Annamaria Olivieri

University of Parma - Dipartimento di Scienze Economiche e Aziendali

via Kennedy 6

Parma, 43125

Italy

SCHOLARLY PAPERS

14

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3,484

SSRN CITATIONS
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Top 22,704

in Total Papers Citations

20

CROSSREF CITATIONS

15

Scholarly Papers (14)

1.

Solvency Requirements for Life Annuities: Some Comparisons

Number of pages: 22 Posted: 11 Sep 2008
Annamaria Olivieri and Ermanno Pitacco
University of Parma - Dipartimento di Scienze Economiche e Aziendali and University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti
Downloads 494 (59,614)
Citation 11

Abstract:

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target capital, internal models, regulatory requirements, longevity risk, capital allocation

2.
Downloads 437 ( 69,197)
Citation 1

Stochastic Mortality: The Impact on Target Capital

University Bocconi - CAREFIN Working Paper
Number of pages: 22 Posted: 22 Oct 2008 Last Revised: 23 Sep 2009
Annamaria Olivieri and Ermanno Pitacco
University of Parma - Dipartimento di Scienze Economiche e Aziendali and University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti
Downloads 297 (107,074)
Citation 4

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Life annuities, Random fluctuations, Systematic deviations, Process risk, Longevity risk, Solvency, Insurance risk management, Internal models

Stochastic Mortality: The Impact on Target Capital

CAREFIN Research Paper No. 15/08
Number of pages: 26 Posted: 08 May 2010
Annamaria Olivieri and Ermanno Pitacco
University of Parma - Dipartimento di Scienze Economiche e Aziendali and University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti
Downloads 140 (218,197)

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3.

Variable Annuities: A Unifying Valuation Approach

Number of pages: 28 Posted: 20 Apr 2011 Last Revised: 05 Oct 2012
City University London - Sir John Cass Business School, University of Trieste - Dipartimento di Matematica Applicata, University of Parma - Dipartimento di Scienze Economiche e Aziendali and University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti
Downloads 423 (72,005)
Citation 17

Abstract:

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

4.

Designing Longevity Risk Transfers: The Point of View of the Cedant

Number of pages: 25 Posted: 14 Jun 2005
Annamaria Olivieri
University of Parma - Dipartimento di Scienze Economiche e Aziendali
Downloads 419 (72,862)
Citation 2

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Mortality trends, longevity risk, reserving, solvency requirements, target capital, internal models, XL risk transfer, Stop-Loss risk transfer, reinsurance, longevity bond

5.

Stochastic Models for Disability: Approximations and Applications to Sickness and Personal Accident Insurance

Number of pages: 25 Posted: 11 Sep 2008
Annamaria Olivieri and Ermanno Pitacco
University of Parma - Dipartimento di Scienze Economiche e Aziendali and University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti
Downloads 364 (86,100)
Citation 2

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Multistate models, Markov models, disability annuities, health insurance

6.

Variable Annuities: Risk Identification and Risk Assessment

CAREFIN Research Paper No. 14/2010
Number of pages: 48 Posted: 05 Apr 2011
University of Trieste - Dipartimento di Matematica Applicata, University of Parma - Dipartimento di Scienze Economiche e Aziendali, University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti and City University London - Sir John Cass Business School
Downloads 321 (98,849)

Abstract:

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7.

Life Tables in Actuarial Models: From the Deterministic Setting to a Bayesian Approach

Number of pages: 22 Posted: 08 May 2011 Last Revised: 20 May 2011
Annamaria Olivieri and Ermanno Pitacco
University of Parma - Dipartimento di Scienze Economiche e Aziendali and University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti
Downloads 223 (144,335)

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Deterministic mortality, Stochastic mortality, Life annuities, Random fluctuations, Systematic deviations, Process risk, Uncertainty risk, Longevity risk, Bayesian inference

8.

Heterogeneity in Survival Models - Applications to Pensions and Life Annuities

Number of pages: 33 Posted: 13 Jul 2006
Annamaria Olivieri
University of Parma - Dipartimento di Scienze Economiche e Aziendali
Downloads 214 (150,120)
Citation 10

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frailty, risk factors, differential mortality models, standard and population mortality, actuarial valuation

9.

Stochastic Mortality: Experience-Based Modeling and Application Issues Consistent with Solvency 2

Number of pages: 24 Posted: 12 Dec 2009 Last Revised: 16 Dec 2009
Annamaria Olivieri
University of Parma - Dipartimento di Scienze Economiche e Aziendali
Downloads 181 (175,248)
Citation 2

Abstract:

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Life annuities, Random fluctuations, Systematic deviations, Process risk, Longevity risk, Solvency

10.

Life Insurer Longevity Risk Management, Solvency and Shareholder Value

UNSW Australian School of Business Research Paper No. 2013ACTL20
Number of pages: 34 Posted: 26 Nov 2013 Last Revised: 02 Dec 2013
University of New South Wales (UNSW) - School of Actuarial Studies, UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR), University of Parma - Dipartimento di Scienze Economiche e Aziendali and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 144 (212,856)

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longevity risk, capital management, solvency, reinsurance, securitization

11.

Forecasting Mortality for Small Populations by Mixing Mortality Data

Number of pages: 33 Posted: 01 Aug 2013
Ales Ahcan, Darko Medved, Annamaria Olivieri and Ermanno Pitacco
University of Ljubljana - Faculty of Economics, JMD Consulting Ltd, University of Parma - Dipartimento di Scienze Economiche e Aziendali and University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti
Downloads 116 (251,399)
Citation 1

Abstract:

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Mortality projections, Mortality trends, Multi-population mortality models

12.

Linking Annuity Benefits to the Longevity Experience: A General Framework

Number of pages: 29 Posted: 11 Feb 2019
Annamaria Olivieri and Ermanno Pitacco
University of Parma - Dipartimento di Scienze Economiche e Aziendali and University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti
Downloads 97 (284,412)
Citation 3

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Longevity-Linked Annuities, Longevity Risk Participating Annuities, Aggregate Longevity Risk, Longevity Guarantee

13.

Frailty and Risk Classification for a Life Annuity Portfolio

Number of pages: 29 Posted: 17 Sep 2016
Annamaria Olivieri and Ermanno Pitacco
University of Parma - Dipartimento di Scienze Economiche e Aziendali and University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti
Downloads 51 (404,249)

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Voluntary annuities, Underwritten annuities, Heterogeneity, Standard risk, Substandard risk, Preferred risk, Issue-select mortality rates.

14.

Longevity-Linked Annuities: How to Preserve Value Creation Against Longevity Risk

Posted: 02 Oct 2019
Annamaria Olivieri and Ermanno Pitacco
University of Parma - Dipartimento di Scienze Economiche e Aziendali and University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti

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Longevity risk participating annuities, Aggregate longevity risk, Longevity guarantee, Business value, Present value of future profits, Cost of capital, Market consistent embedded value