Pietro Millossovich

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Sensitivity analysis with \(\chi^2\)-divergences Insurance Mathematics & Economics	2021-10-19	Paper
A notion of coherent revision for arbitrary random quantities Journal of the Italian Statistical Society	2020-09-29	Paper
The impact of longevity and investment risk on a portfolio of life insurance liabilities European Actuarial Journal	2019-09-03	Paper
Reverse sensitivity testing: what does it take to break the model? European Journal of Operational Research	2018-12-18	Paper
A comparison between different numerical schemes for the valuation of unit-linked contracts embedding a surrender option Mathematical and Statistical Methods for Actuarial Sciences and Finance	2018-12-13	Paper
Euler allocations in the presence of nonlinear reinsurance: comment on Major (2018) Insurance Mathematics & Economics	2018-11-19	Paper
Sex-specific mortality forecasting for UK countries: a coherent approach European Actuarial Journal	2018-10-31	Paper
The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours Scandinavian Actuarial Journal	2018-07-11	Paper
A comparative study of two-population models for the assessment of basis risk in longevity hedges ASTIN Bulletin	2018-06-04	Paper
Robustness regions for measures of risk aggregation Dependence Modeling	2016-12-20	Paper
Forecasting mortality in subpopulations using Lee-Carter type models: a comparison Insurance Mathematics & Economics	2015-05-26	Paper
Regression-based algorithms for life insurance contracts with surrender guarantees Quantitative Finance	2011-04-29	Paper
Pricing life insurance contracts with early exercise features Journal of Computational and Applied Mathematics	2009-10-09	Paper
The fair value of guaranteed annuity options Scandinavian Actuarial Journal	2007-05-29	Paper
A bidimensional approach to mortality risk Decisions in Economics and Finance	2007-05-24	Paper

Research outcomes over time

This page was built for person: Pietro Millossovich