
Credit Risk Modeling, M.A., University of Siena, 2017 - present.
Financial Mathematics, Undergraduate, University of Siena, 2017 - present.
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 - 2017.
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, 2016 - present.
Guest Editor of the Special Issue “Actuarial and Financial Risks in Life Insurance, Pen-
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sions and Household Finance" of Risks, 2017.
Guest Editor (together with S. Federico and G. Ferrari) of the Special Issue “Applica- tions of Stochastic Optimal Control to Economics and Finance" of Risks.
Ad hoc referee for: Applied Mathematics and Computation, Economic Research, Insur- ance: Mathematics and Economics (4), Risks, International Journal of Theoretical and Applied Finance (3), Scandinavian Actuarial Journal (2), Acta Mathematica Scientia, Quantitative Finance (3), Communications in Statistics: Theory and Methods (2), Eco- nomic Notes (2), Bulletin of the Malaysian Mathematical Society, Journal of Risk and Insurance (2), Journal of Computational and Applied Mathematics.
Reviewer for Mathematical Reviews/MathSciNet.
Other academic services and qualifications
French national qualification to the role of Maitre de Conference, in sections 5 (Eco- nomics) and 26 (Applied Mathematics), obtained in March 2013.
Member of the organizing committee of the UNISA Actuarial School 2018.
Member of the organizing committee of the Workshop on "Longevity Risk Management, Differential Mortality and Lifetime Inequality", 28-29 September 2018, University of Brescia.
Deputy Director, Master in Insurance and Risk Management, Collegio Carlo Alberto, Apr. 2011 - Jun. 2013.
Co-Supervisor, Ph.D. Thesis of Anastasia Novokreschenova, DSE Ph.D. program, Vil- fredo Pareto Doctoral School, University of Torino.
Chair of Ph.D. Committee, Emi Ferra and Laura Gianfagna, EMDS Ph.D. IMT Lucca, 2017.
Member of the Ph.D. Committee, Benedetta Frassi, EMDS Ph.D. IMT Lucca, 2017.
External Referee for 2 Ph.D. Thesis, SAFD Ph.D. School, University of Bergamo.
Supervisor of several B.A. and M.A. Thesis, University of Siena; Co-Supervisor of sev- eral M.A. Thesis, University of Siena and 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.
Other professional activities
Consultant for some italian companies on risk management and asset management top- ics.
Personal Information
Born October 20th, 1982. Citizenship: Italian. Married, 2 children.
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