Catalogo dei Corsi di studio

Present position
Associate Professor in Mathematical Methods of Economics and Actuarial and Financial Science, Department of Statistical Sciences, Faculty of Information Engineering, Computer and Statistics, Sapienza University of Rome, Italy.

Past position
2008-2019. Assistant Professor in Mathematical Methods of Economics and Actuarial and Financial Science, Department of Statistical Sciences, Faculty of Information Engineering, Computer and Statistics, Sapienza University of Rome, Italy.

2005-2008. Research fellow in Mathematical Methods of Economics and Actuarial and Financial Sci- ence, Department of Actuarial and Financial Science, Faculty of Statistics, Sapienza University of Rome, Italy. Research project: Il ruolo del settore assicurativo nella tutela degli anziani: analisi delle basi tecnico- demografiche e ipotesi di coperture adeguate per i rischi legati all invecchiamento (Advisor: Lucia Vitali)

2004-2005. Actuary at INAIL (National Institute for Insurance against Accidents at Work), Rome, Italy, Winner of the public competition Professionista del ramo attuariale announced 11/11/2001.

Education
20/04/2021. Italian National Scientific Qualification for the role of Full Professor, Sector 13/D4.
12/05/2004. PhD in Actuarial Science (XVI cycle), Faculty of Statistics, Sapienza University of Rome, Italy.
27/09/1999. Degree in Actuarial Science and Statistics, Faculty of Statistics, Sapienza University of Rome, Italy.

Society memberships, awards and honors
18/06/2021. ESSEC - AMUNDI ESG Award, Paper ESG Score Prediction Through Random Forest Algo- rithm , Presented at CEMA 2020-21 (Commodity and Energy Markets Association).
2021 present. Member of the Board of the Professional Association of Italian Actuaries.
2018 present. Member of the Scientific Committee of the Professional Association of Italian Actuaries.
2001 present. Member (Fully Qualified Actuary) of the Professional Association of Italian Actuaries.
2011 present. Member of the Working Group on the Mortality of pensioners and annuitants in Italy , Founded by the Professional Association of Italian Actuaries and the National Association of the Insurance Companies.
2001 2018. Member of AMASES (Association for Mathematics Applied to Economics and Social Sciences).
1/03 1/12/2011. Expert on the validation of data on long-term care of the elderly, Appointed by the Committee for Statistical Information (CoGIS), the Prime Minister s Office.
2017. Grant for research activity, (Law 240/10, art. 29), Sapienza University of Rome, Italy.
2014. Grant for research activity, (Law 240/10, art. 29), Sapienza University of Rome, Italy.
2000-2003. MIUR Scholarship for Ph.D. program in Actuarial Science (XVI course), Faculty of Statistics, Sapienza University of Rome, Italy.

Research interests
Environmental, Social and Governance (ESG) factors; Machine learning in insurance and finance; Longevity risk: modeling and management; Pricing of mortality-linked securities; Solvency capital requirements for life insurance and pension funds; Actuarial models for health insurance (Long Term Care, Critical Illness).

Publications
1. Levantesi, S., Nigri, A., Piscopo, G., Spelta, A. (2023). Multi-country clustering-based forecasting of healthy life expectancy. Quality & Quantity. DOI: 10.1007/s11135-022-01611-6
2. Fratoni, L., Levantesi S., Menzietti M. (2022). Measuring financial sustainability and social adequacy of the Italian NDC pension system under the COVID-19 pandemic. Sustainability, 14, 16274. DOI: DOI: 10.3390/su142316274
3. Cardillo, G., Giordani, P., Levantesi, S., Nigri, A. (2022). A tensor-based approach to cause-of-death mortality
modeling. Annals of Operations Research. DOI: 10.1007/s10479-022-05042-2
4. Nigri, A., Levantesi, S., Aburto, J.M. (2022). Leveraging deep neural networks to estimate age specific mortality
from life expectancy at birth. Demographic research, 47, 8: 199-232.
