Enrico Biffis

Imperial College Business School

Imperial College London

South Kensington campus

London, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

27

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9,902

SSRN CITATIONS
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Top 11,458

in Total Papers Citations

81

CROSSREF CITATIONS

51

Scholarly Papers (27)

1.

Mortality-Linked Securities and Derivatives

Number of pages: 20 Posted: 11 Feb 2009 Last Revised: 24 Jun 2020
Enrico Biffis and David P. Blake
Imperial College Business School and City, University of London
Downloads 1,281 (28,928)
Citation 24

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2.

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
Imperial College Business School, Imperial College Business School, Impax Asset Management, Impax Asset Management and Impax Asset Management
Downloads 873 (49,858)
Citation 5

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

3.

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 809 (55,213)
Citation 11

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

4.

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 653 (73,146)
Citation 27

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

5.

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 The Business School (formerly Cass)
Downloads 613 (79,060)
Citation 8

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

6.

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, Imperial College Business School and The Business School (formerly Cass)
Downloads 589 (83,120)
Citation 3

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

7.

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, Imperial College Business School and The Business School (formerly Cass)
Downloads 514 (98,597)
Citation 6

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

8.

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 The Business School (formerly Cass)
Downloads 496 (103,287)
Citation 20

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

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 486 (105,609)
Citation 5

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

10.

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 of London
Downloads 469 (110,110)
Citation 9

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

11.

The Cost of Counterparty Risk and Collateralization in Longevity Swaps

Number of pages: 44 Posted: 04 Apr 2011 Last Revised: 03 Feb 2014
Imperial College Business School, City, University of London, Credit Suisse Securities and Imperial College London, Business School
Downloads 442 (118,119)
Citation 14

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

12.

Parametric Insurance and Technology Adoption in Developing Countries

Number of pages: 44 Posted: 13 Jul 2020 Last Revised: 24 Nov 2020
Imperial College Business School, Imperial College London, Ecole Polytechnique, Paris - Department of Economic Sciences and Ecole Polytechnique, Paris - Department of Economic Sciences
Downloads 427 (123,008)

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parametric insurance, crop insurance, moral hazard, credit rationing, technology adoption

13.

Fair Value of Insurance Liabilities

Number of pages: 6 Posted: 02 Jan 2008
Enrico Biffis and Pietro Millossovich
Imperial College Business School and The Business School (formerly Cass)
Downloads 419 (126,059)

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fair valuation, insurance liabilities, International Accounting Standards

14.

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 The Business School (formerly Cass)
Downloads 339 (159,579)
Citation 4

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

15.

Pricing of Life Insurance Liabilities

Number of pages: 8 Posted: 02 Jan 2008
Enrico Biffis
Imperial College Business School
Downloads 313 (173,249)

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

16.
Downloads 203 (265,549)
Citation 6

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 of London
Downloads 203 (264,857)
Citation 6

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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 of London and Imperial College Business School

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17.

Optimal Collateralization with Bilateral Default Risk

Number of pages: 54 Posted: 04 Sep 2013
Daniel Bauer, Enrico Biffis and Luz R. Sotomayor
University of Wisconsin-Madison, Imperial College Business School and Georgia State University - Department of Risk Management and Insurance
Downloads 184 (290,138)
Citation 3

Abstract:

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18.

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 148 (349,198)
Citation 1

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19.

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 127 (393,571)

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

20.

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 100 (471,766)

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21.

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

Number of pages: 26 Posted: 19 May 2015 Last Revised: 29 Dec 2022
Imperial College Business School, The University of Sydney, Luiss Guido Carli University and Luiss Guido Carli University
Downloads 95 (484,762)
Citation 2

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

22.

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 89 (505,214)
Citation 5

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

23.

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

Journal of Risk and Insurance, Vol. 84, pp. 515-532, 2017
Number of pages: 31 Posted: 02 Apr 2016 Last Revised: 29 Jul 2022
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 76 (559,297)
Citation 3

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

24.

Health Insurance, Portfolio Choice, and Retirement Incentives

Number of pages: 28 Posted: 12 Oct 2021 Last Revised: 29 Sep 2022
Emilio Barucci, Enrico Biffis and Daniele Marazzina
Politecnico di Milano - Department of Mathematics, Imperial College Business School and Polytechnic University of Milan - Department of Mathematics
Downloads 73 (572,195)

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health insurance, health shock, retirement, labor income, optimal asset allocation

25.

Wage Rigidity and Retirement in Optimal Portfolio Choice

Number of pages: 27 Posted: 05 Mar 2021 Last Revised: 08 Jan 2024
LUISS University, Imperial College Business School, Luiss and Luiss Guido Carli University
Downloads 55 (655,405)

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Stochastic delayed differential equations, infinite dimensional Merton problem with retirement, sticky wages, two-stage optimal control problems in infinite dimension with state constraints, second order parabolic Hamilton-Jacobi-Bellman equations in infinite dimension

26.

Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers

Pensions Institute Discussion Paper PI-1207
Number of pages: 20 Posted: 23 Jun 2020
Enrico Biffis and David P. Blake
Imperial College Business School and City, University of London
Downloads 29 (831,505)
Citation 7

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27.

Managing Capital Market Risk for Retirement

Published in Maurer, R., O. Mitchell, and P. Hammond (Eds.) (2014). Recreating Sustainable Retirement: Resilience, Solvency, and Tail Risk. Oxford, UK: Oxford University Press., Pension Research Council WP 2013-23
Posted: 20 Nov 2013 Last Revised: 03 Apr 2020
Enrico Biffis and Robert Kosowski
Imperial College Business School and Imperial College Business School

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