| Publication | Date of Publication | Type |
|---|
| Estimation, Comparison, and Projection of Multifactor Age–Cohort Affine Mortality Models | 2024-11-18 | Paper |
| Scenario selection with LASSO regression for the valuation of variable annuity portfolios | 2024-05-24 | Paper |
| Pooling functional disability and mortality in long-term care insurance and care annuities: a matrix approach for multi-state pools | 2024-05-24 | Paper |
| Taxation and policyholder behavior: the case of guaranteed minimum accumulation benefits | 2024-04-30 | Paper |
| Insuring longevity risk and long-term care: bequest, housing and liquidity | 2023-07-18 | Paper |
| Mortality forecasting using stacked regression ensembles | 2022-10-26 | Paper |
| An innovative design of flexible, bequest-enhanced life annuity with natural hedging | 2022-09-19 | Paper |
| A GROUP REGULARISATION APPROACH FOR CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS | 2022-04-04 | Paper |
| An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets | 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; Ricardas Zitikis | 2022-01-10 | Paper |
| Authors’ Reply: Capital Allocation In Insurance: Economic Capital And The Allocation Of The Default Option Value - Discussion by Helmut Gründl; Hato Schmeiser | 2022-01-10 | Paper |
| Capital Allocation In Insurance | 2021-12-22 | Paper |
| A Multi-state Model of Functional Disability and Health Status in the Presence of Systematic Trend and Uncertainty | 2021-04-28 | Paper |
| PORTFOLIO INSURANCE STRATEGIES FOR A TARGET ANNUITIZATION FUND | 2020-12-13 | Paper |
| Modeling mortality with a Bayesian vector autoregression | 2020-11-19 | Paper |
| Continuous-time multi-cohort mortality modelling with affine processes | 2020-09-28 | Paper |
| Cohort and value-based multi-country longevity risk management | 2020-09-28 | Paper |
| Systematic Mortality Improvement Trends and Mortality Heterogeneity: Insights from Individual-Level HRS Data | 2019-06-18 | Paper |
| Multistate Actuarial Models of Functional Disability | 2019-05-28 | Paper |
| Causes-of-Death Mortality: What Do We Know on Their Dependence? | 2019-05-28 | Paper |
| The Impact of Systematic Trend and Uncertainty on Mortality and Disability in a Multistate Latent Factor Model for Transition Rates | 2019-05-28 | Paper |
| Forecasting Mortality Trends Allowing for Cause-of-Death Mortality Dependence | 2019-05-15 | Paper |
| Portfolio management with targeted constant market volatility | 2018-11-19 | Paper |
| Lifetime asset allocation with idiosyncratic and systematic mortality risks | 2018-08-31 | Paper |
| Multivariate Tweedie lifetimes: the impact of dependence | 2018-07-13 | Paper |
| Forecasting disability: application of a frailty model | 2018-07-13 | Paper |
| Product pricing and solvency capital requirements for long-term care insurance | 2018-07-13 | Paper |
| Rethinking age-period-cohort mortality trend models | 2018-07-11 | Paper |
| LONGEVITY RISK MANAGEMENT AND SHAREHOLDER VALUE FOR A LIFE ANNUITY BUSINESS | 2018-06-04 | Paper |
| INTERNATIONAL CAUSE-SPECIFIC MORTALITY RATES: NEW INSIGHTS FROM A COINTEGRATION ANALYSIS | 2018-06-04 | Paper |
| Modelling lifetime dependence for older ages using a multivariate Pareto distribution | 2016-12-13 | Paper |
| Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options | 2016-11-21 | Paper |
| A multivariate Tweedie lifetime model: censoring and truncation | 2015-09-14 | Paper |
| Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk | 2015-08-20 | Paper |
| Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities | 2015-01-28 | Paper |
| The determinants of mortality heterogeneity and implications for pricing annuities | 2015-01-28 | Paper |
| Longevity risk, cost of capital and hedging for life insurers under Solvency II | 2014-09-22 | Paper |
| Individual post-retirement longevity risk management under systematic mortality risk | 2014-07-16 | Paper |
| PRICING AND SOLVENCY OF VALUE-MAXIMIZING LIFE ANNUITY PROVIDERS | 2014-04-16 | Paper |
| Consistent dynamic affine mortality models for longevity risk applications | 2014-04-15 | Paper |
| Lifetime dependence modelling using a truncated multivariate gamma distribution | 2014-04-04 | Paper |
| Pricing European options on deferred annuities | 2014-04-03 | Paper |
| Securitization, structuring and pricing of longevity risk | 2012-02-10 | Paper |
| Enterprise Risk Management, Insurer Value Maximisation, and Market Frictions | 2009-09-13 | Paper |
| Dynamic Portfolio Allocation, the Dual Theory of Choice and Probability Distortion Functions | 2009-06-15 | Paper |
| Simulating from Exchangeable Archimedean Copulas | 2008-01-16 | Paper |
| Enhancing insurer value through reinsurance optimization | 2006-08-14 | Paper |
| Interest Rate Risk Management | 2006-01-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4471211 | 2004-06-18 | Paper |
| Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory | 2004-02-11 | Paper |
| Risk measures and insurance premium principles. | 2003-11-16 | Paper |
| A class of non-expected utility risk measures and implications for asset allocations | 2001-01-01 | Paper |
| Risk sensitive asset allocation | 2000-08-21 | Paper |
| Application of matrix methods to pension funds | 1980-01-01 | Paper |
