Portrait of Dr Pietro Millossovich

Dr Pietro Millossovich

Reader in Actuarial Finance

Bayes Business School , Faculty of Actuarial Science and Insurance

Contact

About

Overview

Pietro Millossovich is a Reader in Actuarial Science at the Faculty of Actuarial Science and Insurance, Bayes Business School (formerly Cass), City University, London since January 2012. Previously, he has been a Lecturer at the University of Trieste, Italy. Pietro Millossovich holds a B.Sc. in Statistics and Actuarial Science from the University of Trieste, a D.E.A. (Master) in Probability and Finance from the University of Paris VI and a Ph.D. in Mathematics Applied to Decisions in Economics and Finance from the University of Trieste. Pietro also currently holds a position at the University of Trieste.

Qualifications

  • PhD, University of Trieste, Trieste, Italy, October 1999 - September 2003
  • DEA, Pierre and Marie Curie University, Paris, France, October 1997 - September 1998
  • BSc, Statistics and Actuarial Science, University of Trieste, Trieste, Italy, October 1990 - September 1996

Employment

  • Senior Lecturer, Bayes Business School, United Kingdom, January 2012 - present
  • Lecturer, Universita di Trieste, Italy, September 2001 - present

Memberships of professional organisations

  • Fellow, AMASES, September 2004 - present

Awards

  • Institute and Faculty of Actuaries. (2020). Peter Clark Prize for Best Paper
    Awarded for paper: Pesenti, S. M., Millossovich, P., & Tsanakas, A. (2019). Reverse sensitivity testing: What does it take to break the model?. European Journal of Operational Research, 274(2), 654-670.
  • International Congress of Actuaries (2018). ICA 2018 BEST PAPER AWARDS - section: Aspects of Long-Term Savings: Uncertainty in Low Real Returns, Longevity and Inflation

Languages

French and Italian

Research

Research topics

Mortality Forecasting

Sensitivity of Risk Measures

Optimal Insurance

Guarantees in Life Insurance Products

Research students

Chen Shen

Attendance: October 2025 - present

Role: 1st Supervisor

Ziwei Chen

Attendance: October 2023 - present

Role: 2nd Supervisor

Matteo Dimai

Attendance: November 2021 - November 2024, full-time

Thesis title: Mortality Modeling For Regional Policy Planning

Role: External Supervisor

Luca De Mori

Attendance: October 2020 - present, full-time

Thesis title: Mortality Modelling

Role: 1st Supervisor

Fabio Viviano

Attendance: November 2018 - March 2022

Thesis title: Some Life Insurance Applications of Regression and Simulation Methods

Role: 1st Supervisor

Vaishno Devi Makam

Attendance: October 2018 - present

Role: 2nd Supervisor

Khadija Gasimova

Attendance: June 2018 - present

Role: 2nd Supervisor

Silvana Manuela Pesenti

Attendance: November 2015 - present

Thesis title: Sensitivity analysis and its application to solvency insurance

Role: 2nd Supervisor

Ivan Danesi

Attendance: January 2011 - March 2014

Thesis title: Forecasting Mortality in Subpopulations using Lee-Carter Type Models: A Comparison

Role: 2nd Supervisor

Alvaro Montealegre

Attendance: January 2009 - 2014, full-time

Thesis title: Numerical Methods for Pricing Complex Derivatives

Role: 2nd Supervisor

Massimiliano Kaucic

Attendance: January 2006 - April 2009, full-time

Thesis title: Evolutionary Computations for Trading Systems

Role: 1st Supervisor

Publications

Chapters (5)

