The pair were part of a group of four skiing off-piste in a deep gully in the Val Veny when the avalanche occurred around lunchtime.
Two of them were found safe and well, but rescuers recovered the body of a woman, reported to be 24 or 25 years old, according to the Ansa news agency.
The fourth skier was swept away, and has yet to be found.
Search operations, which included a helicopter, were hampered by poor weather. They are due to resume on Monday morning.
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