Edit Profile (opens in new tab) Vigna, Elena Compute Distance To: Compute Author ID: vigna.elena Published as: Vigna, Elena Documents Indexed: 19 Publications since 2001, including 1 Book Co-Authors: 15 Co-Authors with 16 Joint Publications 319 Co-Co-Authors all top 5 Co-Authors 3 single-authored 4 Haberman, Steven 4 Luciano, Elisa 3 Gerrard, Russell 2 Chen, An 2 Di Giacinto, Marina 2 Menoncin, Francesco 1 Cerreia-Vioglio, Simone 1 Federico, Salvatore 1 Gozzi, Fausto 1 Guillen, Montserrat 1 Højgaard, Bjarne 1 Jevtić, Petar 1 Marinacci, Massimo 1 Regis, Luca 1 Spreeuw, Jaap all top 5 Serials 8 Insurance Mathematics & Economics 2 Quantitative Finance 1 European Journal of Operational Research 1 International Journal of Theoretical and Applied Finance 1 CEJOR. Central European Journal of Operations Research 1 ASTIN Bulletin 1 North American Actuarial Journal 1 SIAM Journal on Financial Mathematics 1 Belgian Actuarial Bulletin 1 European Actuarial Journal all top 5 Fields 19 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 5 Operations research, mathematical programming (90-XX) 4 Systems theory; control (93-XX) 2 Probability theory and stochastic processes (60-XX) 2 Statistics (62-XX) 1 General and overarching topics; collections (00-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Real functions (26-XX) 1 Calculus of variations and optimal control; optimization (49-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 17 Publications have been cited 322 times in 200 Documents Cited by ▼ Year ▼ Optimal investment choices post-retirement in a defined contribution pension scheme. Zbl 1093.91027Gerrard, Russell; Haberman, Steven; Vigna, Elena 49 2004 On efficiency of mean-variance based portfolio selection in defined contribution pension schemes. Zbl 1294.91168Vigna, Elena 47 2014 Optimal investment strategies and risk measures in defined contribution pension schemes. Zbl 1039.91025Haberman, Steven; Vigna, Elena 46 2002 Optimal investment strategy for defined contribution pension schemes. Zbl 0976.91039Vigna, Elena; Haberman, Steven 39 2001 Mortality risk via affine stochastic intensities: calibration and empirical relevance. Zbl 1398.91345Luciano, Elisa; Vigna, Elena 24 2008 Modelling stochastic mortality for dependent lives. Zbl 1189.91076Luciano, Elisa; Spreeuw, Jaap; Vigna, Elena 24 2008 Delta-gamma hedging of mortality and interest rate risk. Zbl 1237.91134Luciano, Elisa; Regis, Luca; Vigna, Elena 20 2012 Choosing the optimal annuitization time post-retirement. Zbl 1279.91094Gerrard, Russell; Højgaard, Bjarne; Vigna, Elena 16 2012 Income drawdown option with minimum guarantee. Zbl 1304.91187Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto; Vigna, Elena 13 2014 Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework. Zbl 1396.91307Menoncin, Francesco; Vigna, Elena 13 2017 Mortality surface by means of continuous time cohort models. Zbl 1284.91240Jevtić, Petar; Luciano, Elisa; Vigna, Elena 9 2013 On the sub-optimality cost of immediate annuitization in DC pension funds. Zbl 1339.91062Di Giacinto, Marina; Vigna, Elena 7 2012 A unisex stochastic mortality model to comply with EU Gender Directive. Zbl 1416.91162Chen, An; Vigna, Elena 6 2017 On time consistency for mean-variance