Pietro Millossovich
Pietro Millossovich
Bayes Business School
Verified email at - Homepage
Cited by
Cited by
Variable annuities: A unifying valuation approach
AR Bacinello, P Millossovich, A Olivieri, E Pitacco
Insurance: Mathematics and Economics 49 (3), 285-297, 2011
StMoMo: An R package for stochastic mortality modelling
A Villegas, VK Kaishev, P Millossovich
7th Australasian Actuarial Education and Research Symposium, 2015
The fair value of guaranteed annuity options
E Biffis, P Millossovich
Scandinavian Actuarial Journal 2006 (1), 23-41, 2006
Regression-based algorithms for life insurance contracts with surrender guarantees
AR Bacinello, E Biffis, P Millossovich
Quantitative Finance 10 (9), 1077-1090, 2010
Pricing life insurance contracts with early exercise features
AR Bacinello, E Biffis, P Millossovich
Journal of computational and applied mathematics 233 (1), 27-35, 2009
Forecasting mortality in subpopulations using Lee–Carter type models: A comparison
IL Danesi, S Haberman, P Millossovich
Insurance: Mathematics and Economics 62, 151-161, 2015
A comparative study of two-population models for the assessment of basis risk in longevity hedges
AM Villegas, S Haberman, VK Kaishev, P Millossovich
ASTIN Bulletin: The Journal of the IAA 47 (3), 631-679, 2017
Longevity Basis Risk: A methodology for assessing basis risk
S Haberman, VK Kaishev, P Millossovich, AM Villegas, S Baxter, ...
Institute and Faculty of Actuaries Sessional Research Paper. URL http://www …, 2014
The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
AR Bacinello, P Millossovich, A Montealegre
Scandinavian Actuarial Journal 2016 (5), 446-465, 2016
Sensitivity analysis using risk measures
A Tsanakas, P Millossovich
Risk Analysis 36 (1), 30-48, 2016
A bidimensional approach to mortality risk
E Biffis, P Millossovich
Decisions in Economics and Finance 29, 71-94, 2006
Optimal insurance with counterparty default risk
E Biffis, P Millossovich
Available at SSRN 1634883, 2012
Sex-specific mortality forecasting for UK countries: a coherent approach
RY Chen, P Millossovich
European actuarial journal 8, 69-95, 2018
Reverse sensitivity testing: What does it take to break the model?
SM Pesenti, P Millossovich, A Tsanakas
European Journal of Operational Research 274 (2), 654-670, 2019
The impact of longevity and investment risk on a portfolio of life insurance liabilities
AR Bacinello, P Millossovich, A Chen
European Actuarial Journal 8, 257-290, 2018
A notion of coherent revision for arbitrary random quantities
L Crisma, P Gigante, P Millossovich
Journal of the Italian Statistical Society 6, 233-243, 1997
Cascade sensitivity measures
SM Pesenti, P Millossovich, A Tsanakas
Risk Analysis 41 (12), 2392-2414, 2021
Robustness regions for measures of risk aggregation
SM Pesenti, P Millossovich, A Tsanakas
Dependence Modeling 4 (1), 000010151520160020, 2016
A theory of multivariate stress testing
P Millossovich, A Tsanakas, R Wang
Available at SSRN 3966204, 2021
Scenario Weights for Importance Measurement (SWIM)–an R package for sensitivity analysis
SM Pesenti, A Bettini, P Millossovich, A Tsanakas
Annals of Actuarial Science 15 (2), 458-483, 2021
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