Items where City Author is "Millossovich, Pietro"

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Number of items: 9.

Article

Villegas, A., Haberman, S., Kaishev, V. K. & Millossovich, P. (2017). A comparative study of two population models for the assessment of basis risk in longevity hedges. ASTIN Bulletin,

Millossovich, P., Villegas, A.M. & Kaishev, V. K. (2017). StMoMo: An R Package for Stochastic Mortality Modelling. Journal of Statistical Software,

Pesenti, S. M., Millossovich, P. & Tsanakas, A. (2016). Robustness Regions for Measures of Risk Aggregation. Dependence Modeling, 4(1), pp. 348-367. doi: 10.1515/demo-2016-0020

Tsanakas, A. & Millossovich, P. (2016). Sensitivity analysis using risk measures. Risk Analysis: an international journal, 36(1), pp. 30-48. doi: 10.1111/risa.12434

Danesi, I. L., Haberman, S. & Millossovich, P. (2015). Forecasting mortality in subpopulations using Lee-Carter type models: A comparison. Insurance: Mathematics and Economics, 62, pp. 151-161. doi: 10.1016/j.insmatheco.2015.03.010

Bacinello, A. R., Millossovich, P. & Montealegre, A. (2014). The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours. Scandiavian Actuarial Journal, 2016(5), pp. 446-465. doi: 10.1080/03461238.2014.954608

Monograph

Biffis, E. & Millossovich, P. (2011). Optimal Insurance with Counterparty Default Risk. SSRN.

Report

Millossovich, P., Haberman, S., Kaishev, V. K., Baxter, S., Gaches, A., Gunnlaugsson, S. & Sison, M. (2014). Longevity Basis Risk A methodology for assessing basis risk. Institute and Faculty of Actuaries (IFA) , Life and Longevity Markets Association (LLMA).

Bacinello, A.R., Olivieri, A., Millossovich, P. & Pitacco, E. (2010). Variable Annuities: Risk Identification and Risk Assessment (Report No. CAREFIN Research Paper No. 14/2010). Milan, Italy: BAFFI CAREFIN, Bocconi University.

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