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Marilena Sibillo

Personal Details

First Name:Marilena
Middle Name:
Last Name:Sibillo
Suffix:
RePEc Short-ID:psi523
[This author has chosen not to make the email address public]
http://www.unisa.it/docenti/sibillo/index

Affiliation

Dipartimento di Scienze Economiche e Statistiche (DISES)
Università degli Studi di Salerno

Fisciano, Italy
http://www.dises.unisa.it/

089-963132
089-962049
Via Ponte Don Melillo - 84084 Fisciano (SA)
RePEc:edi:dssalit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Marco Corazza & Florence Legros & Cira Perna & Marilena Sibillo, 2017. "Mathematical and Statistical Methods for Actuarial Sciences and Finance," Post-Print hal-01776135, HAL.
  2. Cocozza, Rosa & Di Lorenzo, Emilia & Sibillo, Marilena, 2007. "The current value of the mathematical provision: a financial risk prospect," MPRA Paper 27986, University Library of Munich, Germany.
  3. Cocozza, R & Di Lorenzo, E & Sibillo, M, 2004. "Methodological problems in solvency assessment of an insurance company," MPRA Paper 27980, University Library of Munich, Germany.

Articles

  1. Scognamiglio, Elisabetta & Di Lorenzo, Emilia & Sibillo, Marilena & Trotta, Annarita, 2019. "Social uncertainty evaluation in Social Impact Bonds: Review and framework," Research in International Business and Finance, Elsevier, vol. 47(C), pages 40-56.
  2. Aurea Grane & Marilena Sibillo, 2019. "Foreword special issue Deaf 2019–Maf 2018," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 1-2, June.
  3. Giovanna Apicella & Michel Dacorogna & Emilia Di Lorenzo & Marilena Sibillo, 2019. "Improving the Forecast of Longevity by Combining Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 23(2), pages 298-319, April.
  4. Aurea Grane & Marilena Sibillo, 2019. "Correction to: Foreword special issue Deaf 2019–Maf 2018," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 3-3, June.
  5. Valeria D’Amato & Emilia Di Lorenzo & Marilena Sibillo, 2018. "Dread Disease and Cause-Specific Mortality: Exploring New Forms of Insured Loans," Risks, MDPI, Open Access Journal, vol. 6(1), pages 1-21, February.
  6. D’Amato, Valeria & Di Lorenzo, Emilia & Haberman, Steven & Sagoo, Pretty & Sibillo, Marilena, 2018. "De-risking strategy: Longevity spread buy-in," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 124-136.
  7. Valeria D’Amato & Emilia Di Lorenzo & Steven Haberman & Maria Russolillo & Marilena Sibillo, 2011. "The Poisson Log-Bilinear Lee-Carter Model," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 315-333.
  8. Mariarosaria Coppola & Emilia Di Lorenzo & Albina Orlando & Marilena Sibillo, 2011. "Solvency analysis and demographic risk measures," Journal of Risk Finance, Emerald Group Publishing, vol. 12(4), pages 252-269, August.
  9. Marilena Sibillo & Emilia Di Lorenzo & Gerarda Tessitore, 2006. "A stochastic proportional hazard model for the force of mortality," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(7), pages 529-536.
  10. Mariarosaria Coppola & Emilia Di Lorenzo & Marilena Sibillo, 2003. "Stochastic analysis in life office management: applications to large annuity portfolios," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 19(1), pages 31-42, January.
  11. Emilia Di Lorenzo & Marilena Sibillo & Gerarda Tessitore, 1999. "A stochastic model for financial evaluation: applications to actuarial contracts," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 15(4), pages 269-275, October.
    RePEc:spr:annopr:v::y::i::d:10.1007_s10479-019-03241-y is not listed on IDEAS

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Marco Corazza & Florence Legros & Cira Perna & Marilena Sibillo, 2017. "Mathematical and Statistical Methods for Actuarial Sciences and Finance," Post-Print hal-01776135, HAL.