5. Marino, M., Levantesi, S., Nigri, A. (2022). A Neural Approach to Improve the Lee-Carter Mortality Density
Forecasts. North American Actuarial Journal. DOI: 10.1080/10920277.2022.2050260
6. D Amato, V., Levantesi, S., Piscopo, G. (2022). Deep learning in predicting cryptocurrency volatility. Physica A:
Statistical Mechanics and its Applications, 596: 127-158. DOI: 10.1016/j.physa.2022.127158
7. Nigri, A., Barbi, E., Levantesi, S. (2022). The relay for human longevity: country-specific contributions to the
increase of the best-practice life expectancy. Quality & Quantity. DOI: 10.1007/s11135-021-01298-1
8. Nigri, A., Levantesi, S., Piscopo, G. (2022). Causes-of-Death Specific Estimates from Synthetic Health Measure: A Methodological Framework. Social Indicators Research. DOI: 10.1007/s11205-021-02870-w
9. Levantesi, S., Nigri, A., Piscopo, G. (2022). Clustering-based simultaneous forecasting of life expectancy time series through Long-Short Term Memory Neural Networks. International Journal of Approximate Reasoning, 140: 282-297.
10. Levantesi, S., Piscopo, G. (2022). Mutual peer-to-peer insurance: The allocation of risk. Journal of Co-operative Organization and Management., 10(1), 100154. DOI: 10.1016/j.jcom.2021.100154. Published on line 22 November 2021.
11. D Amato, V., D Ecclesia, R.L., Levantesi, S. (2021). ESG score prediction through random forest algorithm. Computational Management Science. DOI: 10.1007/s10287-021-00419-3. Published on line 2 December 2021.
12. D Amato, V., D Ecclesia, R.L., Levantesi, S. (2021). Fundamental ratios as predictors of ESG scores: a machine learning approach. Decisions in Economics and Finance, 44(2): 1087-1110. DOI: 10.1007/s10203-021-00364-5. Published on line 12 November 2021.
13. Nigri, A., Barbi, E., Levantesi, S. (2021). The relationship between longevity and lifespan variation. Statistical Methods & Applications. DOI: 10.1007/s10260-021-00584-4
14. Herteliu, C., Levantesi, S., Rotundo, G. (2021). Network analysis of pension funds investments. Physica A: Statistical Mechanics and its Applications, 579: 126-139. DOI: 10.1016/j.physa.2021.126139
15. Levantesi, S., Zacchia, G. (2021). Machine Learning and Financial Literacy: An Exploration of Factors Influencing Financial Knowledge in Italy. Journal of Risk and Financial Management, 14(3), 120. DOI: 10.3390/jrfm14030120
16. Levantesi, S., Piscopo, G. (2021). COVID-19 crisis and resilience: challenges for the insurance sector. Advances
in Management and Applied Economics, 11(3): 1-12. DOI: 10.47260/amae/1131
17. D Arcangelis, A., Levantesi, S., Rotundo, G. (2021). A complex networks approach to pension funds. Journal of
Business Research, 129: 687-702. DOI: 10.1016/j.jbusres.2019.10.071
18. Devolder, P., Levantesi, S., Menzietti, M. (2021). 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, 299: 765-795. DOI: 10.1007/s10479-020-03819-x
19. Nigri, A., Levantesi, S., Marino, M. (2021). Life expectancy and lifespan disparity forecasting: a long short-term
memory approach. Scandinavian Actuarial Journal, 2: 110-133. DOI: 10.1080/03461238.2020.1814855
20. Bozzo, G., Levantesi, S., Menzietti, M. (2021). Longevity risk and economic growth in sub-populations: evidence
from Italy. Decisions in Economics and Finance, 44: 101-115. DOI: 10.1007/s10203-020-00275-x
21. Levantesi, S., Piscopo, G. (2020). Insurance Role for Handling the COVID-19 impact on Business and Society.
Journal of Applied Management and Investments, 9 (4): 183-191.
22. Levantesi, S., Nigri, A., Piscopo, G. (2020). Longevity risk management through Machine Learning: state of the
art. Insurance Markets and Companies, 11(1): 11-20. DOI: 10.21511/ins.11(1).2020.02
