Massimiliano MENZIETTI | Publications
Massimiliano MENZIETTI Publications
| 2024 | |
| Articolo in rivista | |
| Financial sustainability and automatic balance mechanisms for NDC pension systems with disability benefits ANNALS OF OPERATIONS RESEARCH. Pag.1-23 ISSN:0254-5330. | |
| Levantesi, Susanna; Menzietti, Massimiliano; Fratoni, Lorenzo | |
| Versione online | |
| Digital Object Identifier (DOI): 10.1007/s10479-024-05942-5 Codice identificativo ISI: WOS:001200566800002 Codice identificativo SCOPUS: 2-s2.0-85189951216 | |
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| 2024 | |
| Articolo in rivista | |
| Securitization for common health SOCIO-ECONOMIC PLANNING SCIENCES. Pag.1-12 ISSN:0038-0121. | |
| Ciardiello, Francesco; DI LORENZO, Emilia; Menzietti, Massimiliano; Sibillo, Marilena | |
| Digital Object Identifier (DOI): 10.1016/j.seps.2024.101879 | |
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| 2024 | |
| Articolo in rivista | |
| De-risking in multi-state life and health insurance ANNALS OF ACTUARIAL SCIENCE. Pag.1-19 ISSN:1748-4995. | |
| Levantesi, Susanna; Menzietti, Massimiliano; Nyegaard, Anna Kamille | |
| Digital Object Identifier (DOI): 10.1017/s1748499524000083 Codice identificativo ISI: WOS:001206959600001 Codice identificativo SCOPUS: 2-s2.0-85191396743 | |
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344200The influence of gender and age in driving ability: an analysis of average and extreme behaviours
| 2024 | |
| Articolo in rivista | |
| The influence of gender and age in driving ability: an analysis of average and extreme behaviours SOFT COMPUTING. Pag.1-9 ISSN:1432-7643. | |
| Baione, Fabio; Biancalana, Davide; Menzietti, Massimiliano | |
| Digital Object Identifier (DOI): 10.1007/s00500-024-09782-0 Codice identificativo SCOPUS: 2-s2.0-85201625565 | |
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| 2024 | |
| Articolo in rivista | |
| Frailty-based mortality models and reserving for longevity risk GENEVA PAPERS ON RISK AND INSURANCE-ISSUES AND PRACTICE. Pag.1-320 ISSN:1018-5895. | |
| Carannante, Maria; D’Amato, Valeria; Haberman, Steven; Menzietti, Massimiliano | |
| Digital Object Identifier (DOI): 10.1057/s41288-024-00319-y | |
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| 2023 | |
| Articolo in rivista | |
| Optimal reimbursement limitation for a health plan ANNALS OF OPERATIONS RESEARCH. Pag.1-20 ISSN:0254-5330. | |
| Baione, Fabio; Biancalana, Davide; Menzietti, Massimiliano | |
| Digital Object Identifier (DOI): 10.1007/s10479-023-05677-9 Codice identificativo SCOPUS: 2-s2.0-85176791171 | |
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| 2023 | |
| Articolo in rivista | |
| Frailty-based Lee–Carter family of stochastic mortality models QUALITY & QUANTITY. Pag.1-25 ISSN:0033-5177. | |
| Carannante, Maria; D’Amato, Valeria; Haberman, Steven; Menzietti, Massimiliano | |
| Digital Object Identifier (DOI): 10.1007/s11135-023-01786-6 Codice identificativo SCOPUS: 2-s2.0-85178895499 | |
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| 2022 | |
| Articolo in rivista | |
| Measuring Financial Sustainability and Social Adequacy of the Italian NDC Pension System under the COVID-19 Pandemic SUSTAINABILITY. Vol. 14. Pag.1-23 ISSN:2071-1050. | |
| Fratoni, L; Levantesi, S; Menzietti, M | |
| Digital Object Identifier (DOI): 10.3390/su142316274 Codice identificativo ISI: WOS:000896305000001 Codice identificativo SCOPUS: 2-s2.0-85143837024 | |
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| 2021 | |