    Cited by:

    1. Marco Corazza & Stefania Funari & Riccardo Gusso, 2012. "An evolutionary approach to preference disaggregation in a MURAME-based credit scoring problem," Working Papers 5, Department of Management, Università Ca' Foscari Venezia.
    2. Marco Marozzi, 2014. "Construction, dimension reduction and uncertainty analysis of an index of trust in public institutions," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(2), pages 939-953, March.
    3. Lorenzo Mercuri & Edit Rroji, 2018. "Risk parity for Mixed Tempered Stable distributed sources of risk," Annals of Operations Research, Springer, vol. 260(1), pages 375-393, January.
    4. Boris Buchmann & Benjamin Kaehler & Ross Maller & Alexander Szimayer, 2015. "Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing," Papers 1502.03901, arXiv.org, revised Oct 2016.
    5. Catalina Bolance & Montserrat Guillen & David Pitt, 2014. "Non-parametric Models for Univariate Claim Severity Distributions - an approach using R," Working Papers 2014-01, Universitat de Barcelona, UB Riskcenter.
    6. Antonella Basso & Stefania Funari, 2017. "The role of fund size in the performance of mutual funds assessed with DEA models," The European Journal of Finance, Taylor & Francis Journals, vol. 23(6), pages 457-473, May.
    7. R. Gargano & E. Otranto, 2013. "Financial Clustering in Presence of Dominant Markets," Working Paper CRENoS 201318, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    8. Roman G. Smirnov & Kunpeng Wang, 2019. "The Hamiltonian approach to the problem of derivation of production functions in economic growth theory," Papers 1906.11224, arXiv.org.
    9. Imlak Shaikh & Puja Padhi, 2014. "The forecasting performance of implied volatility index: evidence from India VIX," Economic Change and Restructuring, Springer, vol. 47(4), pages 251-274, November.
    10. Di Bernardino, Elena & Rullière, Didier, 2013. "Distortions of multivariate distribution functions and associated level curves: Applications in multivariate risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 190-205.
    11. Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2018. "Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 339-378, March.
    12. Young Shin Kim & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2010. "Time series analysis for financial market meltdowns," Working Paper Series in Economics 2, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    13. Arianna Agosto & Enrico Moretto, 2010. "Applying default probabilities in an exponential barrier structural model," Economics and Quantitative Methods qf1005, Department of Economics, University of Insubria.
    14. Jing Shi & Marcel Ausloos & Tingting Zhu, 2017. "Benford's law first significant digit and distribution distances for testing the reliability of financial reports in developing countries," Papers 1712.00131, arXiv.org.
    15. Di Bernardino Elena & Rullière Didier, 2013. "On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators," Dependence Modeling, De Gruyter, vol. 1, pages 1-36, October.
    16. Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2013. "Tempered stable Ornstein-Uhlenbeck processes: a practical view," Temi di discussione (Economic working papers) 912, Bank of Italy, Economic Research and International Relations Area.
    17. De Luca, Giovanni & Zuccolotto, Paola, 2013. "A Conditional Value-at-Risk Based Portfolio Selection With Dynamic Tail Dependence Clustering," MPRA Paper 50129, University Library of Munich, Germany.
    18. Gurnain Pasricha & Matteo Falagiarda & Martin Bijsterbosch & Joshua Aizenman, 2015. "Domestic and Multilateral Effects of Capital Controls in Emerging Markets," Staff Working Papers 15-37, Bank of Canada.
    19. Adam Misiorek & Rafal Weron, 2010. "Heavy-tailed distributions in VaR calculations," HSC Research Reports HSC/10/05, Hugo Steinhaus Center, Wroclaw University of Technology.
    20. Elena Di Bernardino & Didier Rullière, 2016. "On tail dependence coefficients of transformed multivariate Archimedean copulas," Post-Print hal-00992707, HAL.
    21. Catania, Leopoldo & Grassi, Stefano & Ravazzolo, Francesco, 2019. "Forecasting cryptocurrencies under model and parameter instability," International Journal of Forecasting, Elsevier, vol. 35(2), pages 485-501.
    22. Martina Nardon & Paolo Pianca, 2016. "Covered call writing in a cumulative prospect theory framework," Working Papers 2016:35, Department of Economics, University of Venice "Ca' Foscari".
