Enrico Biffis

Imperial College Business School

Imperial College London

South Kensington campus

London, SW7 2AZ

United Kingdom

  • Imperial College Business School

SCHOLARLY PAPERS

23

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21

CROSSREF CITATIONS

50

Scholarly Papers (23)

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1.

Mortality-Linked Securities and Derivatives

Number of pages: 20 Posted: 11 Feb 2009 Last Revised: 08 Oct 2009
Enrico Biffis and David P. Blake
Imperial College Business School and City University London - Cass Business School
Downloads 1,059 (21,011)
Citation 22

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2.

Stochastic Mortality Under Measure Changes

Number of pages: 42 Posted: 22 Jun 2009 Last Revised: 13 Feb 2010
Enrico Biffis, Michel Denuit and Pierre Devolder
Imperial College Business School, Catholic University of Louvain and Catholic University of Louvain
Downloads 744 (34,735)
Citation 6

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Stochastic mortality, Lee-Carter model, mortality risk premium, fair valuation, mortality-linked securities

3.

The Fair Value of Guaranteed Annuity Options

Cass Business School Research Paper
Number of pages: 18 Posted: 12 Jan 2005
Enrico Biffis and Pietro Millossovich
Imperial College Business School and City University London - Sir John Cass Business School
Downloads 571 (49,462)
Citation 5

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Fair value, options to annuitize, stochastic mortality, longevity risk, financial risk, doubly stochastic stopping times, affine processes

4.

Pricing Life Insurance Contracts with Early Exercise Features

Journal of Computational and Applied Mathematics, Forthcoming
Number of pages: 16 Posted: 09 Jan 2008 Last Revised: 23 Jul 2009
Anna Rita Bacinello, Enrico Biffis and Pietro Millossovich
University of Trieste - Dipartimento di Matematica Applicata, Imperial College Business School and City University London - Sir John Cass Business School
Downloads 526 (54,901)
Citation 2

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insurance contracts, surrender options, Least Squares Monte Carlo method, American contingent claims

5.

Affine Processes for Dynamic Mortality and Actuarial Valuations

Cass Business School Research Paper
Number of pages: 37 Posted: 12 Jan 2005
Enrico Biffis
Imperial College Business School
Downloads 519 (55,804)
Citation 12

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Affine jump-diffusion, stochastic mortality, doubly stochastic processes, longevity risk, fair value

6.

Regression-Based Algorithms for Life Insurance Contracts with Surrender Guarantees

Number of pages: 32 Posted: 08 Nov 2007 Last Revised: 18 Aug 2009
Anna Rita Bacinello, Enrico Biffis and Pietro Millossovich
University of Trieste - Dipartimento di Matematica Applicata, Imperial College Business School and City University London - Sir John Cass Business School
Downloads 461 (64,664)
Citation 3

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insurance contracts, surrender option, stochastic mortality, American contingent claims, Least Squares Monte Carlo method

7.

Optimal Insurance with Counterparty Default Risk

Number of pages: 41 Posted: 06 Jul 2010 Last Revised: 30 Apr 2012
Enrico Biffis and Pietro Millossovich
Imperial College Business School and City University London - Sir John Cass Business School
Downloads 439 (68,567)

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insurance demand, default risk, catastrophe risk, limited liability, incomplete markets

8.

Climate Change Investment Risk: Optimal Portfolio Construction Ahead of the Transition to a Lower-Carbon Economy

Number of pages: 35 Posted: 03 Dec 2018 Last Revised: 07 Oct 2019
Davide Benedetti, Enrico Biffis, Fotis Chatzimichalakis, Luciano Ruben Lilloy Fedele and Ian Simm
Imperial College Business School, Imperial College Business School, Impax Asset Management, Impax Asset Management and Impax Asset Management
Downloads 438 (68,742)

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Climate Change, Carbon Pricing, Bayesian Analysis, Black-Litterman Model, Portfolio Theory

9.

Lee-Carter Goes Risk-Neutral

Cass Business School Research Paper
Number of pages: 19 Posted: 16 Nov 2005 Last Revised: 02 Jan 2008
Enrico Biffis and Michel Denuit
Imperial College Business School and Catholic University of Louvain
Downloads 436 (69,131)
Citation 4

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stochastic mortality, Lee-Carter model, mortality projections, fair valuation, longevity risk

10.

The Cost of Counterparty Risk and Collateralization in Longevity Swaps

Downloads 389 ( 79,087)
Citation 8

The Cost of Counterparty Risk and Collateralization in Longevity Swaps

Number of pages: 44 Posted: 04 Apr 2011 Last Revised: 03 Feb 2014
Enrico Biffis, David P. Blake, Lorenzo Pitotti and Ariel Sun
Imperial College Business School, City University London - Cass Business School, Credit Suisse Securities and Imperial College London, Business School
Downloads 389 (78,390)
Citation 11

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longevity swap, counterparty risk, default risk, collateral, marking-to-market

The Cost of Counterparty Risk and Collateralization in Longevity Swaps

Journal of Risk and Insurance, Vol. 83, Issue 2, pp. 387-419, 2016
Number of pages: 33 Posted: 23 May 2016
Enrico Biffis, Ariel Sun, David P. Blake and Lorenzo Pitotti
Imperial College Business School, Imperial College London, Business School, City University London - Cass Business School and Credit Suisse Securities
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11.

Securitizing and Tranching Longevity Exposures

Number of pages: 40 Posted: 26 May 2009 Last Revised: 17 Aug 2009
Enrico Biffis and David P. Blake
Imperial College Business School and City University London - Cass Business School
Downloads 385 (80,022)
Citation 4

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longevity risk, asymmetric information, security design, pooling, tranching

12.

