Ermanno Pitacco

MIB Trieste School of Management

Trieste, Trieste 34100

Italy

SCHOLARLY PAPERS

18

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4,900

SSRN CITATIONS
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Top 25,216

in Total Papers Citations

28

CROSSREF CITATIONS

9

Scholarly Papers (18)

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
MIB Trieste School of Management
Downloads 650 (61,973)

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 Scienze Economiche e Aziendali and MIB Trieste School of Management
Downloads 542 (78,178)
Citation 11

Abstract:

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

3.

Variable Annuities: A Unifying Valuation Approach

Number of pages: 28 Posted: 20 Apr 2011 Last Revised: 05 Oct 2012
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 507 (84,702)
Citation 17

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

4.
Downloads 480 (91,276)
Citation 2

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 MIB Trieste School of Management
Downloads 318 (143,434)
Citation 4

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 Scienze Economiche e Aziendali and MIB Trieste School of Management
Downloads 162 (278,602)

Abstract:

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5.

Mortality of Disabled People

Number of pages: 16 Posted: 26 Jan 2012 Last Revised: 30 Apr 2012
Ermanno Pitacco
MIB Trieste School of Management
Downloads 420 (106,248)
Citation 8

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

6.

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 MIB Trieste School of Management
Downloads 420 (105,935)
Citation 2

Abstract:

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Multistate models, Markov models, disability annuities, health insurance

7.

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, MIB Trieste School of Management and The Business School (formerly Cass)
Downloads 348 (131,141)

Abstract:

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8.

Life Annuities. Products, Guarantees, Basic Actuarial Models.

Number of pages: 90 Posted: 19 Dec 2016 Last Revised: 22 Mar 2017
Ermanno Pitacco
MIB Trieste School of Management
Downloads 310 (149,251)
Citation 1

Abstract:

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post-retirement income, annuity benefits, living benefits

9.

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

Number of pages: 40 Posted: 15 Jan 2013
Ermanno Pitacco
MIB Trieste School of Management
Downloads 277 (166,677)
Citation 7

Abstract:

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

10.

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 MIB Trieste School of Management
Downloads 267 (173,050)

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

11.

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 MIB Trieste School of Management
Downloads 169 (265,773)
Citation 3

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

12.

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 Scienze Economiche e Aziendali and MIB Trieste School of Management
Downloads 130 (326,520)
Citation 1

Abstract:

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Mortality projections, Mortality trends, Multi-population mortality models

13.

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
MIB Trieste School of Management and Polytechnic University of Milan - Department of Mathematics
Downloads 104 (382,789)

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Longevity; Bootstrap; Life annuity; Mortality law

14.

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
MIB Trieste School of Management
Downloads 98 (398,234)

Abstract:

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

15.

Actuarial Mathematics. Time-Continuous Models for Life Insurance

Number of pages: 97 Posted: 18 Nov 2021 Last Revised: 22 Feb 2022
Ermanno Pitacco and Daniela Tabakova
MIB Trieste School of Management and MIB Trieste School of Management
Downloads 97 (400,862)

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Life insurance, Biometric models, Actuarial values, Premiums, Mathematical reserves, Expected profits

16.

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 MIB Trieste School of Management
Downloads 62 (521,902)

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

17.

Special-Rate Life Annuities: Analysis of Portfolio Risk Profiles

Number of pages: 29 Posted: 24 Mar 2022
Ermanno Pitacco and Daniela Tabakova
MIB Trieste School of Management and MIB Trieste School of Management
Downloads 19 (773,554)

Abstract:

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Life annuities. Standard annuities. Underwritten annuities, Enhanced annuities, Impaired annuities, Preferred risks, Substandard lives

18.

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 MIB Trieste School of Management

Abstract:

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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