Publications
36 results found
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
Biffis E, Blake D, 2008, Securitizing and tranching longevity exposures, Publisher: Pensions Institute, London, PI-0824
Biffis E, Millossovich P, 2007, The fair value of guaranteed annuity options, Scandinavian Actuarial Journal, Vol: 1, Pages: 23-41, ISSN: 0346-1238
Biffis E, Milllossovich P, 2006, A bidimensional approach to mortality risk, Decisions in Economics and Finance, Vol: 29, Pages: 71-94, ISSN: 1593-8883
Biffis E, 2005, Affine processes for dynamic mortality and actuarial valuations, Insurance: Mathematics and Economics, Vol: 37, Pages: 443-468, ISSN: 0167-6687
We address the risk analysis and market valuation of life insurance contracts in a jump-diffusion setup. We exploit the analytical tractability of affine processes to deal simultaneously with financial and demographic risks affecting a wide range of insurance covers. We then focus on mortality at pensionable ages and show how the risk of longevity can be taken into account. A parallel with the pricing of certain credit risky securities is drawn, in order to employ important results derived in that field. (c) 2005 Elsevier B.V. All rights reserved.
Biffis E, Denuit M, 2005, 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
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