# Dr Pietro Millossovich

Reader in Actuarial Finance

Bayes Business School, Faculty of Actuarial Science and Insurance

## Contact

- +44 (0)20 7040 0972
- [email protected]

## Postal address

106 Bunhill Row

London

EC1Y 8TZ

United Kingdom

## About

### Overview

Pietro Millossovich is a Senior Lecturer 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, Oct 1999 – Sep 2003
- DEA, Pierre and Marie Curie University, Paris, France, Oct 1997 – Sep 1998
- BSc, Statistics and Actuarial Science, University of Trieste, Trieste, Italy, Oct 1990 – Sep 1996

### Employment

- Senior Lecturer, Bayes Business School, Jan 2012 – present
- Lecturer, Universita di Trieste, Sep 2001 – present

### Memberships of professional organisations

- Fellow, AMASES, Sep 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

### Luca De Mori

**Attendance: **Oct 2020 – present, full-time

**Thesis title: **Mortality Modelling

**Role: **1st Supervisor

### Fabio Viviano

**Attendance: **Nov 2018 – Mar 2022

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

**Role: **1st Supervisor

### Vaishno Devi Makam

**Attendance: **Oct 2018 – present

**Role: **2nd Supervisor

### Khadija Gasimova

**Attendance: **Jun 2018 – present

**Role: **2nd Supervisor

### Silvana Manuela Pesenti

**Attendance: **Nov 2015 – present

**Thesis title: **Sensitivity analysis and its application to solvency insurance

**Role: **2nd Supervisor

### Ivan Danesi

**Attendance: **Jan 2011 – Mar 2014

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

**Role: **2nd Supervisor

### Alvaro Montealegre

**Attendance: **2009 – 2014, full-time

**Thesis title: **Numerical Methods for Pricing Complex Derivatives

**Role: **2nd Supervisor

### Massimiliano Kaucic

**Attendance: **Jan 2006 – Apr 2009, full-time

**Thesis title: **Evolutionary Computations for Trading Systems

**Role: **1st Supervisor

## Publications

### Chapters (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 978-3-319-02499-8. - 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. - 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 (19)

- Millossovich, P. (2018).
**Monte Carlo Valuation of the Initiation Option in a GLWB Variable Annuity.***4th European Actuarial Journal Conference*9-11 September, Leuven. - 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. - 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. - Bacinello, A.R., Millossovich, P. and Montealegre, A. (2012).
**A Dynamic Programming Algorithm for the Valuation of GMWB Variable Annuities.***Montreal Seminar of Actuarial and Financial Mathematics*Montreal. - Bacinello, A.R., Millossovich, P. and Montealegre, A. (2012).
**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. - 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. - Millossovich, P. and Biffis, E. (2011).
**Optimal insurance with counterparty default risk.***XII Iberian-Italian Congress in Financial and Actuarial Mathematics*Lisbon. - Millossovich, P. (2011).
**Swap: funzionamento del mercato e metodi di valutazione.***Workshop Swap su Tassi di Interesse e su Valute*Rome. - Millossovich, P. (2010).
**Derivati su Tassi d�Interesse: Utilizzo e Valutazione.***Strumenti Finanziari degli Enti Locali � Il Caso del Friuli Venezia Giulia*Trieste. - Millossovich, P. and Biffis, E. (2010).
**Optimal Insurance with Counterparty Default Risk.***XIV Conference on Insurance: Mathematics and Economics*Toronto. - Millossovich, P. and Biffis, E. (2010).
**Optimal insurance with counterparty default risk.***XXXIV Congresso Amases*Macerata. - 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. - 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. - 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. - 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. - 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. - Millossovich, P., Bacinello, A.R. and Biffis, E. (2008).
**Regression-based algorithms for life insurance contracts with surrender guarantees.***Stochastic Methods in Finance*Torino. - Millossovich, P., Bacinello, A.R. and Biffis, E. (2007).
**Pricing Life Insurance Contracts with Early Exercise Features.***XI Congress on Insurance: Mathematics & Economics*Piraeus. - 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 (20)

- Pesenti, S.M., Millossovich, P. and Tsanakas, A. (2021).
**Cascade Sensitivity Measures.***Risk Analysis*,*41*(12), pp. 2392–2414. doi:10.1111/risa.13758. - 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. - 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. - 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. - 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. - 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. - 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. - 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. - 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. - 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. - 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. - Tsanakas, A. and Millossovich, P. (2016).
**Sensitivity Analysis Using Risk Measures.***Risk Analysis*,*36*(1), pp. 30–48. doi:10.1111/risa.12434. - (2015).
**A methodology for assessing basis risk ‐ Abstract of the London Discussion.***British Actuarial Journal*,*20*(3), pp. 461–490. doi:10.1017/s1357321715000197. - 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. - 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. - 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. - 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. - 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. - 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. - 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.