| Articolo in rivista | |
| Automatic balance mechanisms for notional defined contribution pension systems guaranteeing social adequacy and financial sustainability: an application to the Italian pension system ANNALS OF OPERATIONS RESEARCH. Vol. 299. Pag.765-795 ISSN:0254-5330. | |
| Devolder, P.; Levantesi, S.; Menzietti, M. | |
| Digital Object Identifier (DOI): 10.1007/s10479-020-03819-x Codice identificativo SCOPUS: 2-s2.0-85092545535 | |
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265030The Dynamics of the S&P 500 under a Crisis Context: Insights from a Three-Regime Switching Model
| 2020 | |
| Articolo in rivista | |
| The Dynamics of the S&P 500 under a Crisis Context: Insights from a Three-Regime Switching Model RISKS. Vol. 8. ISSN:2227-9091. | |
| Cerboni Baiardi, Lorenzo; Costabile, Massimo; De Giovanni, Domenico; Lamantia, Fabio; Leccadito, Arturo; Massabó, Ivar; Menzietti, Massimiliano; Pirra, Marco; Russo, Emilio; Staino, Alessandro | |
| Digital Object Identifier (DOI): 10.3390/risks8030071 | |
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| 2020 | |
| Articolo in rivista | |
| Longevity risk and economic growth in sub-populations: evidence from Italy DECISIONS IN ECONOMICS AND FINANCE. ISSN:1593-8883. | |
| Bozzo, G.; Levantesi, S.; Menzietti, M. | |
| Digital Object Identifier (DOI): 10.1007/s10203-020-00275-x Codice identificativo ISI: WOS:000517059000001 Codice identificativo SCOPUS: 2-s2.0-85080982128 | |
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| 2020 | |
| Articolo in rivista | |
| De-risking long-term care insurance SOFT COMPUTING. Vol. 24. Pag.8627-8641 ISSN:1432-7643. | |
| D'Amato, V; Levantesi, S; Menzietti, M | |
| Digital Object Identifier (DOI): 10.1007/s00500-019-04658-0 Codice identificativo ISI: WOS:000534085100011 Codice identificativo SCOPUS: 2-s2.0-85078631924 | |
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| 2020 | |
| Articolo in rivista | |
| De-risking long-term care insurance SOFT COMPUTING. Pag.1-15 ISSN:1433-7479. | |
| D’Amato, Valeria.; Levantesi, Susanna; Menzietti, Massimiliano | |
| Digital Object Identifier (DOI): 10.1007/s00500-019-04658-0 Codice identificativo ISI: WOS:000534085100011 Codice identificativo SCOPUS: 2-s2.0-85078631924 | |
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| 2019 | |
| Articolo in rivista | |
| Mortality Projections for Small Populations: An Application to the Maltese Elderly RISKS. Vol. 7. ISSN:2227-9091. | |
| Menzietti, Massimiliano; Morabito, MARIA FRANCESCA; Stranges, Manuela | |
| Digital Object Identifier (DOI): 10.3390/risks7020035 Codice identificativo ISI: WOS:000474937700001 Codice identificativo SCOPUS: 2-s2.0-85066929740 | |
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| 2018 | |
| Articolo in rivista | |
| Natural hedging in long-Term care insurance ASTIN BULLETIN. Vol. 48. Pag.233-274 ISSN:0515-0361. | |
| Levantesi, Susanna; Menzietti, Massimiliano | |
| Versione online | |
| Digital Object Identifier (DOI): 10.1017/asb.2017.29 Codice identificativo ISI: WOS:000423032500010 Codice identificativo SCOPUS: 2-s2.0-85030673846 | |
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| 2017 | |
| Articolo in rivista | |
| A comparison of risk transfer strategies for a portfolio of life annuities based on RORAC JOURNAL OF APPLIED STATISTICS. Vol. 44. Pag.1875-1892 ISSN:0266-4763. | |
| Baione, F; DE ANGELIS, P; Menzietti, Massimiliano; Tripodi, A. | |
