Phd in MODELS FOR ECONOMICS AND FINANCE

email: gabriele.stabile@uniroma1.it
phone:

EDUCATION & EMPLOYMENT
2006- Assistant Professor (Ricercatore)
S.S.D. SECS-S/06 “Metodi matematici dell’economia e delle scienze attuariali e finanziarie”
Dipartimento di Metodi e modelli per l’economia, il territorio e la finanza (MEMOTEF), “Sapienza” University of Rome
2002 PhD in Mathematics for Economic-Financial Applications, “Sapienza” University of
Rome
1996 Master in “Didattica della Matematica e della Matematica Applicata”, “Sapienza” University of Rome
1995 Laurea degree in Mathematics, “Sapienza” University of Rome

RESEARCH INTEREST
Applied Stochastic Models and Control for Finance and Insurance

PUBBLICATIONS
 M. Longo, G.Stabile (2019),
Sub-optimal investment for insurers.
Communications in Statistics - Theory and Methods , (DOI) 10.1080/03610926.2019.1599020
 T. De Angelis, G.Stabile (2019),
On Lipschitz continuous optimal stopping boundaries.
SIAM Journal on Control and Optimization 57(1), 402-436.
 T. De Angelis, G.Stabile (2018),
On the free boundary of an annuity purchase.
Finance and Stochastics 23, issue 1, pp. 97-137.
 G.T.Spartà, G.Stabile (2018),
Tax compliance with uncertain income: a stochastic control model.
Annals of Operations Research 261 (1–2), pp 289–301, ISSN: 0254-5330
 M.B.Chiarolla, G.Ferrari, G.Stabile (2015),
Optimal dynamic procurement policies for a storable commodity with Lévy prices and convex holding costs.
European Journal of Operational Research 247 (3), pp. 847-858, ISSN: 0377-2217
 G.Stabile (2015),
Underperformance Fees and Manager’s Portfolio Risk Taking.
International Journal of Financial Research 6 (1), pp. 79-89, ISSN: 1923-4023.
 M.Abundo, C.Macci, G.Stabile (2012),
Asymptotic results for exit probabilities of stochastic processes governed by an integral type rate function.
Probability and Mathematical Statistics 32 (1), pp. 25-39, ISSN: 0208-4147.
 G.Stabile, G.L.Torrisi (2010),
Large deviations of Poisson shot noise processes under heavy tail semi-exponential conditions.
Statistics & Probability Letters 80 (15-16), pp. 1220-1209, ISSN: 0167-7152.
 G.Stabile, G.L.Torrisi (2010),
Risk processes with non-stationary Hawkes claims arrivals.
Methodology and Computing in Applied Probability 12 (3), pp 415–429 ISSN: 1387-5841.
 G.Stabile (2006),
Optimal timing of the annuity purchase: a combined stochastic control and optimal stopping problem.
International Journal of Theoretical and Applied Finance 9 (2), pp.151-170, ISSN: 0219-0249
 C.Macci, G.Stabile (2006),
Large deviations for risk processes with reinsurance.
Journal of Applied Probability 43 (3), pp. 713-728, ISSN: 00219002
 C.Macci, G.Stabile, G.L.Torrisi (2005),
Lundberg parameters for non standard risk processes.
Scandinavian Actuarial Journal (6), 417-432, ISSN: 0346-1238