    23. Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010. "Models for Heavy-tailed Asset Returns," MPRA Paper 25494, University Library of Munich, Germany.
    24. Marco Marozzi, 2015. "Measuring Trust in European Public Institutions," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 123(3), pages 879-895, September.
    25. Genaro Sucarrat & Alvaro Escribano, 2012. "Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(5), pages 716-735, October.
    26. Wojciech Charemza & Carlos Diaz Vela & Svetlana Makarova, 2013. "Too many skew normal distributions? The practitioner’s perspective," Discussion Papers in Economics 13/07, Division of Economics, School of Business, University of Leicester.
    27. David Pitt & Montserrat Guillen & Catalina Bolancé, 2011. "Estimation of Parametric and Nonparametric Models for Univariate Claim Severity Distributions - an approach using R," Working Papers XREAP2011-06, Xarxa de Referència en Economia Aplicada (XREAP), revised Jun 2011.
    28. Elena Di Bernardino & Didier Rullière, 2012. "Distortions of multivariate risk measures: a level-sets based approach," Working Papers hal-00756387, HAL.
    29. Elisa Pagani, 2015. "Certainty Equivalent: Many Meanings of a Mean," Working Papers 24/2015, University of Verona, Department of Economics.
    30. Paola Ferretti & Antonella Campana, 2011. "XL reinsurance with reinstatements and initial premium feasibility in exchangeability hypothesis," Working Papers 2011_14, Department of Economics, University of Venice "Ca' Foscari".
    31. Michele Leonardo Bianchi, 2014. "Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective," Temi di discussione (Economic working papers) 957, Bank of Italy, Economic Research and International Relations Area.
    32. Michele Bianchi & Frank Fabozzi, 2014. "Discussion of ‘on simulation and properties of the stable law’ by Devroye and James," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(3), pages 353-357, August.
    33. Elena Di Bernardino & Didier Rullière, 2015. "Estimation of multivariate critical layers: Applications to rainfall data," Post-Print hal-00940089, HAL.
    34. Maria Iannario, 2012. "Modelling shelter choices in a class of mixture models for ordinal responses," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 21(1), pages 1-22, March.
    35. Flavia Barsotti & Simona Sanfelici, 2016. "Market Microstructure Effects on Firm Default Risk Evaluation," Econometrics, MDPI, Open Access Journal, vol. 4(3), pages 1-31, July.
    36. Giovanni De Luca & Paola Zuccolotto, 2017. "Dynamic tail dependence clustering of financial time series," Statistical Papers, Springer, vol. 58(3), pages 641-657, September.
    37. Claudio Fontana & Juan Miguel A. Montes, 2012. "A unified approach to pricing and risk management of equity and credit risk," Papers 1212.5395, arXiv.org, revised May 2013.
    38. Luca GRILLI & Massimo Alfonso RUSSO & Roberto GISMONDI, 2012. "Methodological Proposals For A Qualitative Evaluation Of Italian Durum Wheat Varieties," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(2(20)/ Su), pages 103-122.
    39. Martina Nardon & Paolo Pianca, 2014. "European option pricing with constant relative sensitivity probability weighting function," Working Papers 2014:25, Department of Economics, University of Venice "Ca' Foscari".
    40. Martina Nardon & Paolo Pianca, 2019. "European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions," Computational Management Science, Springer, vol. 16(1), pages 249-274, February.
    41. Stefania Capecchi & Maria Iannario & Rosaria Simone, 2018. "Well-Being and Relational Goods: A Model-Based Approach to Detect Significant Relationships," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 135(2), pages 729-750, January.
    42. Alonso González, Pablo J. & Albarrán Lozano, Irene & Grané Chávez, Aurea, 2017. "Estimating life expectancy free of dependency : group characterization through the proximity to the deepest dependency path," DES - Working Papers. Statistics and Econometrics. WS 24672, Universidad Carlos III de Madrid. Departamento de Estadística.
    43. Giuseppina Albano & Michele La Rocca & Cira Perna, 2019. "Small sample properties of ML estimator in Vasicek and CIR models: a simulation experiment," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 5-19, June.
    44. Roman G. Smirnov & Kunpeng Wang, 2017. "In search of a new economic model determined by logistic growth," Papers 1711.02625, arXiv.org, revised Oct 2018.