portfolio selection. Zbl 1457.91352Vigna, Elena 5 2020 Mean-variance dynamic optimality for DC pension schemes. Zbl 1452.91275Menoncin, Francesco; Vigna, Elena 2 2020 Solvency requirement in a unisex mortality model. Zbl 1416.91161Chen, An; Guillen, Montserrat; Vigna, Elena 1 2018 The management of decumulation risks in a defined contribution pension plan. Zbl 1479.91325Gerrard, Russell; Haberman, Steven; Vigna, Elena 1 2006 On time consistency for mean-variance portfolio selection. Zbl 1457.91352Vigna, Elena 5 2020 Mean-variance dynamic optimality for DC pension schemes. Zbl 1452.91275Menoncin, Francesco; Vigna, Elena 2 2020 Solvency requirement in a unisex mortality model. Zbl 1416.91161Chen, An; Guillen, Montserrat; Vigna, Elena 1 2018 Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework. Zbl 1396.91307Menoncin, Francesco; Vigna, Elena 13 2017 A unisex stochastic mortality model to comply with EU Gender Directive. Zbl 1416.91162Chen, An; Vigna, Elena 6 2017 On efficiency of mean-variance based portfolio selection in defined contribution pension schemes. Zbl 1294.91168Vigna, Elena 47 2014 Income drawdown option with minimum guarantee. Zbl 1304.91187Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto; Vigna, Elena 13 2014 Mortality surface by means of continuous time cohort models. Zbl 1284.91240Jevtić, Petar; Luciano, Elisa; Vigna, Elena 9 2013 Delta-gamma hedging of mortality and interest rate risk. Zbl 1237.91134Luciano, Elisa; Regis, Luca; Vigna, Elena 20 2012 Choosing the optimal annuitization time post-retirement. Zbl 1279.91094Gerrard, Russell; Højgaard, Bjarne; Vigna, Elena 16 2012 On the sub-optimality cost of immediate annuitization in DC pension funds. Zbl 1339.91062Di Giacinto, Marina; Vigna, Elena 7 2012 Mortality risk via affine stochastic intensities: calibration and empirical relevance. Zbl 1398.91345Luciano, Elisa; Vigna, Elena 24 2008 Modelling stochastic mortality for dependent lives. Zbl 1189.91076Luciano, Elisa; Spreeuw, Jaap; Vigna, Elena 24 2008 The management of decumulation risks in a defined contribution pension plan. Zbl 1479.91325Gerrard, Russell; Haberman, Steven; Vigna, Elena 1 2006 Optimal investment choices post-retirement in a defined contribution pension scheme. Zbl 1093.91027Gerrard, Russell; Haberman, Steven; Vigna, Elena 49 2004 Optimal investment strategies and risk measures in defined contribution pension schemes. Zbl 1039.91025Haberman, Steven; Vigna, Elena 46 2002 Optimal investment strategy for defined contribution pension schemes. Zbl 0976.91039Vigna, Elena; Haberman, Steven 39 2001 all cited Publications top 5 cited Publications all top 5 Cited by 273 Authors 19 Forsyth, Peter A. 14 Vigna, Elena 10 Yao, Haixiang 9 Liang, Zongxia 8 Dang, Duy Minh 7 Regis, Luca 5 Chen, An 5 Devolder, Pierre 5 Guan, Guohui 5 Li, Johnny Siu-Hang 5 Li, Zhongfei 5 Sherris, Michael 5 Vetzal, Kenneth R. 5 Zhang, Ling 4 Chen, Ping 4 Delong, Łukasz 4 Federico, Salvatore 4 Gao, Jianwei 4 Gerrard, Russell 4 Guillen, Montserrat 4 Haberman, Steven 4 Jevtić, Petar 4 Josa-Fombellida, Ricardo 4 Luciano, Elisa 4 Menoncin, Francesco 4 Van Staden, Pieter M. 4 Wu, Huiling 4 Zhao, Hui 3 Chen, Zhiping 3 Deelstra, Griselda 3 Di Giacinto, Marina 3 Gozzi, Fausto 3 He, Lin 3 