Publications & Citations
Proceedings from scholarly meetings
| Year | Title / Publication | Link |
|---|---|---|
| 2012 | Stationary Solutions of Some Nonlinear Black-Scholes Type Equations Arising in Option Pricing Springer |
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Journal article
| Year | Title / Publication | Link |
|---|---|---|
| 2024 | Mortality at the county level in the USA-Mexico and USA-Canada border regions Estudios Fronterizos |
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| 2022 | Pricing life annuities for impaired lives: the case of Portugal Anales del Instituto de Actuarios Españoles |
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| 2021 | Life Expectancy Improvements by Age, Class, and Mortality Chapter in France, Czechia, and the United States Demografie, Review for Population Research |
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| 2020 | Mortality of elite football players in Portugal and Spain Anales del Instituto de Actuarios Españoles |
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| 2018 | Fair value of life insurance liabilities Contabilidade & Gestão |
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| 1991 | Combining Quota-share and Excess of Loss Treaties on the Reinsurance of n Independent Risks Astin Bulletin |
Paper presented at academic or professional meetings
| Year | Title / Publication | Link |
|---|---|---|
| 2022 | Mathematics & Insurance: An Illustration of a (sometimes) Complex Relationship |
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| 2022 | Mortality in the United States’ Border Regions : A Closer Look at the U.S. Mexico and U.S. Canada Borders |
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| 2022 | Pension Projections in DC Pension Schemes |
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| 2022 | Development of a tool for making projections in DC pension schemes |
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| 2021 | Sustainability and Reform of the Brazilian Pensions System |
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| 2019 | PORTUGAL MORTALITY REPORT 2019 |
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| 2019 | Mortality of Elite Athletes: An Application to Football Players |
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| 2018 | Pricing Impaired Life Annuities |
Book
| Year | Title / Publication | Link |
|---|---|---|
| 2018 | Investigação Operacional Escolar Editora |
Exercises book on a taught subject of the school
| Year | Title / Publication | Link |
|---|---|---|
| 2019 | Investigação Operacional. Exercícios e Aplicações Escolar Editora |
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Chapter
| Year | Title / Publication | Link |
|---|---|---|
| 2020 | A MATEMÁTICA DAS PENSÕES EM PORTUGAL: HISTÓRIA RECENTE Atena Editora |
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Research Monograph
| Year | Title / Publication | Link |
|---|---|---|
| 2019 | PORTUGAL MORTALITY REPORT 2019 |
Working Papers
| Year | Title / Publication | Link |
|---|---|---|
| 2023 | An ‘Eiopean’ Tool to Project Post Retirement Income in Portuguese Defined Contribution Pension Schemes REM Working Papers |
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| 2021 | Reform of the Brazilian RGPS Pensions System REM Working Papers |
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| 2020 | Breaking Life Expectancy into Small Pieces Working Paper REM (Research in Economics and Mathematics) - ISEG (School of Economics and Management) /Universidade de Lisboa |
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Invited in academic conference
| Year | Title / Publication | Link |
|---|---|---|
| 2023 | European Seminar on Private Pensions - Country Analysis - Portugal |
