GABRIELE STABILE

Calculus and linear algebra (9 cfu)
The course will start on September 15th
Class timetables
Monday 10-12 
Tuesday 12-14 
Wednesday 08-10 

Matematica corso avanzato (9 cfu)
Il corso avrà inizio il 16 settembre 2025.
Orario delle lezioni:
martedì dalle 14:00 alle 16:00
giovedì dalle 12:00 alle 14:00
venerdì dalle 10:00 alle 12:00

Curriculum Vitae Gabriele Stabile
Associate Professor in the SSD SECS-S/06 at Department of Methods and Models for Economics, Territory and Finance – University Sapienza of Rome.
Author of various papers published in international journals: SCOPUS reports 14 publications, 120 citations and h-Index 6.
Speaker at several national and international conferences since 2004.
Reviewer for journals like Annals of Actuarial Science, Annals of Operation Research, Communications in Statistics - Theory and Methods, European Journal of Operational Research, Quantitative Finance, and Risks.
Research interest: mathematical finance, actuarial science and applied probability. In particular I have focused on the application of continuous‐time stochastic models to retirement planning, ruin theory, tax evasion and delegated portfolio management. My current research is mainly in insurance and finance driven problems using various stochastic control and stochastic analysis techniques.
Teaching activity: professor of Mathematics, Risk Theory, Quantitative Finance (Master of Science and PhD) at – University Sapienza of Rome.
Member of the board of PhD in “Modelli per l’economia e la finanza”, University Sapienza of Rome.

PUBLICATIONS
1. “An analytical study of participating policies with minimum rate guarantee and surrender option”
Finance and Stochastics https://doi.org/10.1007/s00780-022-00471-0 (2022).

2. “Sub-optimal investment for insurers “ (with M. Longo)
Communications in Statistics - Theory and Methods, Vol. 49, No. 17 pp. 4298-4312 (2020)

3. “On the free Boundary of an Annuity Purchase” (with T. De Angelis)
Finance and Stochastics 23, pp. 97-137 (2019).

4. “On Lipschitz continuous optimal stopping boundaries” (with T. De Angelis).
SIAM Journal on Control and Optimization 57(1), 402-436 (2019)

5. “Tax compliance with uncertain income: a stochastic control model” (with G.T. Spartà).
Annals of Operations Research, Vol. 261, No. 1-2 pp. 289-301 (2018)
doi: 10.1007/s10479-017-2618-9

6. “Optimal dynamic procurement policies for a storable commodity with Levy prices and convex holding
costs” (with M.B. Chiarolla and G. Ferrari). European Journal of Operational Research, Vol. 247, No. 3
pp. 847-858 (2015) doi: 10.1016/j.ejor.2015.06.061

7. “Underperformance Fees and Manager’s Portfolio Risk Taking”.
International Journal of Financial Research, Vol. 6, No. 1 pp. 79-89 (2015) doi: 10.5430/ijfr.v6n1p79

8. “A review of Margrabe formula and its applications in derivative pricing”. p. 1-30, Roma:
Imaging Editore (2014) ISBN: 9788863211207

9. “Asymptotic results for exit probabilities of stochastic processes governed by an integral type rate
function” (with M. Abundo and C. Macci). Probability and Mathematical Statistics, Vol. 32, pp. 25-39
(2012) ISSN: 0208-4147 2012

10. “Large deviations of Poisson shot noise processes under heavy tail semi-exponential conditions” (with
G.L. Torrisi). Statistics & Probability Letters, Vol. 80, pp. 1220-1209 (2010)
doi: 10.1016/j.spl.2010.03.017

11. “Risk processes with non-stationary Hawkes claims arrivals” (with G.L. Torrisi).
Methodology and Computing in Applied Probability, Vol. 12, pp. 415-429 (2010)
doi: 10.1007/s11009-008-9110-6 2008

12. “Risk processes with delayed claims for heavy tailed distributions” (with G.L. Torrisi).
In: Methods, Models and Information Technologies for Decision Support Systems (2008) pp. 199- 202,
Università del Salento-Coordinamento SIBA, ISBN: 9788883050619

13. “Optimal timing of the annuity purchase: combined stochastic control and optimal stopping problem”.
International Journal of Theoretical and Applied Finance, Vol. 9, pp. 151-170 (2006)
doi:10.1142/S0219024906003524

14. “Large deviations for risk processes with reinsurance” (with C. Macci).
Journal of Applied Probability, vol. 43, pp. 713-728 (2006) doi: 10.1239/jap/1158784941

15. “On Lundberg's estimate for ruin probability under reinsurance” (with C. Macci).
In: XXX Convegno dell'Associazione per la Matematica Applicata alle Scienze Economiche e Sociali. (2006) ISBN: 9788890258503

16. “Ruin probabilities and optimal investment: the case of dependence between financial and insurance
risks” (with M. Longo). Napoli:CUEN, Vol. 26, pp. 1-14 (2006) ISBN: 9788871467115

17. “Lundberg parameters for non standard risk processes” (with C. Macci and G.L. Torrisi).
Scandinavian Actuarial Journal, No. 6, pp. 417-432 (2005) doi: 10.1080/03461230500363048

18. “Stochastic and deterministic methods in the analysis of the δ18 O record in the core V28-239”
(with H.-J. Giese and S. Albeverio). Chemical Geology, 161(1), pp. 271–289 (1999)
doi: 10.1016/S0009-2541(99)00158-8