Li, Xun 3 Liu, Yanxin 3 Lu, Yang 3 Lu, Yi 3 Oosterlee, Cornelis Willebrordus 3 Rincón-Zapatero, Juan Pablo 3 Sun, Jingyun 3 Wang, Jian 3 Wang, Liyuan 3 Wang, Suxin 3 Ziveyi, Jonathan 2 Ballotta, Laura 2 Barigou, Karim 2 Bian, Lihua 2 Casalini, Riccardo 2 Dadashi, Hassan 2 De Rosa, Clemente 2 Eberlein, Ernst W. 2 Fusai, Gianluca 2 Gambaro, Anna Maria 2 Ghilarducci, Alessandro 2 Hainaut, Donatien 2 Hieber, Peter 2 Huang, Hong-Chih 2 Ignatieva, Katja 2 Konicz, Agnieszka Karolina 2 Lai, Yongzeng 2 Lee, Hyunju 2 Li, Danping 2 Li, Yuying 2 Lopez, Olivier 2 Ma, Qinghua 2 Mamon, Rogemar S. 2 Milevsky, Moshe Arye 2 Nielsen, Jens Perch 2 Pérez-Marín, Ana María 2 Petersen, Kitt Skovsø 2 Pisinger, David 2 Rach, Manuel 2 Rong, Ximin 2 Schmidt, Thorsten 2 Tsanakas, Andreas 2 Wang, Chou-Wen 2 Wei, Jiaqin 2 Westmacott, Graham 2 Xu, Yajing 2 Zeineddine, Raghid 2 Zeng, Li 2 Zeng, Yan 2 Zhou, Kenneth Q. 1 Alonso-García, Jennifer 1 Baltas, Ioannis D. 1 Balter, Anne G. 1 Bartunova, Anna 1 Baskakov, Valery 1 Battocchio, Paolo 1 Bernhardt, Thomas 1 Bertocchi, Marida 1 Biagini, Francesca 1 Bignozzi, Valeria 1 Blackburn, Craig 1 Bo, Lijun 1 Boado-Penas, María del Carmen 1 Bosch Princep, Manuela 1 Bosserhoff, Frank 1 Bravo, Jorge Miguel 1 Brockett, Patrick L. ...and 173 more Authors all top 5 Cited in 40 Serials 82 Insurance Mathematics & Economics 12 ASTIN Bulletin 10 European Journal of Operational Research 9 Scandinavian Actuarial Journal 9 North American Actuarial Journal 8 Quantitative Finance 8 Journal of Industrial and Management Optimization 7 Journal of Computational and Applied Mathematics 7 International Journal of Theoretical and Applied Finance 5 Finance and Stochastics 4 Journal of Economic Dynamics & Control 3 Communications in Statistics. Theory and Methods 3 Mathematical Problems in Engineering 3 European Actuarial Journal 2 Decisions in Economics and Finance 2 SIAM Journal on Financial Mathematics 1 Journal of Mathematical Analysis and Applications 1 Scandinavian Journal of Statistics 1 Journal of Optimization Theory and Applications 1 Numerische Mathematik 1 SIAM Journal on Control and Optimization 1 Social Choice and Welfare 1 Computers & Operations Research 1 Numerical Methods for Partial Differential Equations 1 Annals of Operations Research 1 Applications of Mathematics 1 Computational and Applied Mathematics 1 Applied Mathematical Finance 1 Mathematical Methods of Operations Research 1 Discrete Dynamics in Nature and Society 1 CEJOR. Central European Journal of Operations Research 1 Journal of Systems Science and Complexity 1 Stochastic Models 1 OR Spectrum 1 Computational Management Science 1 Stochastics 1 Mathematics and Financial Economics 1 Dependence Modeling 1 Cogent Mathematics 1 Probability, Uncertainty and Quantitative Risk all top 5 Cited in 10 Fields 193 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 59 Systems theory; control (93-XX) 41 Probability theory and stochastic processes (60-XX) 37 Statistics (62-XX) 25 Operations research, mathematical programming (90-XX) 15 Calculus of variations and optimal control; optimization (49-XX) 9 Numerical analysis (65-XX) 5 Partial differential equations (35-XX) 3 Integral equations (45-XX) 1 Computer science (68-XX) Citations by Year