Enrico Biffis : Citation Profile


Are you Enrico Biffis?

Imperial College

7

H index

6

i10 index

195

Citations

RESEARCH PRODUCTION:

7

Articles

1

Papers

RESEARCH ACTIVITY:

   9 years (2005 - 2014). See details.
   Cites by year: 21
   Journals where Enrico Biffis has often published
   Relations with other researchers
   Recent citing documents: 44.    Total self citations: 2 (1.02 %)

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   Permalink: http://citec.repec.org/pbi84
   Updated: 2020-01-18    RAS profile: 2014-10-25    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Enrico Biffis.

Is cited by:

Blake, David (18)

luciano, elisa (9)

Loisel, Stéphane (6)

Brigo, Damiano (4)

Milidonis, Andreas (4)

Platen, Eckhard (4)

Spreeuw, Jaap (3)

Tsai, Jeffrey (3)

Regis, Luca (3)

Boyer, M. Martin (3)

De Waegenaere, Anja (3)

Cites to:

Blake, David (9)

Duffie, Darrell (7)

DeMarzo, Peter (4)

Cummins, John (4)

Chen, Zhiwu (3)

Cao, Charles (3)

Singleton, Kenneth (3)

Weber, Robert (2)

Brigo, Damiano (2)

pan, jun (2)

Gale, Douglas (2)

Main data


Where Enrico Biffis has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics4

Recent works citing Enrico Biffis (2018 and 2017)


YearTitle of citing document
2017Cohort effects in mortality modelling: a Bayesian state-space approach. (2017). Shevchenko, Pavel V ; Peters, Gareth W ; Fung, Man Chung. In: Papers. RePEc:arx:papers:1703.08282.

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2017General Price Bounds for Guaranteed Annuity Options. (2017). Sabanis, Sotirios ; Bahl, Raj Kumari . In: Papers. RePEc:arx:papers:1707.00807.

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2018On Fair Reinsurance Premiums; Capital Injections in a Perturbed Risk Model. (2018). Jos'e Garrido, ; ben Salah, Zied. In: Papers. RePEc:arx:papers:1710.11065.

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2017Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity. (2017). Platen, Eckhard ; Fergusson, Kevin. In: Papers. RePEc:arx:papers:1711.02808.

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2019Indifference pricing of pure endowments via BSDEs under partial information. (2019). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia. In: Papers. RePEc:arx:papers:1804.00223.

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2018Retirement spending and biological age. (2018). Salisbury, Thomas S ; Milevsky, Moshe A ; Huang, Huaxiong . In: Papers. RePEc:arx:papers:1811.09921.

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2019Stochastic mortality models: An infinite dimensional approach. (2019). Weber, Stefan ; Tappe, Stefan. In: Papers. RePEc:arx:papers:1907.05157.

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2017Natural Hedging Strategies for Life Insurers: Impact of Product Design and Risk Measure. (2017). Wong, Andy ; Stevens, Ralph ; Sherris, Michael. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:1:p:153-175.

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2017Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated. (2017). Wong, Tat Wing ; Chiu, Mei Choi. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:3:p:987-1023.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Blake, David ; Melenberg, Bertrand ; Waegenaere, Anja ; Li, Hong ; Morales, Marco. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:459-475.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Milidonis, Andreas ; Blake, David ; Efthymiou, Maria ; Morales, Marco. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:495-514.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Milidonis, Andreas ; Blake, David ; Lin, Yijia ; Biffis, Enrico ; Morales, Marco. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:515-532.

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2018Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps. (2018). , Eric ; Willmot, Gordon E ; Liu, Haibo. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:331:y:2018:i:c:p:358-377.

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2017Retirement spending and biological age. (2017). Salisbury, T S ; Milevsky, M A ; Huang, H. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:84:y:2017:i:c:p:58-76.

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2018Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures. (2018). Brigo, Damiano ; Vrins, Frederic. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:3:p:1154-1164.

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2019Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement. (2019). Brigo, Damiano ; Pallavicini, Andrea ; Francischello, Marco. In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:2:p:788-805.

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2017Existence of optimal consumption strategies in markets with longevity risk. (2017). de Kort, J ; Vellekoop, M H. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:107-121.

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2017A unisex stochastic mortality model to comply with EU Gender Directive. (2017). Chen, AN ; Vigna, Elena. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:73:y:2017:i:c:p:124-136.

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2017Estimating Gerber–Shiu functions from discretely observed Lévy driven surplus. (2017). Shimizu, Yasutaka ; Zhang, Zhimin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:84-98.

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2017The joint mortality of couples in continuous time. (2017). Jevti, P ; Hurd, T R. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:90-97.

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2017Evaluation of credit value adjustment in K-forward. (2017). Hao, Xuemiao ; Wei, Linghua ; Liang, Chunli. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:95-103.