  1. Bacinello, A.R., Millossovich, P. and Viviano, F. (2022). A Regression Based Approach for Valuing Longevity Measures. Mathematical and Statistical Methods for Actuarial Sciences and Finance (pp. 44-49). Springer International Publishing. ISBN 9783030996376.
  2. Bacinello, A.R., Millossovich, P. and Viviano, F. (2021). Monte Carlo Valuation of Future Annuity Contracts. Mathematical and Statistical Methods for Actuarial Sciences and Finance (pp. 57-62). Springer International Publishing. ISBN 9783030789640.
  3. Bacinello, A.R., Millossovich, P. and Montealegre, A. (2014). A Comparison between Different Numerical Schemes for the Valuation of Unit-Linked Contracts Embedding a Surrender Option. In Corazza, M. and Pizzi, C. (Eds.), Mathematical and Statistical Methods for Actuarial Sciences and Finance (pp. 27-40). Springer. ISBN 9783319024998.
  4. Bacinello, A.R., Millossovich, P., Olivieri, A. and Pitacco, E. (2012). Actuarial and financial mathematics conference. Interplay between Finance and Insurance. In Vanmaele, M., Deelstra, G., De Schepper, A., Dhaene, J., Schoutens, W., Vanduffel, S.... Vyncke, D. (Eds.), Proceedings of the Actuarial and financial mathematics conference. Interplay between Finance and Insurance 2012 (pp. 3-15). CONTACTFORUM.
  5. Biffis, E. and Millossovich, P. (2008). Fair Value of Insurance Liabilities. In Melnick, E. and Everitt, B. (Eds.), Encyclopedia of Quantitative Risk Assessment London: John Wiley & Sons.

Conference papers and proceedings (20)

  1. Millossovich, P. (2018). Monte Carlo Valuation of the Initiation Option in a GLWB Variable Annuity. 4th European Actuarial Journal Conference 9-11 September, Leuven.
  2. Millossovich, P., Villegas, A.M. and Kaishev, V.K. (2015). StMoMo: An R Package for Stochastic Mortality Modelling. 7th Australasian Actuarial Education and Research Symposium 7-8 December, Bond University, Robina, Gold Coast, Queensland, Australia.
  3. Haberman, S., Kaishev, V., Millossovich, P. and Villegas, A. (2014). A methodology for assessing basis risk. Institute and Faculty of Actuaries' (IFoA's) 2014 Pensions Conference 18-20 June, London, UK.
  4. Millossovich, P., Bacinello, A.R. and Montealegre, A. (2012). A Dynamic Programming Algorithm for the Valuation of GMWB Variable Annuities. Montreal Seminar of Actuarial and Financial Mathematics Montreal, Canada.
  5. Bacinello, A.R., Millossovich, P. and Montealegre, A. A Dynamic Programming Algorithm for the Valuation of GMWB Variable Annuities. Montreal Seminar of Actuarial and Financial Mathematics Montreal.
  6. Bacinello, A.R., Millossovich, P. and Montealegre, A. A Comparison between Different Numerical Schemes for the Valuation of Unit-Linked Contracts Embedding a Surrender Option. Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF 2012) Venice.
  7. Millossovich, P., Bacinello, A.R. and Montealegre, A. (2012). A comparison between different numerical schemes for the valuation of unit-linked contracts embedding a surrender option. MAF 2012 - Mathematical and Statistical Methods for Actuarial Sciences and Finance Venice.
  8. Millossovich, P. and Biffis, E. (2011). Optimal insurance with counterparty default risk. XII Iberian-Italian Congress in Financial and Actuarial Mathematics Lisbon.
  9. Millossovich, P. (2011). Swap: funzionamento del mercato e metodi di valutazione. Workshop Swap su Tassi di Interesse e su Valute Rome.
  10. Millossovich, P. (2010). Derivati su Tassi d�Interesse: Utilizzo e Valutazione. Strumenti Finanziari degli Enti Locali � Il Caso del Friuli Venezia Giulia Trieste.
  11. Millossovich, P. and Biffis, E. (2010). Optimal Insurance with Counterparty Default Risk. XIV Conference on Insurance: Mathematics and Economics Toronto.
  12. Millossovich, P. and Biffis, E. (2010). Optimal insurance with counterparty default risk. XXXIV Congresso Amases Macerata.
  13. Millossovich, P., Bacinello, A.R., Olivieri, A. and Pitacco, E. (2010). Variable Annuities: Risk Identification and Risk Assessment. MAF 2010 - Mathematical and Statistical Methods for Actuarial Sciences and Finance Ravello.
  14. Millossovich, P., Bacinello, A.R. and Chen, A. (2009). Fair Valuation of Life Insurance Liabilities: Integrating Demographic and Market Risk. XIII Congress on Insurance: Mathematics & Economics Istanbul.
  15. Millossovich, P., Bacinello, A.R. and Chen, A. (2008). Fair Valuation of Life Insurance Liabilities: Integrating Demographic and Market Risk. 5th Conference in Actuarial Science and Finance 4-7 September, Samos.
  16. Millossovich, P., Bacinello, A.R. and Biffis, E. (2008). Regression-based algorithms for life insurance contracts with surrender guarantees. Cologne Workshop on Actuarial Mathematics Cologne.
  17. Millossovich, P., Bacinello, A.R. and Biffis, E. (2008). Regression-based algorithms for life insurance contracts with surrender guarantees. MAF 2008 - Mathematical and Statistical Methods for Actuarial Sciences and Finance Venice.
  18. Millossovich, P., Bacinello, A.R. and Biffis, E. (2008). Regression-based algorithms for life insurance contracts with surrender guarantees. Stochastic Methods in Finance Torino.
  19. Millossovich, P., Bacinello, A.R. and Biffis, E. (2007). Pricing Life Insurance Contracts with Early Exercise Features. XI Congress on Insurance: Mathematics & Economics Piraeus.
  20. Millossovich, P., Bacinello, A.R. and Biffis, E. (2007). Regression-based algorithms for life insurance contracts with surrender guarantees. XXXI Congresso AMASES Lecce.

