Sfoglia per Autore
A methodology for assessing basis risk ‐ Abstract of the London Discussion
2015-01-01 D; Villegas, Bugg B. S. ; Baxter S.; Millossovich, Pietro; G; Rimmer, A. J.; ; Shaffer, S.; ; Lu, D. A D. A.; L; Fitzgibbon, J.; F;gaches, R. S.; G; Bajekal, A. T.; B; Sagoo, M.; P. J. K., S; Ashmore, ;; A;jeffery, M.; A. J., F
Sensitivity Analysis Using Risk Measures
2016-01-01 Tsanakas, Andreas; Millossovich, Pietro
The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
2016-01-01 Bacinello, ANNA RITA; Millossovich, Pietro; Montealegre, Alvaro
Robustness regions for measures of risk aggregation
2016-01-01 Pesenti, Silvana M.; Millossovich, Pietro; Tsanakas, Andreas
A comparative study of two-population models for the assessment of basis risk in longevity hedges
2017-01-01 Andrés, M. Villegas; Steven, Haberman; Vladimir, K. Kaishev; Millossovich, Pietro
The Impact of Longevity and Investment Risk on a Portfolio of Life Insurance Liabilities
2017-01-01 Bacinello, ANNA RITA; Millossovich, Pietro; Chen, An
Longevity Impact on Life Insurers in Low Interest Rate Environment
2018-01-01 Bacinello, ANNA RITA; Millossovich, Pietro; Chen, An
Euler allocations in the presence of non-linear reinsurance: Comment on Major (2018)
2018-01-01 Pesenti, Silvana M.; Tsanakas, Andreas; Millossovich, Pietro
The Impact of Longevity and Investment Risk on a Portfolio of Life Insurance Liabilities
2018-01-01 Bacinello, ANNA RITA; Millossovich, Pietro; Chen, An
Sex-specific mortality forecasting for UK countries: a coherent approach
2018-01-01 Chen, Yongqing; Millossovich, Pietro
StMoMo: Stochastic Mortality Modeling in R
2018-01-01 Andres, Villegas; Millossovich, Pietro; Vladimir, Kaishev
Reverse sensitivity testing: What does it take to break the model?
2019-01-01 Pesenti, S. M.; Millossovich, P.; Tsanakas, A.
On the optimal design of participating life insurance contracts
2020-01-01 Bacinello, ANNA RITA; Corsato, Chiara; Millossovich, Pietro
SWIMming Lessons
2020-01-01 Millossovich, Pietro; Pesenti, Silvana; Bettini, Alberto; Tsanakas, Andreas
On the valuation of the initiation option in a GLWB variable annuity
2021-01-01 Bacinello, ANNA RITA; Millossovich, Pietro
Monte Carlo Valuation of Future Annuity Contracts
2021-01-01 Bacinello, A. R.; Millossovich, P.; Viviano, F.
An Efficient Monte Carlo Based Approach for the Simulation of Future Annuity Values
2021-01-01 Bacinello, ANNA RITA; Millossovich, Pietro; Viviano, Fabio
Cascade Sensitivity Measures
2021-01-01 Pesenti, Silvana M.; Millossovich, Pietro; Tsanakas, Andreas
Scenario Weights for Importance Measurement (SWIM) – an R package for sensitivity analysis
2021-01-01 Pesenti, Silvana M.; Bettini, Alberto; Millossovich, Pietro; Tsanakas, Andreas
On the Market-Consistent Valuation of Participating Life Insurance Heterogeneous Contracts under Longevity Risk
2021-01-01 Bacinello, ANNA RITA; Chen, An; Sehner, Thorsten; Millossovich, Pietro
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