| Digital Object Identifier (DOI): 10.1080/02664763.2016.1238047 Codice identificativo ISI: WOS:000402710600010 Codice identificativo SCOPUS: 2-s2.0-84992349860 | |
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| 2017 | |
| Articolo in rivista | |
| Maximum Market Price of Longevity Risk under Solvency Regimes: The Case of Solvency II RISKS. Vol. 5. Pag.1-21 ISSN:2227-9091. | |
| Levantesi, S; Menzietti, Massimiliano | |
| Digital Object Identifier (DOI): 10.3390/risks5020029 Codice identificativo ISI: WOS:000407087700009 Codice identificativo SCOPUS: 2-s2.0-85066927795 | |
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| 2017 | |
| Articolo in rivista | |
| A longevity basis risk analysis in a Joint FDM framework JOURNAL OF RISK FINANCE. Vol. 18 (1). Pag.55-75 ISSN:1526-5943. | |
| D'Amato, Valeria; Coppola, Mariarosaria; Levantesi, Susanna; Menzietti, Massimiliano; Russolillo, Maria | |
| Digital Object Identifier (DOI): 10.1108/JRF-03-2016-0030 Codice identificativo ISI: WOS:000395693500004 Codice identificativo SCOPUS: 2-s2.0-85009820718 | |
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| 2012 | |
| Articolo in rivista | |
| Managing longevity and disability risks in life annuities with long termcare INSURANCE MATHEMATICS & ECONOMICS. Vol. 50. Pag.391-401 ISSN:0167-6687. | |
| Levantesi, S; Menzietti, Massimiliano | |
| Digital Object Identifier (DOI): doi:10.1016/j.insmatheco.2012.01.004 Codice identificativo ISI: WOS:000303295400010 Codice identificativo SCOPUS: 2-s2.0-84858645565 | |
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| 2011 | |
| Articolo in rivista | |
| Modelling and Managing Longevity and Disability Risks in Long Term Care Insurance ADVANCES AND APPLICATIONS IN STATISTICAL SCIENCES. Vol. 6. Pag.549-573 ISSN:0974-6811. | |
| Levantesi, S; Menzietti, Massimiliano | |
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265024Longevity Bond Pricing Models: an Application to the Italian Annuity Market and Pension Schemes
| 2009 | |
| Articolo in rivista | |
| Longevity Bond Pricing Models: an Application to the Italian Annuity Market and Pension Schemes GIORNALE DELL'ISTITUTO ITALIANO DEGLI ATTUARI. Vol. 72. Pag.123-145 ISSN:0390-5780. | |
| Levantesi, S; Menzietti, Massimiliano; Torri, T. | |
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| 2007 | |
| Articolo in rivista | |
| OPTIMISATION OF CONDITIONAL-VAR IN AN ACTUARIAL MODEL FOR CREDIT RISK ASSUMING A STUDENT COPULA DEPENDENCE STRUCTURE INVESTMENT MANAGEMENT & FINANCIAL INNOVATIONS. Vol. 4. Pag.39-56 ISSN:1810-4967. | |
| Masala, G; Menzietti, Massimiliano; Micocci, M. | |
| Codice identificativo SCOPUS: 2-s2.0-84891878416 | |
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| 2006 | |
| Articolo in rivista | |
| A Copula Based Actuarial Model for Credit Risk in a Multiperiod Framework ECONOMIA, SOCIETÀ E ISTITUZIONI. Vol. 18. ISSN:1593-9456. | |
| Masala, G; Menzietti, Massimiliano; Micocci, M. | |
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| 2005 | |
| Articolo in rivista | |
| Pricing Credit Derivatives with a Copula-based Actuarial Model for Credit Risk ECONOMIA, SOCIETÀ E ISTITUZIONI. Vol. 1. Pag.79-102 ISSN:1593-9456. | |
| Masala, G; Menzietti, Massimiliano; Micocci, M. | |
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| 2002 | |
| Articolo in rivista | |
| The developpement of an optimal Bonus-Malus system in a competitive market ASTIN BULLETIN. Pag.159-170 ISSN:0515-0361. | |
| Menzietti, Massimiliano; Baione, F.; Levantesi, S. | |
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