Teaching
2024/2025
| Semester | Course | Degree | Coordinator |
|---|---|---|---|
| 2º | Matemática Financeira | Licenciatura Bolonha em Gestão - Gestão, Licenciatura Bolonha em Matemática Aplicada à Economia e à Gestão - Matemática Aplicada à Economia e à Gestão, Licenciatura Bolonha em Economia - Economia, Licenciatura Bolonha em Finanças - Finance | Yes |
| 2º | Survival Models and Life Contingencies | Doutoramento Bolonha em Matemática Aplicada à Economia e à Gestão - Matemática Aplicada à Economia e à Gestão, Mestrado Bolonha em Ciências Actuariais - Actuarial Science | Yes |
| 1º | Financial Mathematics | Mestrado Bolonha em Economia - Economia, Mestrado Bolonha em Matemática Financeira - Mathematical Finance, Mestrado Bolonha em Ciências Actuariais - Actuarial Science, Mestrado Bolonha em Economia Monetária e Financeira - Economia Monetária e Financeira | Yes |
| 1º | Actuarial Topics | Mestrado Bolonha em Ciências Actuariais - Actuarial Science | Yes |
| Year | Student Name / Title / Institution | Supervision Type | Link |
|---|---|---|---|
| 2022/2023 | ALAN GUILHERME PINHEIRO Adjustment of Mortality Tables in Workers' Compensation Insurance (A Case Study) Instituto Superior de Economia e Gestão |
Master | Ver |
| 2022/2023 | BERNARDO MARIA LOPES PIMENTA Allocation of Operational Costs under Transition to IFRS 17 - a Practical Approach Instituto Superior de Economia e Gestão |
Master | Ver |
| 2022/2023 | MARIANA FRAZÃO LOPES Long-term Impact of Climate Change on Mortality - a Study for Portugal Instituto Superior de Economia e Gestão |
Master | Ver |
| 2022/2023 | EDUARDO FILIPE DA SILVA PESO EU-wide Stress Test: Estimation of Credit Risk Parameters and Impairments Instituto Superior de Economia e Gestão |
Master | Ver |
| 2022/2023 | ANA CAROLINA GAMA SILVA Fair Value Reserves and Independent Price Verification with a Focus on Index/Index Correlation |
Master | Ver |
| 2022/2023 | ANA BEATRIZ TEODORO DA SILVA Calculations of the Value at Risk for a Diversified Portfolio |
Master | Ver |
| 2022/2023 | MARIANA IRINÉO GODINHO The impact of climate change on life insurance premiums: a panel data analysis of EU countries |
Master | Ver |
| 2021/2022 | EDWARD PETER MADDOCKS Post-covid inflation and the decline of UK defined benefit pension schemes Instituto Superior de Economia e Gestão |
Master | Ver |
| 2021/2022 | ANDRÉ CORREIA ARAÚJO ANÁLISE DE RENTABILIDADE DE NOVOS PRODUTOS VIDA (NEW BUSINESS VALUE) Instituto Superior de Economia e Gestão |
Master | Ver |
| 2021/2022 | VERANIKA KANAPLITSKAYA CLIMATE CHANGE THE POTENTIAL IMPACT ON PENSION SCHEMES IN UK Instituto Superior de Economia e Gestão |
Master | Ver |
| 2021/2022 | SHAMSUDEEN ABIOLA AMINU Financial Performance of Pension Funds in Nigeria Instituto Superior de Economia e Gestão |
Master | Ver |
| 2021/2022 | TUNG NGUYEN XUAN AN APPLICATION OF CLUSTERING ANALYSIS TO THE COMPARISON OF MORTALITY RATES Instituto Superior de Economia e Gestão |
Master | Ver |
| 2021/2022 | JOLANTA LASOVSKA THE THREE PILLARS OF INCOME AFTER RETIREMENT: A COMPARATIVE STUDY Instituto Superior de Economia e Gestão |
Master | Ver |
| 2021/2022 | RODOLFO MONFILIER PERES MODELLING HOSPITAL ADMISSION RATES IN SÃO PAULO, BRAZIL LEE-CARTER MODEL VS. NEURAL NETWORKS Instituto Superior de Economia e Gestão |
Master | Ver |
| 2020/2021 | MELANIE JEAN JOERGER MORTALITY IN THE UNITED STATES’ BORDER REGIONS: A CLOSER LOOK AT THE U.S.-MEXICO AND U.S.-CANADA BORDERS Instituto Superior de Economia e Gestão |
Master | Ver |
| 2019/2020 | FILIPE DE OLIVEIRA BELLO Assessing the Sustainability of a Public Pension System: the Case of Brazil |
Master | Ver |
| 2019/2020 | LORENZO SERLENGA Effect of Transfers on Liabilities of Pension Schemes |
Master | Ver |
