Massimo Costabile

Massimo Costabile is a Full Professor of Mathematical Methods for Economics, Actuarial and Financial Sciences at the Department of Economics, Statistics and Finance 'Giovanni Anania' (DESF) of Università della Calabria, where he also serves as Department Director. He teaches Quantitative Models in Finance in the Master's degree course in Finance and Insurance and Financial Mathematics in the Mathematics degree program.

• Laurea in Economic and Social Sciences, Università della Calabria (1993)
• PhD in Actuarial Science, Sapienza Università di Roma (1996)

Research Interests: His work focuses on computational finance, life insurance policy valuation, and analytical methods for complex financial instruments. Key areas include:

• Numerical methods for derivative securities and insurance products
• Stochastic volatility modeling in financial and actuarial contexts
• Regime-switching and jump-diffusion option pricing frameworks
• Guaranteed minimum withdrawal benefits (GMWB) in variable annuities
• Risk capital requirements under CVaR constraints
• Discrete-time lattice approaches for financial modeling

Recent Research Trends: Recent publications examine stochastic correlation in life insurance pricing, mixed fractional Brownian motion applications, and semiparametric models for non-life insurance capital allocation. His work combines binomial lattice techniques with advanced volatility models to address insurance risk and financial derivative valuation challenges.

Administration & Collaborations: As Department Director, he oversees academic operations while collaborating with national and international researchers. He serves on editorial boards and peer-review panels for journals like Decisions in Economics and Finance and Insurance: Mathematics and Economics.

Laboratories: Co-manages the Multimedia Teaching Lab (Laboratorio di Didattica Multimediale) and Informatica 3 Lab at DESF, focusing on didactic applications of computational methods in economics and finance education.