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

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3,552

CITATIONS
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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 527 (47,843)
Citation 1

Abstract:

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

2.

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 473 (55,020)
Citation 10

Abstract:

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

3.
Downloads 418 ( 63,805)
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 284 (98,822)
Citation 3

Abstract:

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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 Economia and University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti
Downloads 134 (200,132)
Citation 3

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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 385 (70,365)
Citation 6

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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 337 (82,170)
Citation 1

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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 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 303 (92,514)
Citation 1

Abstract:

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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 293 (96,010)

Abstract:

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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 210 (134,814)

Abstract:

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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 201 (140,479)

Abstract:

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

10.

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 115 (224,256)

Abstract:

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post-retirement income, annuity benefits, living benefits

11.

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 106 (239,257)

Abstract:

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Mortality projections, Mortality trends, Multi-population mortality models

12.

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 Department of Statistics and Quantitative Methods University of Milano-Bicocca
Downloads 73 (300,465)

Abstract:

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Longevity; Bootstrap; Life annuity; Mortality law

13.

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 67 (314,881)

Abstract:

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

14.

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 44 (382,657)

Abstract:

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