Edit Profile (opens in new tab) Ballotta, Laura Compute Distance To: Compute Author ID: ballotta.laura Published as: Ballotta, Laura Documents Indexed: 14 Publications since 2001 Co-Authors: 11 Co-Authors with 10 Joint Publications 290 Co-Co-Authors all top 5 Co-Authors 4 single-authored 3 Haberman, Steven 2 Eberlein, Ernst W. 2 Rayée, Grégory 2 Schmidt, Thorsten 2 Zeineddine, Raghid 1 Deelstra, Griselda 1 Esposito, Giorgia 1 Fusai, Gianluca 1 Kyprianou, Andreas E. 1 Kyriakou, Ioannis 1 Marazzina, Daniele Serials 5 Insurance Mathematics & Economics 3 European Journal of Operational Research 3 Quantitative Finance 1 Applied Mathematical Finance 1 North American Actuarial Journal Fields 13 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 6 Probability theory and stochastic processes (60-XX) 1 Numerical analysis (65-XX) 1 Operations research, mathematical programming (90-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 13 Publications have been cited 143 times in 114 Documents Cited by ▼ Year ▼ The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case. Zbl 1101.60045Ballotta, Laura; Haberman, Steven 41 2006 A Lévy process-based framework for the fair valuation of participating life insurance contracts. Zbl 1125.91060Ballotta, Laura 35 2005 Valuation of guaranteed annuity conversion options. Zbl 1071.91019Ballotta, Laura; Haberman, Steven 30 2003 Multivariate FX models with jumps: triangles, quantos and implied correlation. Zbl 1403.91329Ballotta, Laura; Deelstra, Griselda; Rayée, Grégory 6 2017 Efficient pricing of ratchet equity indexed annuities in a Variance-Gamma economy. Zbl 1219.91136Ballotta, Laura 6 2010 Convertible bond valuation in a jump diffusion setting with stochastic interest rates. Zbl 1398.91562Ballotta, Laura; Kyriakou, Ioannis 5 2015 Integrated structural approach to credit value adjustment. Zbl 1403.91383Ballotta, Laura; Fusai, Gianluca; Marazzina, Daniele 5 2019 The IASB insurance project for life insurance contracts: Impact on reserving methods and solvency requirements. Zbl 1151.91561Ballotta, Laura; Esposito, Giorgia; Haberman, Steven 5 2006 Pricing and capital requirements for with profit contracts: modelling considerations. Zbl 1180.91160Ballotta, Laura 5 2009 Variable annuities in a Lévy-based hybrid model with surrender risk. Zbl 1466.91248Ballotta, Laura; Eberlein, Ernst; Schmidt, Thorsten; Zeineddine, Raghid 2 2020 A note on the \(\alpha\)-quantile option. Zbl 1013.91048Ballotta, Laura; Kyprianou, Andreas E. 1 2001 \(\alpha\)-quantile option in a jump-diffusion economy. Zbl 1029.91022Ballotta, Laura 1 2002 Smiles & smirks: volatility and leverage by jumps. Zbl 07478874Ballotta, Laura; Rayée, Grégory 1 2022 Smiles & smirks: volatility and leverage by jumps. Zbl 07478874Ballotta, Laura; Rayée, Grégory 1 2022 Variable annuities in a Lévy-based hybrid model with surrender risk. Zbl 1466.91248Ballotta, Laura; Eberlein, Ernst; Schmidt, Thorsten; Zeineddine, Raghid 2 2020 Integrated structural approach to credit value adjustment. Zbl 1403.91383Ballotta, Laura; Fusai, Gianluca; Marazzina, Daniele 5 2019 Multivariate FX models with jumps: triangles, quantos and implied correlation. Zbl 1403.91329Ballotta, Laura; Deelstra, Griselda; Rayée, Grégory 6 2017 Convertible bond valuation in a jump diffusion setting with stochastic interest rates. Zbl 1398.91562Ballotta, Laura; Kyriakou, Ioannis 5 2015 Efficient pricing of ratchet equity indexed annuities in a Variance-Gamma economy. Zbl 1219.91136Ballotta, Laura 6 2010 Pricing and capital requirements for with profit contracts: modelling considerations. Zbl 1180.91160Ballotta, Laura 5 2009 The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case. Zbl 1101.60045Ballotta, Laura; Haberman, Steven 41 2006 The IASB insurance project for life insurance contracts: Impact on reserving methods and solvency