Journal articles (30)

  1. Asimit, V., Chen, Z., Ichim, B. and Millossovich, P. (2026). Parity Regression Estimation. Risks, 14(4), pp. 94-94. doi:10.3390/risks14040094

    [publisher’s website]

  2. Chen, Z. and Millossovich, P. (2026). Excess Verdicts Insurance. North American Actuarial Journal pp. 1-22. doi:10.1080/10920277.2025.2596774

    [publisher’s website]

  3. Atance, D., Haberman, S. and Millossovich, P. (2025). The dynamic of mortality explained with a reduced number of key ages. Scandinavian Actuarial Journal pp. 1-27. doi:10.1080/03461238.2025.2596036

    [publisher’s website]

  4. Gasimova, K., Haberman, S. and Millossovich, P. (2025). Solvency analysis of deferred annuities. Decisions in Economics and Finance, 48(2), pp. 853-871. doi:10.1007/s10203-024-00452-2

    [publisher’s website]

  5. De Mori, L., Haberman, S., Millossovich, P. and Zhu, R. (2025). Mortality forecasting via multi-task neural networks. ASTIN Bulletin, 55(2), pp. 313-331. doi:10.1017/asb.2025.10

    [publisher’s website]

  6. Pesenti, S.M., Millossovich, P. and Tsanakas, A. (2025). Differential quantile-based sensitivity in discontinuous models. European Journal of Operational Research, 322(2), pp. 554-572. doi:10.1016/j.ejor.2024.12.008

    [publisher’s website]

  7. Millossovich, P., Tsanakas, A. and Wang, R. (2024). A theory of multivariate stress testing. European Journal of Operational Research, 318(3), pp. 851-866. doi:10.1016/j.ejor.2024.06.002

    [publisher’s website]

  8. Bacinello, A.R., Millossovich, P. and Viviano, F. (2024). An iterative least-squares Monte Carlo approach for the simulation of cohort based biometric indices. European Actuarial Journal. doi:10.1007/s13385-024-00393-5

    [publisher’s website]

  9. De Mori, L., Millossovich, P., Zhu, R. and Haberman, S. (2024). Two-Population Mortality Forecasting: An Approach Based on Model Averaging. Risks, 12(4), pp. 60-60. doi:10.3390/risks12040060

    [publisher’s website]

  10. (2022). Ermanno Pitacco, 1947–2022. European Actuarial Journal, 12(2), pp. 435-437. doi:10.1007/s13385-022-00333-1

    [publisher’s website]

  11. Pesenti, S.M., Millossovich, P. and Tsanakas, A. (2021). Cascade Sensitivity Measures. Risk Analysis, 41(12), pp. 2392-2414. doi:10.1111/risa.13758

    [publisher’s website]

  12. Makam, V.D., Millossovich, P. and Tsanakas, A. (2021). Sensitivity analysis with χ2-divergences. Insurance: Mathematics and Economics, 100, pp. 372-383. doi:10.1016/j.insmatheco.2021.06.007

    [publisher’s website]

  13. Pesenti, S.M., Bettini, A., Millossovich, P. and Tsanakas, A. (2021). Scenario Weights for Importance Measurement (SWIM) – an R package for sensitivity analysis. Annals of Actuarial Science, 15(2), pp. 458-483. doi:10.1017/s1748499521000130

    [publisher’s website]

  14. Bacinello, A.R., Chen, A., Sehner, T. and Millossovich, P. (2021). On the Market-Consistent Valuation of Participating Life Insurance Heterogeneous Contracts under Longevity Risk. Risks, 9(1), pp. 20-20. doi:10.3390/risks9010020