23. Levantesi, S., Piscopo, G. (2020). The Importance of Economic Variables on London Real Estate Market: A
Random Forest Approach. Risks, 8(4), 112. DOI:10.3390/risks8040112
24. D Amato, V., Levantesi S., Menzietti M. (2020). De-risking Long Term Care insurance. Soft Computing, 24:
8627-8641. DOI: 10.1007/s00500-019-04658-0
25. Levantesi, S., Nigri, A. (2020). A random forest algorithm to improve the Lee-Carter mortality forecasting: impact
on q-forward. Soft Computing, 24: 8553-8567. DOI: 10.1007/s00500-019-04427-z
26. Nigri, A., Levantesi, S., Marino, M., Scognamiglio, S., Perla, F. (2019). A deep learning integrated Lee-Carter
model. Risks, 7(1), 33. ISSN: 2227-9091. DOI:10.3390/risk7010033
27. Levantesi S., Pizzorusso, V. (2019). Application of Machine Learning to Mortality Modeling and Forecasting.
Risks, 7(1), 26. ISSN: 2227-9091. DOI:10.3390/risk7010026
28. D Amato V., Coppola M., Levantesi S. (2018). An option pricing approach for measuring Solvency Capital
Requirements in Insurance Industry. Physica A: Statistical Mechanics and its Applications, 509: 717-728. ISSN:
0378-4371. DOI: 10.1016/j.physa.2018.05.113
29. Baione F., Levantesi S. (2018). Pricing Critical Illness insurance from prevalence rates: Gompertz versus Weibull.
North American Actuarial Journal, 22(2): 270-288. ISSN: 1092-0277. DOI: 10.1080/10920277.2017.1397524
30. Levantesi S., Menzietti, M. (2018). Natural hedging in Long Term Care insurance. ASTIN Bulletin, 48(1):
233-274. ISSN: 0515-0361. DOI: 10.1017/asb.2017.29
31. Levantesi S., Menzietti M. (2017) Maximum Market Price of Longevity Risk under Solvency Regimes: The Case
of Solvency II. Risks, 5 (2), 29. ISSN: 2227-9091. DOI: 10.3390/risks5020029.
32. D Amato V., Coppola M., Levantesi S., Menzietti M., Russolillo M. (2017). A longevity basis risk analysis in a
joint FDM framework. The Journal of Risk Finance, 18 (1): 55-75. ISSN: 1526-5943.
33. Baione F., Levantesi S. (2014). A health insurance pricing model based on prevalence rates: application to critical illness insurance. Insurance: Mathematics and Economics, 58: 174-184. ISSN: 0167-6687.
34. Levantesi S. (2013). Solvency capital requirements for longevity risk under different stochastic mortality models.
Advances and Applications in Statistics, 33 (2). ISSN: 0972-3617.
35. Levantesi S., Menzietti M. (2012). Managing longevity and disability risks in life annuities with Long Term Care.
Insurance: Mathematics and Economics, 50: 391-401. ISSN: 0167-6687.
36. Coppola M., D Amato V., Levantesi S., Menzietti M., Russolillo M. (2012). Measuring and Hedging the basis risk
by Functional Demographic Models. Mathematical Methods in Economics and Finance, 7 (1), 2012: 19-39. ISSN:
1971-6419.
37. Levantesi S., Menzietti M. (2011). Modelling and managing longevity and disability risks in Long Term Care
insurance. Advances and Applications in Statistical Sciences, 6 (5): 549-574. ISSN: 0974-6811.
38. Levantesi S., Menzietti M., Torri T. (2009). Longevity bond pricing models: an application to the Italian annuity
market and pension schemes. Giornale dell Istituto Italiano degli Attuari, 72 (1): 125-147. ISSN: 0390-5780.
39. Levantesi S. (2006). An actuarial model for pricing Long Term Care insurance with Dread Disease acceleration
benefit. Giornale dell Istituto Italiano degli Attuari, 69: 69-86. ISSN: 0390-5780.
40. Baione F., Levantesi S., Menzietti M. (2002). The Development of an Optimal Bonus-Malus System in a
Competitive Market. ASTIN Bulletin, 32 (1): 159-170. Ed. Peeters, Leuven (Belgium). ISSN: 0515-0361.
41. Cardillo, G., Giordani, P., Levantesi, S., Nigri, A. (2022). An Application of the Tensor-Based Approach to Mortality Modeling. In: Corazza, M. et al. (eds): MAF 2022, Mathematical and Statistical Methods for Actuarial Sciences and Finance, 134-139. Springer, Cham.
42. Cefalo, L., Levantesi, S., Nigri, A. (2022). Modelling Life Expectancy Gender Gap in a Multi-population Framework. In: Corazza, M. et al. (eds): MAF 2022, Mathematical and Statistical Methods for Actuarial Sciences and Finance, 151-155. Springer, Cham.
43. Fratoni, L., Levantesi, S., Menzietti, M. (2022). Automatic Balance Mechanisms in an NDC Pension System with Disability Benefits. In: Corazza, M. et al. (eds): MAF 2022, Mathematical and Statistical Methods for Actuarial Sciences and Finance, 266-271. Springer, Cham.
44. Levantesi, S., Nigri, A, Piscopo, G. (2022). Predicting the second wave of COVID-19 pandemic through the Dynamic Evolving Neuro Fuzzy Inference System. In: Skiadas C.H. and Skiadas C., Quantitative Methods in Demography: Methods and Related Applications in the Covid-19 Era. The Springer Series on Demographic Methods and Population Analysis, 52. Chapter 3. Springer. ISBN: 9783030930042.
