Marcello Galeotti - Academia.edu (original) (raw)

Papers by Marcello Galeotti

Social Science Research Network, 2011

CAT bonds are of significant importance in the field of alternative risk transfer. Since the mark... more CAT bonds are of significant importance in the field of alternative risk transfer. Since the market of CAT bonds is not complete, the application of an appropriate pricing model is of high relevance. We apply different premium calculation models in order to compare them with regard to their predictive power. Without taking the financial crisis into account, a version of the Wang transformation model and the linear model are the most accurate ones. In contrast, under consideration of the financial crisis, all analyzed models are approximately equivalent. Furthermore, we find that CAT bond specific information does not improve out-of-sample results.

The main objective of the paper is to analyze the effects on economic agents' behavior deriving f... more The main objective of the paper is to analyze the effects on economic agents' behavior deriving from the introduction of financial activities aimed to environmental protection. The environmental protection mechanism we study should permit exchange of financial activities among citizens, firms, and Public Administration. Such a particular "financial market" is regulated by the Public Administration, but mainly fuelled by the interest of two classes of involved agents: firms and dwelling citizens. We assume that the adoption process of financial decisions is described by a two-population evolutionary game and we study the basic features of the resulting dynamics.

Lecture Notes in Mathematics, 2003

This work describes the behavior of trajectories of a planar cubic system such that a) all the tr... more This work describes the behavior of trajectories of a planar cubic system such that a) all the trajectories are bounded, b) there exist just two singular points S, O, c) the system is reversible about the line SO. The exposition is divided into: i) there is no heterocline. In particular O is a Poincare center (Sec. 2.13), a degenerate center (Sec. 2.14), a right pseudo-center (Sec. 2.15), a left pseudo-center (Sec. 2.16); ii) there exists just one pair of heteroclines. In particular O is a Poincare saddle (Sec. 2.17), a degenerate saddle (Sec. 2.18), a tangential limit point with indexO = 1 (Sec. 2.19); iii) there exists a pair of bands of heteroclines (Sec. 2.23). Maintaining the total boundedness, i.e., the boundedness of all the trajectories, the following topics α) O is the unique singular point (Sec. 1.5), β) invariancy of an ellipse (Sec. 2.20), γ) existence of limit cycles (Sec. 3.1) are also considered.

Decisions in economics and finance, Jun 1, 2021

The special issue of DEF dedicated to "Innovating Actuarial Research on Financial Risk and Enterp... more The special issue of DEF dedicated to "Innovating Actuarial Research on Financial Risk and Enterprise Risk Management" assembles 10 articles elaborating talks delivered at the AFIR/ERM (Actuarial Approach for Financial Risks and Enterprise Risk Management) Colloquium held in Florence in May 2019. In fact, these contributions, moving from both classic insurance-financial topics (longevity risks, lapse rates, Black and Scholes model, variable annuities) and far more recent actuarial fields (cyber risks, flood risk resilience, reverse mortgages), show some common features which stand out as innovative approaches and techniques. Such novelties can be classified under three typologies.

Risk Analysis, Aug 17, 2018

This article analyzes the mechanisms and effects of innovative financial instruments that a centr... more This article analyzes the mechanisms and effects of innovative financial instruments that a central public administration (CPA) may adopt to minimize the flood risk in particularly exposed regions. The pattern we suggest assumes that in risky areas the CPA can issue two financial instruments, called project options and CAT-bonds, producing a dynamic interaction among three types of agents: the CPA itself, the local public administrations, and private investors. We explore the possible scenarios of such interaction and the conditions under which the CPA's goal of maximal risk reduction is attained. This pattern is proposed for flood risk mitigation in the city of Florence, where the model dynamics are tested assuming parameters obtained from engineering studies.

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Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti Lincei. Matematica e Applicazioni, 2002

RePEc: Research Papers in Economics, 2013

We prove the convergence of a deterministic algorithm to compute the distribution function of the... more We prove the convergence of a deterministic algorithm to compute the distribution function of the sum of d ≥ 2 dependent random variables, with given joint distribution, via the approximation of the probability measure of a d-dimensional symplex by overlapping hypercubes.

Journal of Applied Probability, Sep 1, 2021

Motivated by the problem of variance allocation for the sum of dependent random variables, Colini... more Motivated by the problem of variance allocation for the sum of dependent random variables, Colini-Baldeschi, Scarsini and Vaccari (2018) recently introduced Shapley values for variance and standard deviation games. These Shapley values constitute a criterion satisfying nice properties useful for allocating the variance and the standard deviation of the sum of dependent random variables. However, since Shapley values are in general computationally demanding, Colini-Baldeschi, Scarsini and Vaccari also formulated a conjecture about the relation of the Shapley values of two games, which they proved for the case of two dependent random variables. In this work we prove that their conjecture holds true in the case of an arbitrary number of independent random variables but, at the same time, we provide counterexamples to the conjecture for the case of three dependent random variables.

Metroeconomica, Jun 1, 1989

We study three different versions of the Kaldor's 1940 Business-Cycle Model (9, and we show that ... more We study three different versions of the Kaldor's 1940 Business-Cycle Model (9, and we show that they can all be reduced, through suitable changes of variables, to a planar dynamical system of Lienard-type. By applying a classical result due to A. Filippov (8) and a quite recent theorem of the Chinese mathematician Zhang Zhi Fen (9, it is easily proved that our systems present a unique attracting limit-cycle encircling the only existing equilibrium. Our analysis does not require any extra hypothesis regarding the symmetry of the investment and saving functions, except the ccclassical)) ones and those needed to reducing the system to Lienard form. It extends, so far, a few previous results obtained by H.W. Lorenz (16) on the very same model. (*) Both authors are members of the National Group for Functional Analysis and Applications (G.N.A.F.A.) of the Italian National Research Council. (*) This paper relates to the activities of the M.P.I. Group ccNon-Linear Dynamics in Economics and Social Sciences)).