    [publisher’s website]

  15. Bacinello, A.R., Chen, A. and Millossovich, P. (2018). The impact of longevity and investment risk on a portfolio of life insurance liabilities. European Actuarial Journal, 8(2), pp. 257-290. doi:10.1007/s13385-018-0175-5

    [publisher’s website]

  16. Pesenti, S.M., Millossovich, P. and Tsanakas, A. (2018). Euler allocations in the presence of non-linear reinsurance: comment on Major (2018). Insurance: Mathematics and Economics, 83, pp. 29-31. doi:10.1016/j.insmatheco.2018.09.001
  17. Chen, R.Y. and Millossovich, P. (2018). Sex-specific mortality forecasting for UK countries: a coherent approach. European Actuarial Journal, 8(1), pp. 69-95. doi:10.1007/s13385-017-0164-0

    [publisher’s website]

  18. Villegas, A.M., Kaishev, V.K. and Millossovich, P. (2018). StMoMo: An R Package for Stochastic Mortality Modeling. Journal of Statistical Software, 84(3). doi:10.18637/jss.v084.i03

    [publisher’s website]

  19. Villegas, A.M., Haberman, S., Kaishev, V.K. and Millossovich, P. (2017). A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES. ASTIN Bulletin, 47(3), pp. 631-679. doi:10.1017/asb.2017.18

    [publisher’s website]

  20. Pesenti, S.M., Millossovich, P. and Tsanakas, A. (2016). Robustness regions for measures of risk aggregation. Dependence Modeling, 4(1). doi:10.1515/demo-2016-0020

    [publisher’s website]

  21. Bacinello, A.R., Millossovich, P. and Montealegre, A. (2016). The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours. Scandinavian Actuarial Journal, 2016(5), pp. 446-465. doi:10.1080/03461238.2014.954608

    [publisher’s website]

  22. Tsanakas, A. and Millossovich, P. (2016). Sensitivity Analysis Using Risk Measures. Risk Analysis, 36(1), pp. 30-48. doi:10.1111/risa.12434

    [publisher’s website]

  23. (2015). A methodology for assessing basis risk ‐ Abstract of the London Discussion. British Actuarial Journal, 20(3), pp. 461-490. doi:10.1017/s1357321715000197

    [publisher’s website]

  24. Danesi, I.L., Haberman, S. and Millossovich, P. (2015). Forecasting mortality in subpopulations using Lee–Carter type models: A comparison. Insurance: Mathematics and Economics, 62, pp. 151-161. doi:10.1016/j.insmatheco.2015.03.010

    [publisher’s website]

  25. Bacinello, A.R., Millossovich, P., Olivieri, A. and Pitacco, E. (2011). Variable annuities: A unifying valuation approach. Insurance Mathematics and Economics, 49(3), pp. 285-297. doi:10.1016/j.insmatheco.2011.05.003

    [publisher’s website]

  26. Bacinello, A.R., Biffis, E. and Millossovich, P. (2010). Regression-based algorithms for life insurance contracts with surrender guarantees. Quantitative Finance, 10(9), pp. 1077-1090. doi:10.1080/14697680902960242

    [publisher’s website]

  27. Bacinello, A.R., Biffis, E. and Millossovich, P. (2009). Pricing life insurance contracts with early exercise features. Journal of Computational and Applied Mathematics, 233(1), pp. 27-35. doi:10.1016/j.cam.2008.05.036

    [publisher’s website]

  28. Biffis, E. and Millossovich, P. (2006). A bidimensional approach to mortality risk. Decisions in Economics and Finance, 29(2), pp. 71-94. doi:10.1007/s10203-006-0061-5

    [publisher’s website]

  29. Biffis, E. and Millossovich, P. (2006). The fair value of guaranteed annuity options. Scandinavian Actuarial Journal, 2006(1), pp. 23-41. doi:10.1080/03461230500462204

    [publisher’s website]

  30. Crisma, L., Gigante, P. and Millossovich, P. (2000). A Notion of Coherent Prevision for Arbitrary Random Quantities. Journal of The Italian Statistical Society, 6, pp. 233-243

    [publisher’s website]

Reports (2)

  1. Millossovich, P., Haberman, S., Kaishev, V.K., Baxter, S., Gaches, A., Gunnlaugsson, S.... Sison, M. (2014). Longevity Basis Risk A methodology for assessing basis risk. Institute and Faculty of Actuaries IFA , Life and Longevity Markets Association LLMA.
  2. Bacinello, A.R., Olivieri, A., Millossovich, P. and Pitacco, E. (2010). Variable Annuities: Risk Identification and Risk Assessment. Milan: BAFFI CAREFIN, Bocconi University.

