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Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 and Tsanakas, A.
ORCID: 0000-0003-4552-5532 (2021).
Cascade sensitivity measures.
Risk Analysis: an international journal,
Pesenti, S. M., Bettini, A., Millossovich, P. ORCID: 0000-0001-8269-7507 and Tsanakas, A.
ORCID: 0000-0003-4552-5532 (2021).
Scenario Weights for Importance Measurement (SWIM) – an R package for sensitivity analysis.
Annals of Actuarial Science,
Millossovich, P. ORCID: 0000-0001-8269-7507, Bacinello, A. R., Chen, A. and Sehner, T. (2021).
On the Market-Consistent Valuation of Participating Life Insurance Heterogeneous Contracts under Longevity Risk.
Risks,
Makam, V., Millossovich, P. and Tsanakas, A. ORCID: 0000-0003-4552-5532 (2021).
Sensitivity analysis with χ2-divergences.
Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 and Tsanakas, A.
ORCID: 0000-0003-4552-5532 (2018).
Reverse sensitivity testing: What does it take to break the model?.
European Journal of Operational Research,
doi: 10.1016/j.ejor.2018.10.003
Bacinello, A. R., Millossovich, P. and Chen, A. (2018). Longevity impact on life insurers in low interest rate environment. The European Actuary, 18(2018), pp. 16-18.
Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 and Tsanakas, A.
ORCID: 0000-0003-4552-5532 (2018).
Euler allocations in the presence of non-linear reinsurance: comment on Major (2018).
Insurance: Mathematics and Economics,
doi: 10.1016/j.insmatheco.2018.09.001
Bacinello, A. R., Chen, A. and Millossovich, P. ORCID: 0000-0001-8269-7507 (2018).
The impact of longevity and investment risk on a portfolio of life insurance liabilities.
European Actuarial Journal,
doi: 10.1007/s13385-018-0175-5
Chen, R. and Millossovich, P. (2018). Sex-specific mortality forecasting for UK countries: a coherent approach. European Actuarial Journal, 8(1), pp. 69-95. doi: 10.1007/s13385-017-0164-0
Millossovich, P., Villegas, A.M. and Kaishev, V. K. (2018). StMoMo: An R Package for Stochastic Mortality Modelling. Journal of Statistical Software, 84(3), doi: 10.18637/jss.v084.i03
Villegas, A., Haberman, S., Kaishev, V. K. and Millossovich, P. (2017). A comparative study of two population models for the assessment of basis risk in longevity hedges. ASTIN Bulletin, 47(3), pp. 631-679. doi: 10.1017/asb.2017.18
Pesenti, S. M., Millossovich, P. and 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. and 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. and 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. and 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
Millossovich, P., Haberman, S., Kaishev, V. K., Baxter, S., Gaches, A., Gunnlaugsson, S. and 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. and Pitacco, E. (2010). Variable Annuities: Risk Identification and Risk Assessment (CAREFIN Research Paper No. 14/2010). Milan, Italy: BAFFI CAREFIN, Bocconi University.
Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 and Tsanakas, A.
ORCID: 0000-0003-4552-5532 (2018).
Euler allocations in the presence of non-linear reinsurance: comment on Major (2018).
.
Pesenti, S. M., Millossovich, P. and Tsanakas, A. (2018). Reverse sensitivity testing: What does it take to break the model?. .
Biffis, E. and Millossovich, P. (2011). Optimal Insurance with Counterparty Default Risk. SSRN.
Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 and Tsanakas, A.
ORCID: 0000-0003-4552-5532
Cascade Sensitivity Measures.
.