Pietro Millossovich

The Business School (formerly Cass)

Northampton Square

London, EC1V 0HB

United Kingdom

University of Trieste - Dipartimento di Scienze Aziendali Economiche Matematiche e Statistiche B. de Finetti

Piazzale Europa, 1

Trieste, 34127

Italy

  • The Business School (formerly Cass)

  • University of Trieste - Dipartimento di Scienze Aziendali Economiche Matematiche e Statistiche B. de Finetti

SCHOLARLY PAPERS

19

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Top 15,657

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47

CROSSREF CITATIONS

24

Scholarly Papers (19)

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1.

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 (65,463)
Citation 8

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

2.

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 (72,277)
Citation 3

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

3.

Variable Annuities: A Unifying Valuation Approach

Number of pages: 28 Posted: 20 Apr 2011 Last Revised: 05 Oct 2012
Pietro Millossovich, Anna Rita Bacinello, Annamaria Olivieri and Ermanno Pitacco
The Business School (formerly Cass), University of Trieste - Dipartimento di Matematica Applicata, University of Parma - Dipartimento di Scienze Economiche e Aziendali and MIB Trieste School of Management
Downloads 484 (82,427)
Citation 17

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Variable annuities, post-retirement income, risk management, guarantees, Least Square Monte Carlo

4.

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 (82,629)
Citation 6

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

5.

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 465 (86,585)
Citation 19

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

6.

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 (105,763)

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fair valuation, insurance liabilities, International Accounting Standards

7.

Sensitivity Analysis Using Risk Measures

Forthcoming, Risk Analysis: An International Journal.
Number of pages: 38 Posted: 24 Nov 2013 Last Revised: 16 Jun 2015
Andreas Tsanakas and Pietro Millossovich
Bayes Business School (formerly Cass), City, University of London and The Business School (formerly Cass)
Downloads 351 (119,397)
Citation 10

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Sensitivity analysis, risk measures, uncertainty analysis, risk aggregation, parameter uncertainty, dependence

8.

Variable Annuities: Risk Identification and Risk Assessment

CAREFIN Research Paper No. 14/2010
Number of pages: 48 Posted: 05 Apr 2011
Anna Rita Bacinello, Annamaria Olivieri, Ermanno Pitacco and Pietro Millossovich
University of Trieste - Dipartimento di Matematica Applicata, University of Parma - Dipartimento di Scienze Economiche e Aziendali, MIB Trieste School of Management and The Business School (formerly Cass)
Downloads 336 (125,277)

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9.

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 (132,186)
Citation 4

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

10.

StMoMo: An R Package for Stochastic Mortality Modelling

7th Australasian Actuarial Education and Research Symposium
Number of pages: 38 Posted: 03 Dec 2015
Andrés Villegas, Vladimir K. Kaishev and Pietro Millossovich
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), City University London - Sir John Cass Business School and The Business School (formerly Cass)
Downloads 302 (140,172)
Citation 20

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Mortality modelling; mortality forecasting; generalised linear models; generalised non-linear models

11.

Scenario Weights for Importance Measurement (SWIM) – An R Package for Sensitivity Analysis

Number of pages: 25 Posted: 10 Feb 2020
Silvana M. Pesenti, Alberto Bettini, Pietro Millossovich and Andreas Tsanakas
University of Toronto, affiliation not provided to SSRN, The Business School (formerly Cass) and Bayes Business School (formerly Cass), City, University of London
Downloads 176 (234,101)
Citation 1

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Sensitivity analysis, risk measures, stress testing, sensitivity measures, Kullback-Leibler divergence

12.

Cascade Sensitivity Measures

Number of pages: 42 Posted: 13 Nov 2018 Last Revised: 16 Nov 2020
Silvana M. Pesenti, Pietro Millossovich and Andreas Tsanakas
University of Toronto, The Business School (formerly Cass) and Bayes Business School (formerly Cass), City, University of London
Downloads 146 (273,305)

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Sensitivity analysis, importance measures, model uncertainty, risk measures, dependence, Rosenblatt transform

13.

A Theory of Multivariate Stress Testing

Number of pages: 42 Posted: 23 Nov 2021 Last Revised: 03 Dec 2021
Pietro Millossovich, Andreas Tsanakas and Ruodu Wang
The Business School (formerly Cass), Bayes Business School (formerly Cass), City, University of London and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 135 (290,426)

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Stress testing, dependence, change of measure, risk measure, probability distortion, systemic risk.

14.

A Comparison between Different Numerical Schemes for the Valuation of Unit-Linked Contracts Embedding a Surrender Option

Number of pages: 12 Posted: 25 Nov 2012
Anna Rita Bacinello, Pietro Millossovich and Alvaro Montealegre
University of Trieste - Dipartimento di Matematica Applicata, The Business School (formerly Cass) and Banco Santander
Downloads 65 (460,114)

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15.

Robustness Regions for Measures of Risk Aggregation

Dependence Modelling (Forthcoming)
Number of pages: 21 Posted: 08 Oct 2016 Last Revised: 22 Nov 2016
Silvana M. Pesenti, Pietro Millossovich and Andreas Tsanakas
University of Toronto, The Business School (formerly Cass) and Bayes Business School (formerly Cass), City, University of London
Downloads 53 (506,521)
Citation 3

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Convex risk measures, Aggregation, Value-at-Risk, Robustness, Continuity

16.

Sensitivity analysis with $\chi^2$-divergences

Number of pages: 28 Posted: 18 Feb 2021
Vaishno Devi Makam, Pietro Millossovich and Andreas Tsanakas
The Business School (formerly Cass), City, University of London, The Business School (formerly Cass) and Bayes Business School (formerly Cass), City, University of London
Downloads 51 (515,042)

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Sensitivity analysis, $\chi^2$-divergence, Kullback-Leiber divergence, simulation, sensitivity measures, reverse stress testing

17.

Reverse Sensitivity Testing: What Does It Take to Break the Model?

European Journal of Operational Research, Forthcoming
Number of pages: 28 Posted: 03 Nov 2018
Silvana M. Pesenti, Pietro Millossovich and Andreas Tsanakas
University of Toronto, The Business School (formerly Cass) and Bayes Business School (formerly Cass), City, University of London
Downloads 47 (532,894)
Citation 2

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Robustness and Sensitivity Analysis, Risk Management, Value-at-Risk, Expected Shortfall, Stress Testing

18.

Euler Allocations in the Presence of Non-Linear Reinsurance: Comment on Major (2018)

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 6 Posted: 10 Oct 2018
Silvana M. Pesenti, Andreas Tsanakas and Pietro Millossovich
University of Toronto, Bayes Business School (formerly Cass), City, University of London and The Business School (formerly Cass)
Downloads 22 (678,784)

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Distortion Risk Measures, Capital Allocation, Euler Allocation, Aumann-Shapley, Reinsurance, Aggregation

19.

On the Market-Consistent Valuation of Participating Life Insurance Heterogeneous Contracts under Longevity Risk

Risks 9, no. 1: 20. https://doi.org/10.3390/risks9010020
Number of pages: 18 Posted: 12 Mar 2021
Anna Rita Bacinello, An Chen, Thorsten Sehner and Pietro Millossovich
University of Trieste - Dipartimento di Matematica Applicata, Ulm University - Institute of Insurance Science, affiliation not provided to SSRN and The Business School (formerly Cass)
Downloads 21 (686,307)

Abstract:

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participating life insurance, heterogeneous policyholders, market-consistent valuation, longevity risk, fair contract analysis