Software (2)

  1. Pesenti, S.M., Bettini, A., Millossovich, P. and Tsanakas, A. Scenario Weights for Importance Measurement (SWIM) – An R Package for Sensitivity Analysis. Elsevier BV.
  2. Millossovich, P., Villegas, A. and Kaishev, V. (2016). StMoMo: Stochastic Mortality Modelling. CRAN.

Working papers (8)

  1. Millossovich, P., Tsanakas, A. and Wang, R. A theory of multivariate stress testing.
  2. Pesenti, S.M., Millossovich, P. and Tsanakas, A. Differential Sensitivity in Discontinuous Models.
  3. Pesenti, S.M., Millossovich, P. and Tsanakas, A. (2021). Cascade Sensitivity Measures.
  4. Pesenti, S.M., Bettini, A., Millossovich, P. and Tsanakas, A. (2021). Scenario Weights for Importance Measurement (SWIM) - An R package for sensitivity analysis.
  5. Biffis, E. and Millossovich, P. (2011). Optimal Insurance with Counterparty Default Risk. SSRN.
  6. Millossovich, P. and Millo, G. Interest rates and the demand for non-life insurance.
  7. Millossovich, P., Bacinello, A.R. and Corsato, C. On the Optimal Design of Participating Life Insurance Contracts.
  8. Millossovich, P. and Bacinello, A.R. On the Monte Carlo Valuation of the Initiation Option in a GLWB Variable Annuity.

Professional activities

Editorial activity (9)

  1. European Journal of Law and Economics, Referee, 2014.
  2. Journal of Risk and Insurance, Referee, 2013 - present.
  3. European Actuarial Journal, Referee, 2011 - present.
  4. Quantitative Finance, Referee, 2011 - present.
  5. Journal of Economic Dynamics and Control, Referee, 2008 - present.
  6. Insurance: Mathematics and Economics, Referee, 2007 - present.
  7. European Journal of Operational Research, Referee, 2006 - 2011.
  8. The Geneva Risk and Insurance Review, Referee, 2005 - 2007.
  9. Decisions in Economics and Finance, Referee, 2005 - 2011.

Events/conferences (42)