| 2019/2020 | CATARINA PEREIRA OLIVEIRA ON THE TECHNICAL ASPECTS AND PRACTICAL APPLICATION OF THE IFRS 17 RISK ADJUSTMENT |
Master | Ver |
| 2019/2020 | MIGUEL MILHANO PINTO ELYSEU Challenges to Life Insurance in Times of Low Interest Rates |
Master | Ver |
| 2019/2020 | ANDREIA SIMÕES PEREIRA Risk adjustment in a Life Insurance Portfolio |
Master | Ver |
| 2019/2020 | MARIA INÊS COSTA CORREIA Cluster Analysis of Financial Time Series |
Master | Ver |
| 2019/2020 | TIAGO LIMA DE CARVALHO Asset-Liability Management in Pension Funds |
Master | Ver |
| 2019/2020 | JOSÉ PEDRO RODRIGUES DINIS Planos e Fundos de Pensões no Reino Unido: uma visão geral |
Master | Ver |
| 2019/2020 | DIOGO RICARDO VIEIRA RAMALHO PREDICTIVE PERFORMANCE OF VALUE-AT-RISK MODELS - COVID-19 ?Pandemonium? |
Master | Ver |
| 2018/2019 | ANDREY DAVID UGARTE MONTERO NEW INSIGHTS INTO MORTALITY AND LONGEVITY - THE CASES OF FRANCE, CZECH REPUBLIC AND USA |
Master | Ver |
| 2018/2019 | ARTA ZAJMI EQUALIZATION OF GUARANTEED MINIMUM PENSIONS IN THE UNITED KINGDOM |
Master | Ver |
| 2018/2019 | JOÃO MANUEL DE AGUIAR MORAIS DE MATOS Impact of a Longevity Swap on a UK Pension Scheme |
Master | Ver |
| 2018/2019 | HALIYAH HANNAH SAGAY-YUSUF Introducing a New Retirement Savings Scheme to the UK |
Master | Ver |
| 2018/2019 | PATRÍCIA RAQUEL LOPES OLIVEIRA SOLVENCY BASIS ? FEATURES AND PURPOSES OF A SOLVENCY VALUATION OF A PENSION SCHEME |
Master | Ver |
| 2018/2019 | MARIA DA GRAÇA DE TAVARES E TÁVORA PEREIRA COUTINHO Analysing Data from Pension Schemes: Data Quality and Relevance for Actuarial Valuations |
Master | Ver |
| 2017/2018 | STEPHANIE LUCIC ARENAS ACTUARIAL GAINS AND LOSSES FOR AN IRISH PENSION SCHEME |
Master | Ver |
| 2017/2018 | INES FILIPA COSTA MARQUES MORTALITY OF ELITE ATHLETES: AN APPLICATION TO FOOTBALL PLAYERS |
Master | Ver |
| 2017/2018 | MIHAELA CRAVCENCO O indicador de esperança de vida saudável |
Master | Ver |
| 2017/2018 | BRUNO MIGUEL COUTO GUERREIRO HETEROGENEIDADE NAS TAXAS DE MORTALIDADE: UM ESTUDO COMPARADO |
Master | Ver |
| 2017/2018 | TIAGO JOSÉ FARIA CORREIA A MORTALITY & LONGEVITY STUDY - THE PORTUGUESE CASE |
Master | Ver |
| 2017/2018 | PETER DAMILARE OLALEYE MORTALITY INVESTIGATION - DOES LIFE TABLE PA90 MODEL ANNUITANTS MORTALITY IN NIGERIA? |
Master | Ver |
| 2017/2018 | MARGARITA SYSKAKI Impact of the recent financial crisis on social and private insurance: the cases of Greece and Germany |
Master | Ver |
| 2016/2017 | MARIA ANA E CASTELLO-BRANCO DOS SANTOS Backtesting of a Credit Scoring System under the Current Regulatory Framework |
Master | Ver |
| 2016/2017 | LAURA TCHOUACHE NDAYONG Measuring the Impact of Mortality Experience on an Actuarial Valuation |
Master | Ver |
| 2016/2017 | MARGARITA SYSKAKI Impact of the financial crisis on life insurance in Greece |
Master | |
| 2016/2017 | INES FILIPA COSTA MARQUES Extra mortality risk: a study for athletes |
Master | |
| 2016/2017 | MARIA STAVRIANAKI Term dependent assumptions - application and features of discount rate and increase curves |
Master | Ver |
| 2016/2017 | MARIA INÊS PEREIRA ROSA Setting assumptions - different ways of measuring the funding position of a UK pension scheme |
Master | Ver |
| 2016/2017 | BRUNO MIGUEL COUTO GUERREIRO Heteregeneidade nas Taxas de Mortalidade - um estudo comparado |
Master | |
| 2016/2017 | FILIPA ALEXANDRA DIAS NICOLAU MORTALIDADE E INVALIDEZ NUMA CARTEIRA DO RAMO VIDA: MODELOS TEÓRICOS E UMA APLICAÇÃO |
Master | Ver |
| 2015/2016 | MAFALDA JOÃO TRINDADE MONTEIRO Gestão de Activos e Passivos no Negócio Vida |
Master | Ver |
| 2015/2016 | ANA LUÍSA MENDES LIMA PEREIRA Analysis of the Claims Data of a Life Insurance Portfolio |
Master | Ver |
| 2015/2016 | BRUNO MIGUEL COUTO GUERREIRO Heterogeneidade nas taxas de mortalidade: um estudo comparado |