requirements. Zbl 1151.91561Ballotta, Laura; Esposito, Giorgia; Haberman, Steven 5 2006 A Lévy process-based framework for the fair valuation of participating life insurance contracts. Zbl 1125.91060Ballotta, Laura 35 2005 Valuation of guaranteed annuity conversion options. Zbl 1071.91019Ballotta, Laura; Haberman, Steven 30 2003 \(\alpha\)-quantile option in a jump-diffusion economy. Zbl 1029.91022Ballotta, Laura 1 2002 A note on the \(\alpha\)-quantile option. Zbl 1013.91048Ballotta, Laura; Kyprianou, Andreas E. 1 2001 all cited Publications top 5 cited Publications all top 5 Cited by 196 Authors 8 Ballotta, Laura 7 Mamon, Rogemar S. 6 Haberman, Steven 6 Liu, Xiaoming 4 Deelstra, Griselda 4 Gao, Huan 3 Bernard, Carole L. 3 Chen, An 3 Delong, Łukasz 3 Eberlein, Ernst W. 3 Hieber, Peter 3 Kwok, Yue-Kuen 3 le Courtois, Olivier 3 Millossovich, Pietro 3 Pelsser, Antoon A. J. 3 Quittard-Pinon, François M. 3 Rayée, Grégory 2 Bacinello, Anna Rita 2 Bertocchi, Marida 2 Cox, Samuel H. jun. 2 de Melo, Eduardo Fraga L. 2 Gatzert, Nadine 2 Gerrard, Russell 2 Giacometti, Rosella 2 Jalen, Luka 2 Jing, Bingyi 2 Kleinow, Torsten 2 Kong, Xinbing 2 Lin, X. Sheldon 2 Lin, Yijia 2 Liu, Zhi 2 Marazzina, Daniele 2 Mück, Matthias 2 Planchet, Frédéric 2 Schmidt, Thorsten 2 Sherris, Michael 2 van Haastrecht, Alexander 2 Yang, Hailiang 2 Yang, Sharon S. 2 Young, Virginia R. 2 Zeineddine, Raghid 1 Ahmadi, Seyed Saeed 1 Azzone, Michele 1 Bai, Manying 1 Bauer, Daniel J. 1 Baviera, Roberto 1 Bhuruth, Muddun 1 Biagini, Francesca 1 Bianchi, Michele Leonardo 1 Biffis, Enrico 1 Blake, David 1 Boen, Lynn 1 Bonnin, François 1 Branger, Nicole 1 Bravo, Jorge Miguel 1 Brockett, Patrick L. 1 Chang, Lung-Fu 1 Chang, Shih-Chieh 1 Chevallier, Julien 1 Chu, Chi Chiu 1 Chuang, Shuo-Li 1 Chung, Tsz-Kin 1 Coonjobeharry, Radha Krishn 1 Corsaro, Stefania 1 Dai, Tian-Shyr 1 Date, Prasanna 1 De Angelis, Pasquale L. 1 Devolder, Pierre 1 Dong, Bing 1 Dong, Yinghui 1 Eckert, Johanna 1 Eling, Martin 1 Emms, Paul 1 Esposito, Giorgia 1 Fabozzi, Frank J. 1 Fang, Jun 1 Fard, Farzad Alavi 1 Feng, Runhuan 1 Fung, Man Chung 1 Fusai, Gianluca 1 Gaillardetz, Patrice 1 Germano, Guido 1 Gerstner, Thomas 1 Gnameho, Kossi 1 Gnoatto, Alessandro 1 Goschnick, Ralf 1 Goutte, Stéphane 1 Grasselli, Martino 1 Griebel, Michael 1 Guillaume, Florence 1 Haep, Marcus 1 Hainaut, Donatien 1 Hao, Junzhang 1 Heß, Markus 1 Hitaj, Asmerilda 1 Holtz, Markus 1 Huang, Hong-Chih 1 Huang, Huaxiong 1 Hung, Mao-wei 1 Hunt, Andrew ...and 96 more Authors all top 5 Cited in 26 Serials 46 Insurance Mathematics & Economics 15 North American Actuarial Journal 8 Quantitative Finance 7 Scandinavian Actuarial Journal 4 European Journal of Operational Research 4 European Actuarial Journal 3 Journal of Computational and Applied Mathematics 3 Decisions in Economics and Finance 2 The Annals of Statistics 2 Journal of Economic Dynamics & Control 2 Discrete Dynamics in Nature and Society 2 International Journal of Theoretical and Applied Finance 2 ASTIN Bulletin 2 Review of Derivatives Research 1 Journal of Econometrics 1 Journal of Optimization Theory and Applications 1 Parallel Computing 1 Mathematical and Computer Modelling 1 Annals of Operations Research 1 Communications in Statistics. Theory and Methods 1 Applied Mathematical Finance 1 Mathematical Finance 1 Methodology and Computing in Applied Probability 1 Stochastics 1 SIAM Journal on Financial Mathematics 1 Modern Stochastics. Theory and Applications all top 5 Cited in 8 Fields 107 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 34 Probability theory and stochastic processes (60-XX) 21 Statistics (62-XX) 3 Numerical analysis (65-XX) 3 Operations research, mathematical programming (90-XX) 2 Systems theory; control (93-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Computer science (68-XX) Citations by Year