  1. 23rd International Congress on Insurance: Mathematics and Economics. (Conference) Munich, Germany (2019).
    Paper: Monte Carlo valuation of the initiation option in a GLWB variable annuity
  2. Actuarial Teachers’ & Researchers’ Conference 2019. (Conference) Liverpool, UK (2019).
    Paper: Monte Carlo valuation of the initiation option in a GLWB variable annuity
  3. Mathematics in longevity risk management, King's college london. (Workshop) London, UK (2019). Invited speaker.
    Paper: StMoMo: An R Package for Stochastic Mortality Modelling
  4. Universitá della Calabria Seminar. (Seminar) Arcavacata di Rende (2019). Invited speaker.
    Paper: Monte Carlo Valuation of the Initiation option in GLWB Variable Annuities
  5. ETH Talks in Financial and Insurance Mathematics. (Seminar) Zurich, Switzerland (2019). Invited speaker.
    Paper: Cas­cade Sen­si­tiv­ity Mea­sures
  6. UPV Seminar. (Seminar) UPV, Valencia (2016). Invited speaker.
    Paper: StMoMo: An R Package for Stochastic Mortality Modelling
    Author: Millossovich P.
    Co-authors: A. Villegas, V. Kaishev
  7. EM Lyon seminar series. (Seminar) Lyon (2015).
    Paper: Two Populations Stochastic Mortality Models and Longevity Basis Risk
    Author: Millossovich P.
  8. V EPGC - Evento GAMA de Previdência Complementar. (Workshop) Brasilia (2015). Invited speaker.
    Paper: Longevity Risk and Longevity Transfer Solutions
    Author: Millossovich P
  9. The XIX International Congress on Insurance Mathematics and Economics. (Conference) Liverpool (2015).
    Paper: A comparative study of two-population models for the assessment of basis risk in longevity hedges
    Author: Villegas A.
    Co-authors: S. Haberman, V. Kaishev, P. Millossovich
  10. Eleventh International Longevity Risk and Capital Markets Solutions Conference. (Conference) Lyon (2015).
    Paper: A Comparative Study of Two-Population Mortality Models for the Assessment of Basis risk in Longevity Hedges
    Author: Millossovich P.
    Co-authors: S. Haberman, V. Kaishev, A. Villegas
  11. Sessional Research Event: Longevity Basis Risk Methodology. (Seminar) London (2014). Invited speaker.
    Paper: Longevity Basis Risk A methodology for assessing basis risk
    Author: Baxter S
    Co-authors: A. Gaches, S. Gunnlaugsson, S. Haberman, V. Kaishev, P. Millossovich, A. Villegas
  12. LUH-Kolloquium "Versicherungs- und Finanzmathematik". (Seminar) Hannover (Germany) (2014). Invited speaker.
    Paper: Two Populations Stochastic Mortality Models and Longevity Basis Risk
    Author: Millossovich P.
  13. Economic Seminars series. (Seminar) Venice (Italy) (2014). Invited speaker.
    Paper: Two Populations Stochastic Mortality Models and Longevity Basis Risk
    Author: Millossovich P.
  14. Department of Accounting, Finance and Insurance Seminar at KU Leuven. (Seminar) KU Leuven (Belgium) (2014). Invited speaker.
    Paper: Modelling and Forecasting Mortality in Related Populations
    Author: Danesi I.L.
    Co-authors: S. Haberman, P. Millossovich
  15. FISC 2014. (Conference) Flint, Michigan (U.S.A.) (2014).
    Paper: Sensitivity Analysis of Internal Risk Models
    Author: Millossovich P.
    Co-authors: A. Tsanakas
  16. 8th Conference in Actuarial Science & Finance on Samos. (Conference) Samos (Greece) (2014).
    Paper: Forecasting Mortality in Related Populations Using Lee-Carter Type Models: A Comparison
    Author: Danesi I.L.
    Co-authors: S. Haberman, P. Millossovich
  17. 6th International Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance. (Conference) Salerno (Italy) (2014).
    Paper: Sensitivity Analysis of Internal Risk Models
    Author: Millossovich P
    Co-authors: A. Tsanakas
  18. The XVII International Congress on Insurance Mathematics and Economics. (Conference) Copenhagen (2013).
    Paper: Coherent mortality forecasting for related populations using Lee-Carter type models
    Author: Danesi I.L.
    Co-authors: S. Haberman, P. Millossovich
  19. Life Conference and Exhibition 2013. (Conference) Edinburgh (2013). Invited speaker.
    Paper: Towards an Industry Standard to Assess Longevity Basis Risk
    Author: Gaches A
    Co-authors: S. Gunnlaugsson, P. Millossovich, A. Villegas
  20. Montreal Seminar of Actuarial and Financial Mathematics. (Seminar) Montreal, Canada (2012). Invited speaker.
    Paper: A Dynamic Programming Algorithm for the Valuation of GMWB Variable Annuities
    Author: Millossovich P.
    Co-authors: A.R. Bacinello, A. Montealegre
  21. XVI Congress on Insurance: Mathematics & Economics, Hong Kong. (Conference) Hong Kong (2012).
    Paper: A Dynamic Programming Algorithm for the Valuation of GMWB Variable Annuities
    Author: Millossovich A.R. B.
    Co-authors: A.R. Bacinello, A. Montealegre