Master | |
| 2015/2016 | MARIA ANA E CASTELLO-BRANCO DOS SANTOS Risk Rating Philosophy (PIT versus TTC): Calibration tests and practical evaluation of default rates using a Residential Real Estate Scoring model |
Master | |
| 2015/2016 | CLAUDIA SOFIA CARRILHO BARRADAS Impaired Life Annuities |
Master | Ver |
| 2014/2015 | MBELLI NJAH NKWENTI Application of Stochastic Models on the Portuguese Population and Distortion to Workers Conpensation Pensioners Experience |
Master | Ver |
| 2014/2015 | RICARDO BRITO MELO Modelos de Otimização para a Gestão de Ativos e Passivos nos Fundos de Pensões |
Master | Ver |
| 2014/2015 | CLAUDIA SOFIA CARRILHO BARRADAS Impaired and Enhanced Life Annuities |
Master | |
| 2014/2015 | ANA LUÍSA MENDES LIMA PEREIRA Analysis of the Claims Data of a Life Insurance Portfolio |
Master | |
| 2014/2015 | FLAVIO POLESE The Liabilities of a Post-Retirement Brazilian Health Plan According to IAS 19R |
Master | Ver |
| 2014/2015 | JOANA CATALINA MENDES MOREIRA SAÚDE GREGÓRIO Life Annuities and Ruin |
Master | Ver |
| 2014/2015 | RUTE MARISA LOPES FERREIRA Estudo da Homogeneidade nas Taxas de Mortalidade da População Portuguesa |
Master | Ver |
| 2013/2014 | EUNICE ALEXANDRA MADEIRA BALAU PREMIUMS AND RESERVES IN LIFE INSURANCE POLICIES: THE WORST-CASE SCENARIO AND SOLVENCY II |
Master | Ver |
| 2013/2014 | ALICE LOUREIRO LEOCÁDIO BOTELHO DE LEMOS A Study on Thiele's Differential Equation |
Master | Ver |
| 2013/2014 | RITA ISABEL DÓRIA GAMEIRO LOPES Volatility Derivatives and Volatility Indexes: an Overview |
Master | Ver |
| 2013/2014 | RICARDO BRITO MELO Otimização do fundo de pensão português através da programação dinâmica e estocástica |
Master | |
| 2012/2013 | BHIM PRASAD PAUDEL Life Insurance and Public and Private Pensions: a Survey across Some Countries |
Master | Ver |
| 2012/2013 | ANJA BOSKOVIC DEVELOPMENT OF LIFE INSURANCE MARKET IN MONTENEGRO AND ITS IMPACT ON THE MONTENEGRIN ECONOMY |
Master | Ver |
| 2012/2013 | INÊS MARIA DOS SANTOS PONTE DA SILVA European Embedded Value - Aplicação a uma Carteira |
Master | Ver |
| 2012/2013 | ANA RITA PITA GROZ COSTA Ultimate Forward Rate e Planos e Fundos de Pensões |
Master | Ver |
| 2012/2013 | ELIF YUCAL Profitability Study of the Annuities of EY-Insurance |
Master | Ver |
| 2012/2013 | DANIELA ALEXANDRA DINIS PATEIRO Construção de tábuas de mortalidade dinâmicas para o mercado português de fundos de pensões e avaliação do risco de longevidade |
Master | Ver |
| 2011/2012 | PEDRO BRIGAS MARCELINO Construção de uma tarifa de seguro de saúde vitalício |
Master | Ver |
| 2011/2012 | PEDRO MARZAGÃO BARBUTO Anuidades Variáveis com Garantias - Cálculo do Prémio e Hedging dos Riscos |
Master | Ver |
| 2011/2012 | DAVID FILIPE CAVALEIRO AMARO Atratividade e Canibalismo no Desenho da Rede de Balcões de um Banco |
Master | Ver |
| 2011/2012 | HÉLIO RODRIGO SERRA SILVA Imunização dos Efeitos Cíclicos no Cálculo das Provisões Técnicas em Ambiente Solvência II |
Master | Ver |
| 2011/2012 | JOSÉ EDUARDO FIDALGO FREIRE CRUZ Cálculo da Loss Given Default no Crédito à Habitação com Cadeias de Markov |
Master | Ver |
| 2011/2012 | ANDRÉ MATIAS HERDADE Medidas de Performance, Medidas de Risco e Medidas de Eficiência na Análise a uma Carteira de Ativos Financeiros |
Master | Ver |
| 2011/2012 | PATRICIA FILIPA PEGAS DA SILVA Seleção da Carteira de Ativos de uma Seguradora em Tempos de Crise - O Critério Minimax |
Master | Ver |
| 2010/2011 | ANA ISABEL AMARO DE SOUSA METODOLOGIAS PARA MENSURAR A EXPOSIÇÃO AO RISCO DE CRÉDITO DE CONTRAPARTE DE DERIVADOS OVER-THE-COUNTER |
Master | Ver |
Professional Experience
| Name / Description | Date | Organization |
|---|---|---|
| Matemática |
2023 | ISEG |