45. Levantesi, S., Nigri, A, Piscopo, G. (2021). Improving longevity risk management through machine learning. In: Abedin, M.Z., Hassan, M.K., Hajek, P., Uddin, M.M., The Essentials of Machine Learning in Finance and Accounting (1st ed.), p. 37-56. Routledge. DOI: 10.4324/9781003037903
46. Levantesi S., Menzietti M. (2021). Modelling health transitions in Italy: a generalized linear model with disability duration. In: Corazza, M. et al., Mathematical and Statistical Methods for Actuarial Sciences and Finance: eMAF2020. Springer International Publishing. ISBN: 978-3-030-78964-0.
47. Laporta, A.G., Levantesi, S., Petrella, L. (2021). Quantile regression neural network for quantile claim amount estimation. In: Corazza, M. et al., Mathematical and Statistical Methods for Actuarial Sciences and Finance: eMAF2020. Springer International Publishing. ISBN: 978-3-030-78964-0.
48. Marino, M., Levantesi, S. (2021). The Neural Network Lee Carter Model with Parameter Uncertainty: The Case of Italy. In: Corazza, M. et al., Mathematical and Statistical Methods for Actuarial Sciences and Finance: eMAF2020. Springer International Publishing. ISBN: 978-3-030-78964-0.
49. Baione F., De Angelis P., Levantesi S., Menzietti M., Tripodi A. (2016). Modelli attuariali per la stima di basi tecniche relative ad assicurazioni di persone. In: De Angelis P. Di Falco L.. Assicurazioni sulla salute: caratteristiche, modelli attuariali e basi tecniche, p. 85-121, Il Mulino, ISBN: 978-88-15-26084-0
50. Baione F., Conforti C., Levantesi S., Menzietti M., Tripodi A. (2016). Stima di basi tecniche per assicurazioni LTC, malattie gravi e invalidità. In: De Angelis P. Di Falco L.. Assicurazioni sulla salute: caratteristiche, modelli attuariali e basi tecniche, p. 123-196, Il Mulino, ISBN: 978-88-15-26084-0
51. Levantesi S., Menzietti M., Torri T. (2012). On longevity risk securitization and solvency capital requirements in life annuities. In: Perna C., Sibillo M. Mathematical and Statistical Methods for Actuarial Sciences and Finance, p. 255-262, Milano: Springer, ISBN: 9788847023420.
52. Baione F., Levantesi S., Marchese R., Menzietti M., Tripodi A. (2012). Un approccio risk-based per il calcolo della tariffa Medical Malpractice. In: Boccadoro A. De Angelis P. Sanità pubblica e assicurazioni. Il fair price del rischio medical malpractice, p. 49-112, Cedam, ISBN: 9788813314750
53. Levantesi S., Menzietti M. (2010). Managing Demographic Risk in Enhanced Pensions. In: Corazza M., Pizzi C.Mathematical and Statistical Methods for Actuarial Sciences and Finance, p. 173-182. Milano: Springer. ISBN:
978-88-470-1480-0
54. Levantesi S., Menzietti M., Torri T. (2010). The Securitization of Longevity Risk in Pension Schemes: The
Case of Italy. In: Micocci M., Gregoriou G., Masala G. Pension Fund Risk Management: Financial and Actuarial
Modeling, 15: 331-362. Chapman & Hall/CRC Finance Series. ISBN: 9781439817520
55. Levantesi S., Torri T. (2009). Setting the Hedge of Longevity Risk for Annuity Providers through Securitization. In: Angela C., Carrillo Menéndez S., Micocci M., Navarro Arribas E., Ottaviani R., Pressacco F. New Frontiers in
Insurance and Bank Risk Management, 6: 69-84. McGraw-Hill Italia. ISBN: 978-88-386-6061-0
56. Levantesi S., Menzietti M. (2008). A Biometric Risk Analysis in Long Term Care Insurance. In: Perna C., Sibillo M. Mathematical and Statistical Methods for Insurance and Finance, p. 149-156, Milano: Springer, ISBN: 9788847007031
57. Levantesi S., Menzietti M. (2016). Allungamento della vita media e rischio assicurativo. Collana: Scienze Assicurative Insurance Sciences, 2: 1-92. Napoli: Edizioni Scientifiche Italiane. ISBN: 978-88-495-3147-3.