  22. MAF 2012 - Mathematical and Statistical Methods for Actuarial Sciences and Finance. (Conference) Venice (2012).
    Paper: A comparison between different numerical schemes for the valuation of unit-linked contracts embedding a surrender option
    Author: Millossovich P
    Co-authors: A.R. Bacinello, A. Montealegre
  23. Journée Scientifique en l'Honneur de François Quittard-Pinon – ISFA(Lyon). (Conference) Lyon (France) (2012). Invited speaker.
    Paper: A Dynamic Programming Algorithm for the Valuation of GMWB Variable Annuities
    Author: Millossovich A.R. B.
    Co-authors: A.R. Bacinello, A. Montealegre
  24. 25ieme Entretiens Jacques Cartier. (Conference) Lyon (France) (2012). Invited speaker.
    Paper: A General Approach to the Valuation and Risk Management of Variable Annuities
    Author: Millossovich P. M.
  25. XV Conference on Insurance: Mathematics and Economics. (Conference) (2011). Organising Committee
  26. (Seminar) Basque Center for Applied Mathematics - Bilbao (2011). Invited speaker.
    Paper: Optimal insurance with counterparty default risk
    Author: Millossovich P.
    Co-authors: Biffis E
  27. (Seminar) Dipartimento di Scienze Statistiche (university La Sapienza) - Rome (2011). Invited speaker.
    Paper: Optimal insurance with counterparty default risk
    Author: Millossovich P.
    Co-authors: Biffis E.
  28. Workshop Swap su Tassi di Interesse e su Valute. (Workshop) Rome (2011). Invited speaker.
    Paper: Swap: funzionamento del mercato e metodi di valutazione
    Author: Millossovich P
  29. XII Iberian-Italian Congress in Financial and Actuarial Mathematics. (Conference) Lisbon (2011).
    Paper: Optimal insurance with counterparty default risk
    Author: Millossovich P.
    Co-authors: Biffis E.
  30. Strumenti finanziari derivati degli enti locali: il caso del Friuli Venezia Giulia. Trieste (2010). Organising Committee
  31. XIV Conference on Insurance: Mathematics and Economics. (Conference) Toronto (2010).
    Paper: Optimal Insurance with Counterparty Default Risk
    Author: Millossovich P.
    Co-authors: Biffis E.
  32. Strumenti Finanziari degli Enti Locali — Il Caso del Friuli Venezia Giulia. (Workshop) Trieste (2010). Invited speaker.
    Paper: Derivati su Tassi d’Interesse: Utilizzo e Valutazione
    Author: Millossovich P.
  33. XXXIV Congresso Amases. (Conference) Macerata (2010).
    Paper: Optimal insurance with counterparty default risk
    Author: Millossovich P.
    Co-authors: Biffis E.
  34. MAF 2010 - Mathematical and Statistical Methods for Actuarial Sciences and Finance. (Conference) Ravello (2010).
    Paper: Variable Annuities: Risk Identification and Risk Assessment
    Author: Millossovich P.
    Co-authors: Bacinello A.R., Olivieri A., Pitacco E.
  35. XIII Congress on Insurance: Mathematics & Economics. (Conference) (2009).
    Paper: Fair Valuation of Life Insurance Liabilities: Integrating Demographic and Market Risk
    Author: Millossovich P
    Co-authors: Bacinello A.R., Chen A.
  36. Stochastic Methods in Finance. (Workshop) Torino (2008).
    Paper: Regression-based algorithms for life insurance contracts with surrender guarantees
    Author: Millossovich P.
    Co-authors: Bacinello A.R., Biffis E.
  37. Cologne Workshop on Actuarial Mathematics. (Workshop) Cologne (2008).
    Paper: Regression-based algorithms for life insurance contracts with surrender guarantees
    Author: Millossovich P.
    Co-authors: Bacinello A.R., Biffis E.
  38. MAF 2008 - Mathematical and Statistical Methods for Actuarial Sciences and Finance. (Conference) Venice (2008).
    Paper: Regression-based algorithms for life insurance contracts with surrender guarantees
    Author: Millossovich P.
    Co-authors: Bacinello A.R., Biffis E.
  39. 5th Conference in Actuarial Science and Finance. (Conference) Samos (2008).
    Paper: Fair Valuation of Life Insurance Liabilities: Integrating Demographic and Market Risk
    Author: Millossovich P.
    Co-authors: Bacinello A.R., Chen A.
  40. XXXI Congresso AMASES. (Conference) Lecce (2007).
    Paper: Regression-based algorithms for life insurance contracts with surrender guarantees
    Author: Millossovich P.
    Co-authors: Bacinello A.R., Biffis E.
  41. XI Congress on Insurance: Mathematics & Economics. (Conference) Piraeus (2007).
    Paper: Pricing Life Insurance Contracts with Early Exercise Features
    Author: Millossovich P.
    Co-authors: Bacinello A.R., Biffis E.
  42. XXX Congresso Amases. Trieste (2006). Organising Committee

Media appearances (2)

  1. Longevity 11 Conference - Lyon - September 2015. (2015) A Comparative Study of Two-Population Models for the Assessment of Basis Risk (website).
  2. Universities-Research Conference on Insurance Markets and Catastrophe Risk. (2012) www.nber.org (website).

Online article