Fair Value of Insurance Liabilities

Number of pages: 6 Posted: 02 Jan 2008
Enrico Biffis and Pietro Millossovich
Imperial College Business School and City University London - Sir John Cass Business School
Downloads 385 (80,022)

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fair valuation, insurance liabilities, International Accounting Standards

13.

A Bidimensional Approach to Mortality Risk

Cass Business School Research Paper
Number of pages: 25 Posted: 12 Jan 2005
Enrico Biffis and Pietro Millossovich
Imperial College Business School and City University London - Sir John Cass Business School
Downloads 308 (103,049)
Citation 2

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Stochastic mortality, random fields, fair valuation, new business, affine processes

14.

Pricing of Life Insurance Liabilities

Number of pages: 8 Posted: 02 Jan 2008
Enrico Biffis
Imperial College Business School
Downloads 276 (115,946)

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term assurances, endowments, annuities, interest rate risk, mortality risk, pooling risk

15.

Informed Intermediation of Longevity Exposures

Downloads 146 (209,687)
Citation 1

Informed Intermediation of Longevity Exposures

Number of pages: 24 Posted: 18 Nov 2012
Enrico Biffis and David P. Blake
Imperial College Business School and City University London - Cass Business School
Downloads 146 (210,166)
Citation 1

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Informed Intermediation of Longevity Exposures

Journal of Risk and Insurance, Vol. 80, Issue 3, pp. 559-584, 2013
Number of pages: 26 Posted: 30 Aug 2013
Enrico Biffis and David P. Blake
Imperial College Business School and City University London - Cass Business School
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Informed Intermediation of Longevity Exposures

CAREFIN Research Paper No. 17/09
Posted: 08 May 2010
David P. Blake and Enrico Biffis
City University London - Cass Business School and Imperial College Business School

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16.

Optimal Collateralization with Bilateral Default Risk

Number of pages: 54 Posted: 04 Sep 2013
Daniel Bauer, Enrico Biffis and Luz R. Sotomayor
University of Alabama, Imperial College Business School and Georgia State University - Department of Risk Management and Insurance
Downloads 138 (219,421)
Citation 2

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17.

Managing Capital Market Risk for Retirement

Pension Research Council WP 2013-23
Number of pages: 38 Posted: 20 Nov 2013
Enrico Biffis and Robert Kosowski
Imperial College Business School and Imperial College Business School
Downloads 130 (229,979)
Citation 2

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Pension Liabilities, Liability-Driven Investment, Cross-Asset Correlation, Collateralization, Pension Buyouts, Over-the-Counter OTC Instruments

18.

Tail Risk in Commercial Property Insurance

Number of pages: 28 Posted: 25 Aug 2014
Enrico Biffis and Erik Chavez
Imperial College Business School and Imperial College London
Downloads 86 (305,913)

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commercial property insurance, exposure rating, heavy tails, tail index, tail regression

19.

A Note on Scale Functions and the Time Value of Ruin for Lévy Insurance Risk Processes

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 18 Posted: 29 Oct 2009
Enrico Biffis and Andreas E. Kyprianou
Imperial College Business School and University of Bath
Downloads 71 (342,043)

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20.

Satellite Data and Machine Learning for Weather Risk Management and Food Security

Risk Analysis, Forthcoming
Number of pages: 32 Posted: 25 Sep 2017
Enrico Biffis and Erik Chavez
Imperial College Business School and Imperial College London
Downloads 60 (373,524)

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21.

A Pricing Formula for Delayed Claims: Appreciating the Past to Value the Future

Number of pages: 21 Posted: 19 May 2015 Last Revised: 14 Jan 2019
Enrico Biffis, Ben Goldys, Cecilia Prosdocimi and Margherita Zanella
Imperial College Business School, The University of Sydney, Luiss Guido Carli University and Luiss Guido Carli University
Downloads 55 (389,514)
Citation 1

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Stochastic functional differential equations, delay equations, no-arbitrage pricing, human capital, sticky wages

22.

The Cross-Section of Asia-Pacific Mortality Dynamics: Implications for Longevity Risk Sharing

Downloads 51 (402,945)
Citation 4

The Cross-Section of Asia-Pacific Mortality Dynamics: Implications for Longevity Risk Sharing

Number of pages: 31 Posted: 02 Apr 2016 Last Revised: 10 Oct 2016
Enrico Biffis, Yijia Lin and Andreas Milidonis
Imperial College Business School, University of Nebraska at Lincoln - Department of Finance and University of Cyprus - Department of Accounting and Finance
Downloads 50 (413,381)
Citation 3

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k-forward, longevity risk, risk sharing, emerging economies, Asia-Pacific

The Cross‐Section of Asia‐Pacific Mortality Dynamics: Implications for Longevity Risk Sharing

Journal of Risk and Insurance, Vol. 84, Issue S1, pp. 515-532, 2017
Number of pages: 18 Posted: 14 Apr 2017
Enrico Biffis, Yijia Lin and Andreas Milidonis
Imperial College Business School, University of Nebraska at Lincoln and University of Cyprus - Department of Accounting and Finance
Downloads 1 (714,340)
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23.

Optimal Portfolio Choice with Path Dependent Labor Income: The Infinite Horizon Case

Number of pages: 32 Posted: 29 May 2019 Last Revised: 02 Feb 2020
Enrico Biffis, Fausto Gozzi and Cecilia Prosdocimi
Imperial College Business School, Luiss and Luiss Guido Carli University
Downloads 30 (489,190)

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optimal portfolio choice, stochastic delay differential equations, labor income, human capital, hedging demand