Ermanno Pitacco

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

Piazzale Europa 1

Trieste, Trieste 34100

Italy

SCHOLARLY PAPERS

14

DOWNLOADS
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Top 12,126

in Total Papers Downloads

3,232

CITATIONS
Rank 15,872

SSRN RANKINGS

Top 15,872

in Total Papers Citations

22

Scholarly Papers (14)

1.

From Halley to Frailty: A Review of Survival Models for Actuarial Calculations

Giornale dell'Istituto Italiano degli Attuari
Number of pages: 27 Posted: 14 Jun 2005
Ermanno Pitacco
University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti
Downloads 435 (44,738)
Citation 1

Abstract:

Early actuarial models, Mortality laws, Multistate models, Heterogeneity, Mortality projections

2.
Downloads 399 ( 60,223)
Citation 3

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 Economia and University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti
Downloads 273 (92,459)
Citation 3

Abstract:

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 Economia and University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti
Downloads 126 (190,151)
Citation 3

Abstract:

3.

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 Economia and University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti
Downloads 399 (51,229)
Citation 10

Abstract:

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

4.

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 Economia and University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti
Downloads 272 (70,453)
Citation 6

Abstract:

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

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 Economia and University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti
Downloads 255 (82,030)
Citation 1

Abstract:

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 Economia, University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti and City University London - Sir John Cass Business School
Downloads 245 (88,343)
Citation 1

Abstract:

7.

Mortality of Disabled People

Number of pages: 16 Posted: 26 Jan 2012 Last Revised: 30 Apr 2012
Ermanno Pitacco
University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti
Downloads 156 (105,492)

Abstract:

Disability insurance, Disability annuities, Income protection, Extramortality, Substandard risks, Impaired lives, Life tables

8.

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 Economia and University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti
Downloads 148 (134,809)

Abstract:

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

9.

From 'Benefits' to 'Guarantees': Looking at Life Insurance Products in a New Framework

Number of pages: 40 Posted: 15 Jan 2013
Ermanno Pitacco
University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti
Downloads 146 (141,080)

Abstract:

participating policies, life annuities, annuitization, variable annuities, longevity risk, ERM approach, product design

10.

Forecasting Mortality for Small Populations by Mixing Mortality Data

Number of pages: 33 Posted: 01 Aug 2013
University of Ljubljana - Faculty of Economics, JMD Consulting Ltd, University of Parma - Dipartimento di Economia and University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti
Downloads 65 (240,661)

Abstract:

Mortality projections, Mortality trends, Multi-population mortality models

11.

Contributions to the Topic: Insurances of the Person in: Giornale Dell'Istituto Italiano Degli Attuari (1930-2003)

Number of pages: 26 Posted: 23 Sep 2010 Last Revised: 24 Sep 2010
Ermanno Pitacco
University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti
Downloads 46 (298,412)

Abstract:

Life insurance products, Variable benefits, Health insurance products, Portfolio analysis, Life & Health insurance company, Life & Health insurance market

12.

Life Annuities. Products, Guarantees, Basic Actuarial Models.

Number of pages: 90 Posted: 19 Dec 2016 Last Revised: 22 Mar 2017
Ermanno Pitacco
University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti
Downloads 0 (259,082)

Abstract:

post-retirement income, annuity benefits, living benefits

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 Economia and University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti
Downloads 0 (369,502)

Abstract:

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

14.

Assessing Longevity Risk in a Portfolio of Life Annuities

Number of pages: 25 Posted: 05 Sep 2016 Last Revised: 28 Sep 2016
Ermanno Pitacco and Edit Rroji
University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti and 1Department of Statistics and Quantitative Methods University of Milano-Bicocca
Downloads 0 (325,119)

Abstract:

Longevity; Bootstrap; Life annuity; Mortality law