### Reports (2)

- Millossovich, P., Haberman, S., Kaishev, V., 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). - 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)

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

### Working papers (7)

- Pesenti, S.M., Millossovich, P. and Tsanakas, A. (2021).
**Cascade Sensitivity Measures.** - Pesenti, S.M., Bettini, A., Millossovich, P. and Tsanakas, A. (2021).
**Scenario Weights for Importance Measurement (SWIM) - An R package for sensitivity analysis.** - Millossovich, P., Tsanakas, A. and Wang, R. (2021).
**A theory of multivariate stress testing.** - Biffis, E. and Millossovich, P. (2011).
**Optimal Insurance with Counterparty Default Risk.**SSRN. - Millossovich, P. and Millo, G.
**Interest rates and the demand for non-life insurance.** - Millossovich, P., Bacinello, A.R. and Corsato, C.
**On the Optimal Design of Participating Life Insurance Contracts.** - 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)

**European Journal of Law and Economics**, Referee, 2014.**Journal of Risk and Insurance**, Referee, 2013 – present.**European Actuarial Journal**, Referee, 2011 – present.**Quantitative Finance**, Referee, 2011 – present.**Journal of Economic Dynamics and Control**, Referee, 2008 – present.**Insurance: Mathematics and Economics**, Referee, 2007 – present.**European Journal of Operational Research**, Referee, 2006 – 2011.**Decisions in Economics and Finance**, Referee, 2005 – 2011.**The Geneva Risk and Insurance Review**, Referee, 2005 – 2007.

### Events/conferences (42)

**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**Actuarial Teachers’ & Researchers’ Conference 2019.**(Conference) Liverpool, UK (2019).

Paper: Monte Carlo valuation of the initiation option in a GLWB variable annuity**Mathematics in longevity risk management, King's college london.**(Workshop) London, UK (2019). Invited speaker.

Paper: StMoMo: An R Package for Stochastic Mortality Modelling**Universitá della Calabria Seminar.**(Seminar) Arcavacata di Rende (2019). Invited speaker.

Paper: Monte Carlo Valuation of the Initiation option in GLWB Variable Annuities**ETH Talks in Financial and Insurance Mathematics.**(Seminar) Zurich, Switzerland (2019). Invited speaker.

Paper: Cascade Sensitivity Measures**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**EM Lyon seminar series.**(Seminar) Lyon (2015).

Paper: Two Populations Stochastic Mortality Models and Longevity Basis Risk

Author: Millossovich P.**V EPGC - Evento GAMA de Previdência Complementar.**(Workshop) Brasilia (2015). Invited speaker.

Paper: Longevity Risk and Longevity Transfer Solutions

Author: Millossovich P**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**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**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**LUH-Kolloquium "Versicherungs- und Finanzmathematik".**(Seminar) Hannover (Germany) (2014). Invited speaker.

Paper: Two Populations Stochastic Mortality Models and Longevity Basis Risk

Author: Millossovich P.**Economic Seminars series.**(Seminar) Venice (Italy) (2014). Invited speaker.

Paper: Two Populations Stochastic Mortality Models and Longevity Basis Risk

Author: Millossovich P.**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**FISC 2014.**(Conference) Flint, Michigan (U.S.A.) (2014).

Paper: Sensitivity Analysis of Internal Risk Models

Author: Millossovich P.

Co-authors: A. Tsanakas**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**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**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**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**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**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**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**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**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.**XV Conference on Insurance: Mathematics and Economics.**(Conference) (2011). Organising Committee.- (Seminar) Basque Center for Applied Mathematics - Bilbao (2011). Invited speaker.

Paper: Optimal insurance with counterparty default risk

Author: Millossovich P.

Co-authors: Biffis E - (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. **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**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.**Strumenti finanziari derivati degli enti locali: il caso del Friuli Venezia Giulia.**Trieste (2010). Organising Committee.**XIV Conference on Insurance: Mathematics and Economics.**(Conference) Toronto (2010).

Paper: Optimal Insurance with Counterparty Default Risk

Author: Millossovich P.

Co-authors: Biffis E.**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.**XXXIV Congresso Amases.**(Conference) Macerata (2010).

Paper: Optimal insurance with counterparty default risk

Author: Millossovich P.

Co-authors: Biffis E.**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.**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.**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.**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.**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.**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.**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.**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.**XXX Congresso Amases.**Trieste (2006). Organising Committee.

### Media appearances (2)

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