58. Lizzi, M., Levantesi, S., Nigri, A. (2022). An application of contrast trees for mortality models diagnostic and boosting. Book of short papers. 10th International Conference IES 2022 Innovation & Society 5.0: Statistical and Economic Methodologies for Quality Assessment. PKE. ISBN 978-88-94593-35-8
59. Nigri, A., Levantesi, S. (2020). LI-CoD Model. From Lifespan Inequality to Causes of Death. Book of Short Papers SIS 2020, p. 1507-1512. Pearson. ISBN: 9788891910776
60. Levantesi S., Menzietti M. (2012). Hedging longevity risk in pension funds with q-forwards. In: Strumenti innovativi del calcolo attuariale per la valutazione e la gestione dei fondi pensione, p. 61-83. Roma: Ed. CompoMat. ISBN: 978-88-95706-38-2.
61. Levantesi S., Menzietti M., Torri T. (2011). Pricing Basic Survivor Swaps. In: Proceedings of the 14th Applied Stochastic Models and Data Analysis Conference, Rome, 811-818. ISBN: 97888467-3045-9.
62. Levantesi S., Menzietti M. (2008). Longevity Risk and Reinsurance Strategies for Enhanced Pensions. In: Methods, Models and Information Technologies for Decision Support Systems, p. 195-198. Editoria Scientifica Elettronica. ISBN/ISSN: 978-88-8305-061-9.
63. Levantesi S., Menzietti M., Torri T. (2008). Longevity Bonds: an Application to the Italian Annuity Market. In: Methods, Models and Information Technologies for Decision Support Systems, p. 191-194. Editoria Scientifica Elettronica. ISBN/ISSN: 978-88-8305-061-9.
64. Levantesi S. Menzietti M. (2008). Misure di rischio e requisiti di solvibilità nelle assicurazioni Long Term Care. In: Di Maio A., Gallo M., Simonetti B. Methods, Models and Information Technologies for Decision Support Systems, 2nd part: applications. Milano: Franco Angeli. ISBN: 9788846483812. http://www.francoangeli. it/ricerca/Scheda_Libro.asp?ID=17141&Tipo=Libro
65. Levantesi S., Menzietti M. (2007). Longevity and disability risk analysis in enhanced life annuities. In: Proceeding of the 1st International IAA Life Colloquium, Stockholm. http://actuaries.org/LIFE/Events/Stockholm/ papers.cfm
68. Fratoni, L., Levantesi S., Menzietti M. (2021). Measuring financial sustainability and social adequacy of the Italian NDC pension system under the COVID-19 pandemic. Rapporto Tecnico del Dipartimento di Scienze Statistiche, 1/2021. Roma. ISSN: 2279-798X.
69. Branda, A., Gava, N., Grasso, F., Lamaro, F., Levantesi S. (2020). Smart Portfolio Management con tecniche di Machine Learning. Rapporto Tecnico del Dipartimento di Scienze Statistiche, 1/2020. Roma. ISSN: 2279-798X.
70. Levantesi S. (2008). La copertura del rischio di non autosufficienza nei fondi pensione. Working paper MEFOP,
17, Roma.
71. Levantesi S., Menzietti M. (2006). Biometric risk analysis and solvency requirements in LTC insurance. Working
Paper, 30. Dipartimento di Scienze Attuariali e Finanziarie, Sapienza Università di Roma.
72. Baione F., Levantesi S. (2005). Alcune considerazioni sulle basi tecniche delle assicurazioni Dread Disease.Rapporti scientifici AMASES, 28. Napoli: Cuen. ISBN 88 7146 735-3.
73. Levantesi S. (2005). Assicurazioni long term care con garanzia dread disease. Rapporti scientifici AMASES, 25.
Napoli: Cuen. ISBN 88 7146 689-6.
74. Baione F., Levantesi S. (2004). A quantitative analysis of disability surveys in five European countries. Working
Paper, 25. Dipartimento di Scienze Attuariali e Finanziarie, Sapienza Università di Roma.
75. Levantesi S. (2004). Aspetti attuariali delle assicurazioni sulla salute: una proposta di garanzia assicurativa a copertura della non autosufficienza e delle malattie gravi. Tesi di dottorato, Dottorato di ricerca in Scienza
Attuariali, XVI ciclo, p. 1-152. Bibl. Nazionale Centrale Firenze.
76. Baione F., Levantesi S., Menzietti M. (2002). Alcune considerazioni sull efficienza dei sistemi Bonus-Malus.
Rapporti scientifici AMASES, 10. Napoli.