Enrico Biffis

J. Mack Robinson College of Business

P.O. Box 4036

Atlanta, GA 30302-4036

United States

Imperial College Business School

Imperial College London

South Kensington campus

London, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

20

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CITATIONS
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72

Scholarly Papers (20)

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
J. Mack Robinson College of Business and City University London - Cass Business School - The Pensions Institute
Downloads 820 (17,906)
Citation 3

Abstract:

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
J. Mack Robinson College of Business, Catholic University of Louvain and Catholic University of Louvain
Downloads 669 (27,245)
Citation 7

Abstract:

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
J. Mack Robinson College of Business and City University London - Sir John Cass Business School
Downloads 547 (37,194)
Citation 8

Abstract:

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
University of Trieste - Dipartimento di Matematica Applicata, J. Mack Robinson College of Business and City University London - Sir John Cass Business School
Downloads 473 (43,619)
Citation 7

Abstract:

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
J. Mack Robinson College of Business
Downloads 464 (44,964)
Citation 24

Abstract:

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
University of Trieste - Dipartimento di Matematica Applicata, J. Mack Robinson College of Business and City University London - Sir John Cass Business School
Downloads 415 (52,514)
Citation 8

Abstract:

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

7.

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
J. Mack Robinson College of Business and Catholic University of Louvain
Downloads 392 (53,753)
Citation 2

Abstract:

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

8.

Securitizing and Tranching Longevity Exposures

Number of pages: 40 Posted: 26 May 2009 Last Revised: 17 Aug 2009
Enrico Biffis and David P. Blake
J. Mack Robinson College of Business and City University London - Cass Business School - The Pensions Institute
Downloads 374 (60,074)
Citation 3

Abstract:

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

9.

Fair Value of Insurance Liabilities

Number of pages: 6 Posted: 02 Jan 2008
Enrico Biffis and Pietro Millossovich
J. Mack Robinson College of Business and City University London - Sir John Cass Business School
Downloads 371 (60,244)

Abstract:

fair valuation, insurance liabilities, International Accounting Standards

The Cost of Counterparty Risk and Collateralization in Longevity Swaps

Number of pages: 44 Posted: 04 Apr 2011 Last Revised: 03 Feb 2014
J. Mack Robinson College of Business, City University London - Cass Business School - The Pensions Institute, Credit Suisse Securities and Imperial College London, Business School
Downloads 358 (63,869)
Citation 1

Abstract:

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
J. Mack Robinson College of Business, Imperial College London, Business School, City University London - Cass Business School - The Pensions Institute and Credit Suisse Securities
Downloads 0
Citation 1

Abstract:

11.

Optimal Insurance with Counterparty Default Risk

Number of pages: 41 Posted: 06 Jul 2010 Last Revised: 30 Apr 2012
Enrico Biffis and Pietro Millossovich
J. Mack Robinson College of Business and City University London - Sir John Cass Business School
Downloads 358 (57,729)
Citation 3

Abstract:

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

12.

A Bidimensional Approach to Mortality Risk

Cass Business School Research Paper
Number of pages: 25 Posted: 12 Jan 2005
Enrico Biffis and Pietro Millossovich
J. Mack Robinson College of Business and City University London - Sir John Cass Business School
Downloads 293 (78,833)
Citation 5

Abstract:

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

13.

Pricing of Life Insurance Liabilities

Number of pages: 8 Posted: 02 Jan 2008
Enrico Biffis
J. Mack Robinson College of Business
Downloads 259 (89,780)

Abstract:

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

Informed Intermediation of Longevity Exposures

Number of pages: 24 Posted: 18 Nov 2012
Enrico Biffis and David P. Blake
J. Mack Robinson College of Business and City University London - Cass Business School - The Pensions Institute
Downloads 109 (200,188)

Abstract:

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
J. Mack Robinson College of Business and City University London - Cass Business School - The Pensions Institute
Downloads 0

Abstract:

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 - The Pensions Institute and J. Mack Robinson College of Business

Abstract:

15.

Optimal Collateralization with Bilateral Default Risk

Number of pages: 54 Posted: 04 Sep 2013
Daniel Bauer, Enrico Biffis and Luz R. Sotomayor
Georgia State University - Department of Risk Management and Insurance, J. Mack Robinson College of Business and Georgia State University - Department of Risk Management and Insurance
Downloads 93 (199,239)

Abstract:

16.

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
J. Mack Robinson College of Business and Imperial College Business School
Downloads 80 (199,239)

Abstract:

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

17.

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
J. Mack Robinson College of Business and University of Bath
Downloads 60 (272,526)
Citation 1

Abstract:

18.

Tail Risk in Commercial Property Insurance

Number of pages: 28 Posted: 25 Aug 2014
Enrico Biffis and Erik Chavez
J. Mack Robinson College of Business and Imperial College London
Downloads 58 (253,801)

Abstract:

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

19.

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

Number of pages: 19 Posted: 19 May 2015
Enrico Biffis, Ben Goldys and Cecilia Prosdocimi
J. Mack Robinson College of Business, The University of Sydney and LUISS Guido Carli University
Downloads 8 (409,745)

Abstract:

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

20.

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
J. Mack Robinson College of Business, University of Nebraska at Lincoln - Department of Finance and University of Cyprus - Department of Accounting and Finance
Downloads 0 (373,888)

Abstract:

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

Other Papers (1)

Total Downloads: 80    Citations: 0
1.

Dynamic Incentives with Event Risk

Number of pages: 31 Posted: 16 Feb 2015
Enrico Biffis and Caterina Lepore
J. Mack Robinson College of Business and Imperial College Business School
Downloads 41

Abstract:

repeated moral hazard, limited liability, event risk, stochastic liquidation