Articles

  1. Valeria D’Amato & Emilia Di Lorenzo & Marilena Sibillo, 2018. "Dread Disease and Cause-Specific Mortality: Exploring New Forms of Insured Loans," Risks, MDPI, Open Access Journal, vol. 6(1), pages 1-21, February.

    Cited by:

    1. Li-Fei Huang, 2018. "Using App Inventor to provide the amortization schedule and the sinking fund schedule," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 1-9, December.

  2. D’Amato, Valeria & Di Lorenzo, Emilia & Haberman, Steven & Sagoo, Pretty & Sibillo, Marilena, 2018. "De-risking strategy: Longevity spread buy-in," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 124-136.

    Cited by:

    1. Fadoua Zeddouk & Pierre Devolder, 2019. "Pricing of Longevity Derivatives and Cost of Capital," Risks, MDPI, Open Access Journal, vol. 7(2), pages 1-29, April.

  3. Valeria D’Amato & Emilia Di Lorenzo & Steven Haberman & Maria Russolillo & Marilena Sibillo, 2011. "The Poisson Log-Bilinear Lee-Carter Model," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 315-333.

    Cited by:

    1. Blake, David & Courbage, Christophe & MacMinn, Richard & Sherris, Michael, 2011. "Longevity risks and capital markets: The 2010-2011 update," MPRA Paper 34279, University Library of Munich, Germany.

  4. Mariarosaria Coppola & Emilia Di Lorenzo & Albina Orlando & Marilena Sibillo, 2011. "Solvency analysis and demographic risk measures," Journal of Risk Finance, Emerald Group Publishing, vol. 12(4), pages 252-269, August.

    Cited by:

    1. D’Amato, Valeria & Di Lorenzo, Emilia & Haberman, Steven & Sagoo, Pretty & Sibillo, Marilena, 2018. "De-risking strategy: Longevity spread buy-in," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 124-136.
    2. Dorothea Diers & Martin Eling & Christian Kraus & Andreas Reuß, 2012. "Market-consistent embedded value in non-life insurance: how to measure it and why," Journal of Risk Finance, Emerald Group Publishing, vol. 13(4), pages 320-346, August.

  5. Marilena Sibillo & Emilia Di Lorenzo & Gerarda Tessitore, 2006. "A stochastic proportional hazard model for the force of mortality," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(7), pages 529-536.

    Cited by:

    1. Giuseppina Albano & Michele La Rocca & Cira Perna, 2019. "Small sample properties of ML estimator in Vasicek and CIR models: a simulation experiment," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 5-19, June.

  6. Mariarosaria Coppola & Emilia Di Lorenzo & Marilena Sibillo, 2003. "Stochastic analysis in life office management: applications to large annuity portfolios," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 19(1), pages 31-42, January.

    Cited by:

    1. Cocozza, Rosa & Di Lorenzo, Emilia, 2007. "A Dynamic Solvency Approach for Life Insurance," MPRA Paper 28015, University Library of Munich, Germany.

  7. Emilia Di Lorenzo & Marilena Sibillo & Gerarda Tessitore, 1999. "A stochastic model for financial evaluation: applications to actuarial contracts," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 15(4), pages 269-275, October.

    Cited by:

    1. Cocozza, R & Di Lorenzo, E & Sibillo, M, 2004. "Methodological problems in solvency assessment of an insurance company," MPRA Paper 27980, University Library of Munich, Germany.
    2. Cocozza, Rosa & Di Lorenzo, Emilia, 2007. "A Dynamic Solvency Approach for Life Insurance," MPRA Paper 28015, University Library of Munich, Germany.

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