Journal of Applied Probability, Jun 6, 2023

With a focus on the risk contribution in a portofolio of dependent risks, Colini-Baldeschi et al.... more With a focus on the risk contribution in a portofolio of dependent risks, Colini-Baldeschi et al. (2018) introduced Shapley values for variance and standard deviation games. In this note we extend their results, introducing tail variance as well as tail standard deviation games. We derive closed-form expressions for the Shapley values for the tail variance game and we analyze the vector majorization problem for the two games. In particular, we construct two examples showing that the risk contribution rankings for the two games may be inverted depending on the conditioning threshold and the tail fatness. Motivated by these examples, we formulate a conjecture for general portfolios. Lastly, we discuss risk management implications, including the characterization of tail covariance premiums and reinsurance pricing for peer-to-peer insurance policies.

Decisions in economics and finance, Mar 1, 1990

We consider a modified version of Goodwin's celebrated non-linear model of fluctuating growth... more We consider a modified version of Goodwin's celebrated non-linear model of fluctuating growth, where the incomeY is a quadratic function of the capital stockk, in order to take into account the possibility of increasing or decreasing returns. The dynamics of the model is then defined by a non-autonomous system of two differential equations. Assuming the labour supply,N, and the productivity,a, to be constant in the time, the model becomes autonomous and can be embedded in a stable family of planar dynamical systems whose flows and bifurcations are globally describedRiassuntoSi considera una versione modificata del modello di crescita non-lineare di Goodwin, in cui il reddito,Y, è una funzione quadratica dello stock di capitale,k, così da permettere la possibilità di rendimenti crescenti o decrescenti. La dinamica del modello viene allora rappresentata da un sistema non autonomo di due equazioni differenziali. Con l'ipotesi che l'offerta di lavoro,N, e la produttività,a, siano costanti nel tempo, il modello diventa autonomo e può essere immerso in una famiglia stabile di sistemi dinamici piani, di cui vengono descritti i flussi globali e le biforcazioni.

Decisions in economics and finance, May 21, 2015

The original motivation of this work comes from a classic problem in finance and insurance: that ... more The original motivation of this work comes from a classic problem in finance and insurance: that of computing the value-at-risk (VaR) of a portfolio of dependent risky positions, i.e. the quantile at a certain level of confidence of the loss distribution. In fact, it is difficult to overestimate the importance of the concept of VaR in modern finance and insurance: it has been recommended, although with several warnings, as a measure of risk and the basis for capital requirement determination both by the guidelines of international committees (such as Basel 2 and 3, Solvency 2 etc.) and the internal models adopted by major banks and insurance companies. However the actual computation of the VaR of a portfolio constituted by several dependent risky assets is often a hard practical and theoretical task. To this purpose here we prove the convergence of a geometric algorithm (alternative to Monte Carlo and quasi Monte Carlo methods) for computing the value-at-risk of a portfolio of any dimension, i.e.the distribution of the sum of its components, which can exhibit any dependence structure. Moreover our result has a relevant measure-theoretical meaning. What we prove, in fact, is that the H-measure of a d-dimensional simplex (for any d ≥ 2 and any absolutely continuous with respect to Lebesgue measure H) can be approximated by convergent algebraic sums of H-measures of hypercubes (obtained through a self-similar construction).

Annali di Matematica Pura ed Applicata, Dec 1, 1992

Rivista di Matematica per le Scienze Economiche e Sociali, 1990

The dynamics of a model of fluctuating growth, where non-constant returns are allowed, is represe... more The dynamics of a model of fluctuating growth, where non-constant returns are allowed, is represented, under Goodwin's classical assumptions, by a non-autonomous two-dimensional system, which can be transformed into an autonomous three-dimensional one. We describe the global phase portrait of the latter, in the two cases of increasing and decreasing returns, proving, in particular, the absence of economically meaningful “attractors”. However the orbits exhibit different features in the two cases: namely they asymptotically converge to a singular point, where “the economy dies”, if the returns are decreasing, and diverge, spiralling around a certain line, if the returns are increasing.RiassuntoUn modello non-lineare di crescita alla Goodwin, in cui i rendimenti possono essere non costanti, è rappresentato da un sistema dinamico piano non autonomo, che può essere trasformato in un sistema autonomo tridimensionale. Viene descritto il comportamento globale di quest'ultimo nei due casi di rendimenti crescenti o decrescenti. Si dimostra, in particolare, l'assenza di attrattori economicamente significativi ed il diverso carattere delle orbite: mentre, se i rendimenti sono crescenti, le traiettorie convergono asintoticamente ad un punto singolare dove “l'economia muore”, nel caso opposto le traiettorie sono illimitate e spiraleggiano intomo ad una retta che ha la direzione dell'assek (la variabile di stato che rappresenta lo stock di capitale).

Journal of Applied Probability

Decisions in Economics and Finance

There is a widespread interest among institutions and economic agents for a reduction of the envi... more There is a widespread interest among institutions and economic agents for a reduction of the environmental impact of the production system. An important role seems to be played by the ability of public institutions to push the transition toward a green economy also through the application of fiscal policies that envisage a system of rewards and penalties, respectively, for those companies which adopt green strategies and those which do not. It is clear that readjusting older production systems to new pollution regulations can lead in the short term to profitability reductions for the companies implementing them, even though it is possible to assume increases in profitability over medium-long time horizons. One possible approach to this issue is the classical econometric one, which analyzes the effect of different parameters of multivariate models, that influence the level of pollution due to production systems with different propensity for environmental protection. Optimal control m...