Enrico Biffis

Imperial College Business School

Imperial College London

South Kensington campus

London, SW7 2AZ

United Kingdom

  • Imperial College Business School

SCHOLARLY PAPERS

27

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SSRN CITATIONS
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72

CROSSREF CITATIONS

63

Scholarly Papers (27)

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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 1,159 (25,374)
Citation 24

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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 767 (45,236)
Citation 11

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

3.

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 757 (46,076)
Citation 3

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

4.

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 583 (64,643)
Citation 8

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

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 582 (64,770)
Citation 21

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

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
Anna Rita Bacinello, Enrico Biffis and Pietro Millossovich
University of Trieste - Dipartimento di Matematica Applicata, Imperial College Business School and The Business School (formerly Cass)
Downloads 539 (71,376)
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
Anna Rita Bacinello, Enrico Biffis and Pietro Millossovich
University of Trieste - Dipartimento di Matematica Applicata, Imperial College Business School and The Business School (formerly Cass)
Downloads 483 (81,627)
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 463 (86,004)
Citation 19

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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 458 (87,084)
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 421 (95,985)
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

Downloads 405 (100,392)
Citation 11

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 of London, Credit Suisse Securities and Imperial College London, Business School
Downloads 405 (99,542)
Citation 14

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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 of London and Credit Suisse Securities
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12.

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 391 (104,538)

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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 The Business School (formerly Cass)
Downloads 319 (130,720)
Citation 4

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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 283 (148,213)

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

15.

Parametric Insurance and Technology Adoption in Developing Countries

Number of pages: 44 Posted: 13 Jul 2020 Last Revised: 24 Nov 2020
Enrico Biffis, Erik Chavez, Alexis Louaas and Pierre Picard
Imperial College Business School, Imperial College London, Ecole Polytechnique, Paris - Department of Economic Sciences and Ecole Polytechnique, Paris - Department of Economic Sciences
Downloads 254 (165,251)

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

16.

Informed Intermediation of Longevity Exposures

Downloads 164 (245,788)
Citation 4

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 164 (246,181)
Citation 4

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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 of London
Downloads 0

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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 149 (266,044)
Citation 3

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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 96 (364,637)
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 91 (377,101)

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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 72 (431,853)

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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 68 (445,160)
Citation 2

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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 57 (485,561)
Citation 6

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 56 (497,244)
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 (899,259)
Citation 2

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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 53 (501,616)
Citation 3

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

24.

Health Insurance, Portfolio Choice, and Retirement Incentives

Number of pages: 48 Posted: 12 Oct 2021
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 32 (604,824)

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labor market participation, health insurance, portfolio choice, consumption, mortality risk

25.

Optimal Portfolio Choice With Path-Dependent Labor Income: Finite Retirement Time

Number of pages: 26 Posted: 05 Mar 2021
Enrico Biffis, Gianluca Cappa, Fausto Gozzi and Margherita Zanella
Imperial College Business School, affiliation not provided to SSRN, Luiss and Luiss Guido Carli University
Downloads 22 (671,441)

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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 7 (796,738)
Citation 6

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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