Pietro Millossovich

Pietro Millossovich is a Senior Lecturer in Actuarial Science at the Faculty of Actuarial Science and Insurance, Cass Business School, 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, Cass Business School, Jan 2012 – present
• Lecturer, Universita di Trieste, Sep 2001 – present
• Memberships of Professional Organisations

Fellow, AMASES, Sep 2004 – present

Languages

French and Italian.

Research Topics

• Mortality Forecasting
• Sensitivity of Risk Measures
• Optimal Insurance
• Guarantees in Life Insurance Products

Chapters

• 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. and 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.

Journal Articles

• 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.
• 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.
• Pesenti, S.M., Millossovich, P. and Tsanakas, A. (2016). Robustness regions for measures of risk aggregation. Dependence Modeling, 4(1) .
• Tsanakas, A. and Millossovich, P. (2016). Sensitivity Analysis Using Risk Measures. Risk Analysis, 36(1), pp. 30–48.
• (2015). A methodology for assessing basis risk ‐ Abstract of the London Discussion. British Actuarial Journal, 20(03), pp. 461–490.
• 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.
• 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.
• 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.
• 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.
• Biffis, E. and Millossovich, P. (2006). A bidimensional approach to mortality risk. Decisions in Economics and Finance, 29(2), pp. 71–94.
• Biffis, E. and Millossovich, P. (2006). The fair value of guaranteed annuity options. Scandinavian Actuarial Journal, 2006(1), pp. 23–41.
• Crisma, L., Gigante, P. and Millossovich, P. (1997). A notion of coherent revision for arbitrary random quantities. Journal of the Italian Statistical Society, 6(3), pp. 233–243.
• Villegas, A.M., Millossovich, P. and Kaishev, V.K. StMoMo: An R Package for Stochastic Mortality Modelling. Journal of Statistical Software

Editorial Activities

• 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.