Imperial College London

DrEnricoBiffis

Business School

Associate Professor of Actuarial Finance
 
 
 
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Contact

 

+44 (0)20 7594 9767e.biffis

 
 
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Location

 

4.0453 Prince's GateSouth Kensington Campus

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Summary

 

Publications

Publication Type
Year
to

27 results found

Biffis E, Chavez E, 2017, Satellite Data and Machine Learning for Weather Risk Management and Food Security, RISK ANALYSIS, Vol: 37, Pages: 1508-1521, ISSN: 0272-4332

JOURNAL ARTICLE

Biffis E, Lin Y, Milidonis A, 2017, The Cross-Section of Asia-Pacific Mortality Dynamics: Implications for Longevity Risk Sharing, JOURNAL OF RISK AND INSURANCE, Vol: 84, Pages: 515-532, ISSN: 0022-4367

JOURNAL ARTICLE

Eastwood JP, Biffis E, Hapgood MA, Green L, Bisi MM, Bentley RD, Wicks R, McKinnell L-A, Gibbs M, Burnett Cet al., 2017, The Economic Impact of Space Weather: Where Do We Stand?, RISK ANALYSIS, Vol: 37, Pages: 206-218, ISSN: 0272-4332

JOURNAL ARTICLE

Biffis E, Blake D, Pitotti L, Sun Aet al., 2016, The Cost of Counterparty Risk and Collateralization in Longevity Swaps, JOURNAL OF RISK AND INSURANCE, Vol: 83, Pages: 387-419, ISSN: 0022-4367

JOURNAL ARTICLE

Biffis E, Blake D, 2014, Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers, North American Actuarial Journal, Vol: 18, Pages: 14-21, ISSN: 1092-0277

JOURNAL ARTICLE

Biffis E, Chavez E, 2014, Tail Risk in Commercial Property Insurance, Risks, Vol: 2, Pages: 393-410

JOURNAL ARTICLE

Biffis E, Kosowski R, 2014, Managing Capital Market Risk for Retirement, Recreating Sustainable Retirement: Extreme Risk and Pension Security, Editors: Maurer, Mitchell, Publisher: Oxford University Press

BOOK CHAPTER

Kosowski R, Biffis E, 2014, Recreating Sustainable Retirement: Resilience, Solvency, and Tail Risk, Recreating Sustainable Retirement: Resilience, Solvency, and Tail Risk, Editors: Mitchell, Maurer, Hammond, Publisher: Oxford University Press, ISBN: 9780191029974

This book analyzes such challenges to retirement sustainability, and it explores ways to better manage and finance them. Insights provided help build retirement systems capable of withstanding what the future will bring.

BOOK CHAPTER

Biffis E, Blake D, 2013, Informed Intermediation of Longevity Exposures, JOURNAL OF RISK AND INSURANCE, Vol: 80, Pages: 559-584, ISSN: 0022-4367

JOURNAL ARTICLE

Bacinello AR, Biffis E, Millossovich P, 2010, Regression-based algorithms for life insurance contracts with surrender guarantees, QUANTITATIVE FINANCE, Vol: 10, Pages: 1077-1090, ISSN: 1469-7688

JOURNAL ARTICLE

Biffis E, Blake D, 2010, Securitizing and tranching longevity exposures, INSURANCE MATHEMATICS & ECONOMICS, Vol: 46, Pages: 186-197, ISSN: 0167-6687

JOURNAL ARTICLE

Biffis E, Blake D, 2010, Mortality-linked securities and derivatives, Optimizing the Aging, Retirement and Pensions Dilemma, Editors: Bertocchi, Schwartz, Ziemba, Publisher: John Wiley & Sons

BOOK CHAPTER

Biffis E, Denuit M, Devolder P, 2010, Stochastic mortality under measure changes, Scandinavian Actuarial Journal, Vol: 2010, Pages: 284-311, ISSN: 0346-1238

JOURNAL ARTICLE

Biffis E, Kyprianou AE, 2010, A note on scale functions and the time value of ruin for Levy insurance risk processes, INSURANCE MATHEMATICS & ECONOMICS, Vol: 46, Pages: 85-91, ISSN: 0167-6687

JOURNAL ARTICLE

Biffis E, Morales M, 2010, On a generalization of the Gerber-Shiu function to path-dependent penalties, INSURANCE MATHEMATICS & ECONOMICS, Vol: 46, Pages: 92-97, ISSN: 0167-6687

JOURNAL ARTICLE

Bacinello AR, Biffis E, Millossovich P, 2009, Pricing life insurance contracts with early exercise features, JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, Vol: 233, Pages: 27-35, ISSN: 0377-0427

JOURNAL ARTICLE

Biffis E, Blake D, 2009, Mortality-linked securities and derivatives, Publisher: Pensions Institute, London, PI-0901

REPORT

Frankland R, Smith AD, Wilkins T, Varnell E, Holtham A, Biffis E, Ethun S, Dullaway Det al., 2009, Modelling extreme market events, British Actuarial Journal, Vol: 15, Pages: 99-217, ISSN: 1357-3217

JOURNAL ARTICLE

Biffis E, 2008, Pricing of life insurance liabilities, Encyclopedia of Quantitative Risk Assessment and Analysis, Editors: Melnick, Everitt, New York, Publisher: John Wiley & Sons

BOOK CHAPTER

Biffis E, Blake D, 2008, Securitizing and tranching longevity exposures, Publisher: Pensions Institute, London, PI-0824

REPORT

Biffis E, Millossovich P, 2008, Fair value of insurance liabilities, Encyclopedia of Quantitative Risk Assessment and Analysis, Editors: Melnick, Everitt, New York, Publisher: John Wiley & Sons

BOOK CHAPTER

Biffis E, Denuit M, 2006, Lee-Carter goes risk-neutral: An application to the Italian annuity market, Giornale dell'Istituto Italiano degli Attuari, Vol: LXIX, Pages: 33-53, ISSN: 0390-5780

JOURNAL ARTICLE

Biffis E, Millossovich P, 2006, The fair value of guaranteed annuity options, Scandinavian Actuarial Journal, Vol: 2006, Pages: 23-41, ISSN: 0346-1238

JOURNAL ARTICLE

Biffis E, Millossovich P, 2006, A bidimensional approach to mortality risk, Decisions in Economics and Finance, Vol: 29, Pages: 71-94, ISSN: 1593-8883

JOURNAL ARTICLE

Biffis E, 2005, Affine processes for dynamic mortality and actuarial valuations, INSURANCE MATHEMATICS & ECONOMICS, Vol: 37, Pages: 443-468, ISSN: 0167-6687

JOURNAL ARTICLE

Biffis E, Chavez E, On-line Appendix to "Satellite Data and Machine Learning for Weather Risk Management and Food Security", Risk Analysis, ISSN: 1539-6924

This Appendix provides additional technical details for the analysis contained in Biffis and Chavez (2017).

JOURNAL ARTICLE

Biffis E, Lin Y, Milidonis A, On-line appendix to "The Cross-Section of Asia-Pacific Mortality Dynamics:Implications for Longevity Risk Sharing", Journal of Risk and Insurance, ISSN: 1539-6975

JOURNAL ARTICLE

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