Le Pubblicazioni del Centro di Ricerche Assicurative

In questa pagina è presentata una selezione di pubblicazioni del Centro di Ricerca Assicurativa.

Per accedere alle pubblicazioni delle diverse aree tematiche, clicca sull'area prescelta:

• Insurance, Risk Management, and Data Science
• Strategy, Marketing, and Organization

INSURANCE, RISK MANAGEMENT, AND DATA SCIENCE

Lizzi Matteo

• Levantesi, S., Lizzi, M., & Nigri, A. (2022). An application of contrast trees for mortality models diagnostic and boosting. In Book of short papers. IES 2022 Innovation & society 5.0: statistical and economic methodologies for quality assessment (pp. 219-224). PKE srl.

• Levantesi, S., Lizzi, M., & Nigri, A. (2024). Enhancing diagnostic of stochastic mortality models leveraging contrast trees: an application on Italian data. Quality & Quantity, 58(2), 1565-1581.
  DOI: https://doi.org/10.1007/s11135-023-01711-x

• Lizzi, M. (2024). A Contrast-Tree-Based Approach to Two-Population Models. Risks, 12(10), 152.
  DOI: https://doi.org/10.3390/risks12100152

Marino Mario

• Di Giacinto, M., Mancinelli, D., Marino, M., & Oliva, I. (2024). Pension funds with longevity risk: an optimal portfolio insurance approach. Insurance: Mathematics and Economics, 119, 268-297.
  DOI: https://doi.org/10.1016/j.insmatheco.2024.10.001

• Maggistro, R., Marino, M., & Martire, A. (2024). A dynamic game approach for optimal consumption, investment and life insurance problem. Annals of Operations Research, 1-22.
  DOI: https://doi.org/10.1007/s10479-024-05847-3

• Maggistro, R., Marino, M., Pelessoni, R., & Picech, L. (2024). Designing amortization plans by fairness. Decisions in Economics and Finance, 47(2), 445-467.
  DOI: https://doi.org/10.1007/s10203-023-00424-y

• Marino, M., Levantesi, S., & Nigri, A. (2023). A neural approach to improve the Lee-Carter mortality density forecasts. North American Actuarial Journal, 27(1), 148-165.
  DOI: https://doi.org/10.1080/10920277.2022.2050260

• Bacinello, A. R., Maggistro, R., & Marino, M. (2024). On a New Perspective in Longevity Risk Management: The Lifetime Shifting. In Mathematical and Statistical Methods for Actuarial Sciences and Finance (pp. 13-18). Cham: Springer Nature Switzerland.
  DOI: https://doi.org/10.1007/978-3-031-64273-9_3

Millossovich Pietro

• Pesenti, S. M., Millossovich, P., & Tsanakas, A. (2021). Cascade sensitivity measures. Risk Analysis, 41(12), 2392-2414.
  DOI: https://doi.org/10.1111/risa.13758

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

• Bacinello, A. R., Millossovich, P., & Viviano, F. (2024). An iterative least-squares Monte Carlo approach for the simulation of cohort based biometric indices. European Actuarial Journal, 1-26.
  DOI: https://doi.org/10.1007/s13385-024-00393-5

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

• De Mori, L., Millossovich, P., Zhu, R., & Haberman, S. (2024). Two-population mortality forecasting: an approach based on model averaging. Risks, 12(4), 60.
  DOI: https://doi.org/10.3390/risks12040060

Olivieri Annamaria

• Olivieri, A., & Pitacco, E. (2020). Linking annuity benefits to the longevity experience: Alternative solutions. Annals of Actuarial Science, 14(2), 316-337.
  DOI: https://doi.org/10.1017/S1748499519000137

• Olivieri, A. (2021). Designing annuities with flexibility opportunities in an uncertain mortality scenario. Risks, 9(11), 189.
  DOI: https://doi.org/10.3390/risks9110189

• Olivieri, A., & Pitacco, E. (2022). Time Restrictions on Life Annuity Benefits: Portfolio Risk Profiles. Risks, 10(8), 164.
  DOI: https://doi.org/10.3390/risks10080164

• Olivieri, A., Thirurajah, S., & Ziveyi, J. (2022). Target volatility strategies for group self-annuity portfolios. ASTIN Bulletin: The Journal of the IAA, 52(2), 591-617.
  DOI: https://doi.org/10.1017/asb.2022.7

• Olivieri, A., & Tabakova, D. (2024). Stochastic assessment of special-rate life annuities. Decisions in Economics and Finance, 1-20.
  DOI: https://doi.org/10.1007/s10203-024-00476-8

Tabakova Daniela

• Pitacco, E., & Tabakova, D. (2022). Special-rate life annuities: analysis of portfolio risk profiles. Risks, 10(3), 65.
  DOI: https://doi.org/10.3390/risks10030065

• Olivieri, A., & Tabakova, D. (2024). Stochastic assessment of special-rate life annuities. Decisions in Economics and Finance, 1-20.
  DOI: https://doi.org/10.1007/s10203-024-00476-8

• Tabakova, D., & Pitacco, E. (2021). Heterogeneity and uncertainty in a multistate framework. Decisions in Economics and Finance, 44(1), 117-139.
  DOI: https://doi.org/10.1007/s10203-020-00306-7

Torelli Nicola

• Egidi, L., Pauli, F., Torelli, N., & Zaccarin, S. (2023). Clustering spatial networks through latent mixture models. Journal of the Royal Statistical Society Series A: Statistics in Society, 186(1), 137-156.
  DOI: https://doi.org/10.1093/jrsssa/qnac002

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STRATEGY, MARKETING, AND ORGANIZATION

Tracogna Andrea

• Hu, T. I., & Tracogna, A. (2020). Multichannel customer journeys and their determinants: Evidence from motor insurance. Journal of Retailing and Consumer Services, 54, 102022.
  DOI: https://doi.org/10.1016/j.jretconser.2019.102022

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