LUCA REGIS

LUCA REGIS
CV - Updated November 2016
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Office:
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E-mail: [email protected]
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Contact
Information
Department of Economics and Statistics
University of Siena
Piazza San Francesco, 7
53100 Siena, Italy
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.
Academic
Position
Assisant Professor, Department of Economics and Statistics, University of Siena, 2016
to present.
Research
Interests
Actuarial Mathematics, Mathematical Finance, Insurance Risk Management, Corporate
Finance.
Publications in [1] Basis risk in static versus dynamic longevity risk hedging, 2016, Scandinavian ActuInternational arial Journal, forthcoming, with C. De Rosa and E. Luciano.
Journals
[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. Luciano.
[5] Delta-Gamma Hedging of Mortality and Interest Rate Risk, 2012, Insurance: Mathematics and Economics, 50, 402-412, with E. Luciano and E. Vigna.
Other Refereed [6] Risk-return appraisal of longevity swaps, 2014, in Pension and Longevity Risk TransPublications
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. Vanmaele, 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. Deelstra, 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.
[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 populations, R& R, with P. Jevtic.
Working Papers [15] A Bayesian copula model for Stochastic Claims Reserving, 2011, Carlo Alberto
Notebooks n.227.
[16] Risk Premium Impact in the Perturbative Black-Scholes Model, pre-print available
at arxiv.org, 2008, with S. Scotti.
[17] 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.
Current Books Hedging and risk-return frontier in insurance: an ALM perspective, with C. De Rosa
in Progress
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, 196k
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.
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 2016 : 14th International Pension Workshop (Paris, FR); 16th Iberian Italian Actuarial
Seminar
Conference (Paestum, IT).
Presentations
2015 : PARTY 2015 Conference (Liverpool, UK), XVI Workshop on Quantitative Finance (Parma, IT), 19th IME Conference 2015 (Liverpool, UK); Longevity 11 Conference (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 Conference (Stresa, IT), IMT Lucca (seminar, Lucca, IT), XXX AFFI Conference (Lyon, FR),
Afmath Conference 2013 (Brussels, BE), XIV Workshop in Quantitative Finance (Rimini, IT), PARTY 2013 (Ascona, CH).
2012 : Collegio Carlo Alberto (seminar, Moncalieri, IT), Netspar International Pension Workshop (Paris, FR), XXXVI AMASES Conference (Vieste, IT), VIII Longevity
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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
Corporate Finance, Ph.D., IMT Lucca, 2016.
Additional Statistical Training, M.A., University of Torino, 2015-present.
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 University, 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, Pensions and Household Finance" of Risks.
Ad hoc referee for: Applied Mathematics and Computation, Economic Research, Insurance: Mathematics and Economics, Risks, International Journal of Theoretical and
Applied Finance.
Other academic French national qualification to the role of Maitre de Conference, in sections 5 (Economics) and 26 (Applied Mathematics), obtained in March 2013.
services and
qualifications Deputy Director, Master in Insurance and Risk Management, Collegio Carlo Alberto,
April 2011 to June 2013.
Co-supervisor of 2 Master Thesis, Quantitative Finance and Insurance Master program,
University of Torino.
Postdoc Representative in the Department Council, University of Torino, Mar. 2012Aug. 2013.
Member of the Selection Committee for 1 Assistant Professor Position, 1 Research
Collaborator Position; member of the Pre-Evaluation Committee for the Ph.D. in Economics 2015,2016, IMT Lucca.
Assistant Professors and Post-Doc Representative, Academic Council, IMT Lucca, Mar.
2015 - Nov. 2015.
Memberships
European Finance Association (EFA), American Finance Association (AFA), American
Risk and Insurance Association (ARIA), Associazione per la Matematica Applicata alle
Scienze Economiche e Sociali (AMASES).
Other
professional
activities
Consultant for some italian companies on risk management and asset management (including Fondiaria-Sai, UPB, Azimut sgr).
Personal
Information
Born October 20th, 1982. Citizenship: Italian.
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