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2018Longevity risk and capital markets: The 2015–16 update. (2018). Blake, David ; MacMinn, Richard ; Loisel, Stephane ; el Karoui, Nicole. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:157-173.

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2018Early default risk and surrender risk: Impacts on participating life insurance policies. (2018). Cheng, Chunli ; Li, Jing. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:30-43.

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2018Expected utility of the drawdown-based regime-switching risk model with state-dependent termination. (2018). Landriault, David ; Li, Shu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:137-147.

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2018On fair reinsurance premiums; Capital injections in a perturbed risk model. (2018). ben Salah, Zied ; Garrido, Jose. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:11-20.

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2018Poissonian potential measures for Lévy risk models. (2018). Landriault, David ; Xu, DI ; Li, Bin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:152-166.

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2018A comparative study of pricing approaches for longevity instruments. (2018). Leung, Melvern ; Ohare, Colin ; Fung, Man Chung. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:95-116.

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2019Random distribution kernels and three types of defaultable contingent payoffs. (2019). Ye, Jinchun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:198-204.

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2019A continuous-time stochastic model for the mortality surface of multiple populations. (2019). Regis, Luca ; Jevti, Petar. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:181-195.

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2017Immunization and Hedging of Post Retirement Income Annuity Products. (2017). Liu, Changyu ; Sherris, Michael. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:1:p:19-:d:93259.

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2017Maximum Market Price of Longevity Risk under Solvency Regimes: The Case of Solvency II. (2017). Levantesi, Susanna ; Menzietti, Massimiliano. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:2:p:29-:d:98116.

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2018Longevity Risk Management and the Development of a Value-Based Longevity Index. (2018). Chang, Yang ; Sherris, Michael. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:10-:d:131400.

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2018Fluctuation Theory for Upwards Skip-Free Lévy Chains. (2018). Vidmar, Matija. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:102-:d:170683.

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2018Hierarchical Markov Model in Life Insurance and Social Benefit Schemes. (2018). Jang, Jiwook ; Mohd, Siti Norafidah . In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:63-:d:154241.

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2019Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives. (2019). Fung, Man Chung ; Sherris, Michael ; Ignatieva, Katja. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:1:p:2-:d:194650.

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2019The Investigation of a Forward-Rate Mortality Framework. (2019). Sherris, Michael ; Ignatieva, Katja ; Alai, Daniel H. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:61-:d:236362.

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2019De Finetti’s Control Problem with Parisian Ruin for Spectrally Negative Lévy Processes. (2019). Renaud, Jean-Franois. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:73-:d:245263.

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2017A Multivariate Model of Strategic Asset Allocation with Longevity Risk. (2017). Favero, Carlo ; Tebaldi, Claudio ; Nocera, Giacomo ; Bisetti, Emilio. In: Post-Print. RePEc:hal:journl:hal-01633544.

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2018Modeling Longevity Risk using Consistent Dynamics Affine Mortality Models. (2018). Kedidi, Islem ; Bedoui, Rihab. In: Working Papers. RePEc:hal:wpaper:hal-01678050.

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2018Enhancing risk management for an aging world. (2018). Mitchell, Olivia S. In: The Geneva Papers on Risk and Insurance Theory. RePEc:kap:geneva:v:43:y:2018:i:2:d:10.1057_s10713-018-0027-x.

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2018Optimal Portfolios with Credit Default Swaps. (2018). Ambrosini, Giuseppe ; Menoncin, Francesco. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:54:y:2018:i:1:d:10.1007_s10693-016-0264-z.

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2018Enhancing risk management for an aging world. (2018). Mitchell, Olivia S. In: The Geneva Risk and Insurance Review. RePEc:pal:genrir:v:43:y:2018:i:2:d:10.1057_s10713-018-0027-x.

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2019Information insensitivity, collateral flows and the logic of financial stability. (2019). Mantovi, Andrea. In: Economics Department Working Papers. RePEc:par:dipeco:2019-ep01.

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2019Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis. (2019). Zoccolan, Ivan ; Bacinello, Anna Rita . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:1:d:10.1007_s10203-019-00255-w.

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Works by Enrico Biffis:


YearTitleTypeCited
2013Informed Intermediation of Longevity Exposures In: Journal of Risk & Insurance.
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article8
2005Affine processes for dynamic mortality and actuarial valuations In: Insurance: Mathematics and Economics.
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article104
2010Securitizing and tranching longevity exposures In: Insurance: Mathematics and Economics.
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article17
2010A note on scale functions and the time value of ruin for Lévy insurance risk processes In: Insurance: Mathematics and Economics.
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article18
2010On a generalization of the Gerber-Shiu function to path-dependent penalties In: Insurance: Mathematics and Economics.
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article10
2014Tail Risk in Commercial Property Insurance In: Risks.
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article0
2011The cost of counterparty risk and collateralization in longevity swaps In: MPRA Paper.
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paper19
2010Regression-based algorithms for life insurance contracts with surrender guarantees In: Quantitative Finance.
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article19

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