Pietro Millossovich

Available identifiers

Publication	Date of Publication	Type
Sensitivity analysis with \(\chi^2\)-divergences	2021-10-19	Paper
A notion of coherent revision for arbitrary random quantities	2020-09-29	Paper
The impact of longevity and investment risk on a portfolio of life insurance liabilities	2019-09-03	Paper
Reverse sensitivity testing: what does it take to break the model?	2018-12-18	Paper
A Comparison Between Different Numerical Schemes for the Valuation of Unit-Linked Contracts Embedding a Surrender Option	2018-12-13	Paper
Euler allocations in the presence of nonlinear reinsurance: comment on Major (2018)	2018-11-19	Paper
Sex-specific mortality forecasting for UK countries: a coherent approach	2018-10-31	Paper
The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours	2018-07-11	Paper
A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES	2018-06-04	Paper
Robustness regions for measures of risk aggregation	2016-12-20	Paper
Forecasting mortality in subpopulations using Lee-Carter type models: a comparison	2015-05-26	Paper
Regression-based algorithms for life insurance contracts with surrender guarantees	2011-04-29	Paper
Pricing life insurance contracts with early exercise features	2009-10-09	Paper
The fair value of guaranteed annuity options	2007-05-29	Paper
A bidimensional approach to mortality risk	2007-05-24	Paper

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