Variable annuities: A unifying valuation approach AR Bacinello, P Millossovich, A Olivieri, E Pitacco Insurance: Mathematics and Economics 49 (3), 285-297, 2011 | 234 | 2011 |
StMoMo: An R package for stochastic mortality modelling A Villegas, VK Kaishev, P Millossovich 7th Australasian Actuarial Education and Research Symposium, 2015 | 223 | 2015 |
The fair value of guaranteed annuity options E Biffis, P Millossovich Scandinavian Actuarial Journal 2006 (1), 23-41, 2006 | 105 | 2006 |
Regression-based algorithms for life insurance contracts with surrender guarantees AR Bacinello, E Biffis, P Millossovich Quantitative Finance 10 (9), 1077-1090, 2010 | 92 | 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 | 87 | 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 | 79 | 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 | 75 | 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 | 72 | 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 | 52 | 2016 |
Sensitivity analysis using risk measures A Tsanakas, P Millossovich Risk Analysis 36 (1), 30-48, 2016 | 51 | 2016 |
A bidimensional approach to mortality risk E Biffis, P Millossovich Decisions in Economics and Finance 29, 71-94, 2006 | 49 | 2006 |
Optimal insurance with counterparty default risk E Biffis, P Millossovich Available at SSRN 1634883, 2012 | 25 | 2012 |
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 | 22 | 2019 |
Sex-specific mortality forecasting for UK countries: a coherent approach RY Chen, P Millossovich European actuarial journal 8, 69-95, 2018 | 20 | 2018 |
The impact of longevity and investment risk on a portfolio of life insurance liabilities AR Bacinello, P Millossovich, A Chen European Actuarial Journal 8 (2), 257-290, 2018 | 19 | 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 | 19 | 1997 |
Cascade sensitivity measures SM Pesenti, P Millossovich, A Tsanakas Risk Analysis 41 (12), 2392-2414, 2021 | 14 | 2021 |
Robustness regions for measures of risk aggregation SM Pesenti, P Millossovich, A Tsanakas Dependence Modeling 4 (1), 000010151520160020, 2016 | 11 | 2016 |
A theory of multivariate stress testing P Millossovich, A Tsanakas, R Wang Available at SSRN 3966204, 2021 | 9 | 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 | 9 | 2021 |