| Publication | Date of Publication | Type |
|---|
Estimation, Comparison, and Projection of Multifactor Age–Cohort Affine Mortality Models
North American Actuarial Journal | 2024-11-18 | Paper |
Scenario selection with LASSO regression for the valuation of variable annuity portfolios
Insurance Mathematics & Economics | 2024-05-24 | Paper |
Pooling functional disability and mortality in long-term care insurance and care annuities: a matrix approach for multi-state pools
Insurance Mathematics & Economics | 2024-05-24 | Paper |
Taxation and policyholder behavior: the case of guaranteed minimum accumulation benefits
ASTIN Bulletin | 2024-04-30 | Paper |
Insuring longevity risk and long-term care: bequest, housing and liquidity
Insurance Mathematics & Economics | 2023-07-18 | Paper |
Mortality forecasting using stacked regression ensembles
Scandinavian Actuarial Journal | 2022-10-26 | Paper |
An innovative design of flexible, bequest-enhanced life annuity with natural hedging
Scandinavian Actuarial Journal | 2022-09-19 | Paper |
A group regularisation approach for constructing generalised age-period-cohort mortality projection models
ASTIN Bulletin | 2022-04-04 | Paper |
An actuarial premium pricing model for nonnormal insurance and financial risks in incomplete markets
North American Actuarial Journal | 2022-01-10 | Paper |
Author reply: ``An actuarial premium pricing model for nonnormal insurance and financial risks in incomplete markets by Zinoviy Landsman and Michael Sherris -- discussion by Edward Furman and Ricardas Zitikis
North American Actuarial Journal | 2022-01-10 | Paper |
Authors' reply: ``Capital allocation in insurance: economic capital and the allocation of the default option value -- discussion by Helmut Gründl and Hato Schmeiser
North American Actuarial Journal | 2022-01-10 | Paper |
Capital allocation in insurance: economic capital and the allocation of the default option value
North American Actuarial Journal | 2021-12-22 | Paper |
A multi-state model of functional disability and health status in the presence of systematic trend and uncertainty
North American Actuarial Journal | 2021-04-28 | Paper |
Portfolio insurance strategies for a target annuitization fund
ASTIN Bulletin | 2020-12-13 | Paper |
Modeling mortality with a Bayesian vector autoregression
Insurance Mathematics & Economics | 2020-11-19 | Paper |
Continuous-time multi-cohort mortality modelling with affine processes
Scandinavian Actuarial Journal | 2020-09-28 | Paper |
Cohort and value-based multi-country longevity risk management
Scandinavian Actuarial Journal | 2020-09-28 | Paper |
Systematic mortality improvement trends and mortality heterogeneity: insights from individual-level HRS data
North American Actuarial Journal | 2019-06-18 | Paper |
Multistate actuarial models of functional disability
North American Actuarial Journal | 2019-05-28 | Paper |
Causes-of-Death Mortality: What Do We Know on Their Dependence?
North American Actuarial Journal | 2019-05-28 | Paper |
The impact of systematic trend and uncertainty on mortality and disability in a multistate latent factor model for transition rates
North American Actuarial Journal | 2019-05-28 | Paper |
Forecasting mortality trends allowing for cause-of-death mortality dependence
North American Actuarial Journal | 2019-05-15 | Paper |
Portfolio management with targeted constant market volatility
Insurance Mathematics & Economics | 2018-11-19 | Paper |
Lifetime asset allocation with idiosyncratic and systematic mortality risks
Scandinavian Actuarial Journal | 2018-08-31 | Paper |
Multivariate Tweedie lifetimes: the impact of dependence
Scandinavian Actuarial Journal | 2018-07-13 | Paper |
Forecasting disability: application of a frailty model
Scandinavian Actuarial Journal | 2018-07-13 | Paper |
Product pricing and solvency capital requirements for long-term care insurance
Scandinavian Actuarial Journal | 2018-07-13 | Paper |
Rethinking age-period-cohort mortality trend models
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Longevity risk management and shareholder value for a life annuity business
ASTIN Bulletin | 2018-06-04 | Paper |
International cause-specific mortality rates: new insights from a cointegration analysis
ASTIN Bulletin | 2018-06-04 | Paper |
Modelling lifetime dependence for older ages using a multivariate Pareto distribution
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
Insurance Mathematics & Economics | 2016-11-21 | Paper |
A multivariate Tweedie lifetime model: censoring and truncation
Insurance Mathematics & Economics | 2015-09-14 | Paper |
Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
Insurance Mathematics & Economics | 2015-08-20 | Paper |
Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
Insurance Mathematics & Economics | 2015-01-28 | Paper |
The determinants of mortality heterogeneity and implications for pricing annuities
Insurance Mathematics & Economics | 2015-01-28 | Paper |
Longevity risk, cost of capital and hedging for life insurers under Solvency II
Insurance Mathematics & Economics | 2014-09-22 | Paper |
Individual post-retirement longevity risk management under systematic mortality risk
Insurance Mathematics & Economics | 2014-07-16 | Paper |
Pricing and solvency of value-maximizing life annuity providers
ASTIN Bulletin | 2014-04-16 | Paper |
Consistent dynamic affine mortality models for longevity risk applications
Insurance Mathematics & Economics | 2014-04-15 | Paper |
Lifetime dependence modelling using a truncated multivariate gamma distribution
Insurance Mathematics & Economics | 2014-04-04 | Paper |
Pricing European options on deferred annuities
Insurance Mathematics & Economics | 2014-04-03 | Paper |
Securitization, structuring and pricing of longevity risk
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Enterprise Risk Management, Insurer Value Maximisation, and Market Frictions
ASTIN Bulletin | 2009-09-13 | Paper |
Dynamic Portfolio Allocation, the Dual Theory of Choice and Probability Distortion Functions
ASTIN Bulletin | 2009-06-15 | Paper |
Simulating from Exchangeable Archimedean Copulas
Communications in Statistics. Simulation and Computation | 2008-01-16 | Paper |
Enhancing insurer value through reinsurance optimization
Insurance Mathematics & Economics | 2006-08-14 | Paper |
Interest Rate Risk Management
North American Actuarial Journal | 2006-01-13 | Paper |
scientific article; zbMATH DE number 2076203 (Why is no real title available?)
| 2004-06-18 | Paper |
Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory
Applied Mathematical Finance | 2004-02-11 | Paper |
Risk measures and insurance premium principles.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
A class of non-expected utility risk measures and implications for asset allocations
Insurance Mathematics & Economics | 2001-01-01 | Paper |
Risk sensitive asset allocation
Journal of Economic Dynamics and Control | 2000-08-21 | Paper |
Application of matrix methods to pension funds
Scandinavian Actuarial Journal | 1980-01-01 | Paper |
