Anna Rita Bacinello

University of Trieste - Dipartimento di Matematica Applicata

Piazzale Europa, 1

Trieste, 34127

Italy

  • University of Trieste - Dipartimento di Matematica Applicata

SCHOLARLY PAPERS

6

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Scholarly Papers (6)

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1.

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 553 (76,325)
Citation 3

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

2.

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 509 (84,621)
Citation 17

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

3.

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 490 (88,646)
Citation 6

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

4.

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 349 (131,198)

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5.

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 76 (467,074)

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6.

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 30 (690,566)

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