| Publication | Date of Publication | Type |
|---|
Phantoms never die: living with unreliable population data
Journal of the Royal Statistical Society. Series A. Statistics in Society | 2025-01-10 | Paper |
A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
North American Actuarial Journal | 2022-02-11 | Paper |
Hedging annuity risks with the age-period-cohort two-population gravity model
North American Actuarial Journal | 2021-04-28 | Paper |
On the Structure and Classification of Mortality Models
North American Actuarial Journal | 2021-04-28 | Paper |
A Bayesian approach to modeling and projecting cohort effects
North American Actuarial Journal | 2021-04-28 | Paper |
Forward mortality rates in discrete time. I: Calibration and securities pricing
North American Actuarial Journal | 2021-04-28 | Paper |
Forward mortality rates in discrete time. II: Longevity risk and hedging strategies
North American Actuarial Journal | 2021-04-28 | Paper |
Modelling socio-economic differences in mortality using a new affluence index
ASTIN Bulletin | 2019-11-22 | Paper |
Fund flows, manager changes, and performance persistence
Review of Finance | 2019-10-25 | Paper |
The valuation of no-negative equity guarantees and equity release mortgages
Economics Letters | 2019-10-11 | Paper |
A general procedure for constructing mortality models
North American Actuarial Journal | 2019-05-15 | Paper |
Keeping some skin in the game: how to start a capital market in longevity risk transfers
North American Actuarial Journal | 2019-05-15 | Paper |
Sharing longevity risk: why governments should issue longevity bonds
North American Actuarial Journal | 2019-05-15 | Paper |
Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners
Journal of Economic Dynamics and Control | 2018-11-01 | Paper |
Modelling mortality for pension schemes
ASTIN Bulletin | 2018-06-04 | Paper |
Identifiability, cointegration and the gravity model
Insurance Mathematics & Economics | 2018-02-15 | Paper |
| After VAR: the theory, estimation, and insurance applications of quantile-based risk measures | 2017-10-27 | Paper |
Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion
Journal of Economic Dynamics and Control | 2016-09-22 | Paper |
Modelling longevity bonds: analysing the Swiss Re Kortis bond
Insurance Mathematics & Economics | 2015-08-20 | Paper |
Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
Journal of Econometrics | 2014-11-24 | Paper |
Longevity hedge effectiveness: a decomposition
Quantitative Finance | 2014-09-05 | Paper |
Longevity risk and capital markets: the 2008-2009 update
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Evaluating the goodness of fit of stochastic mortality models
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Securitizing and tranching longevity exposures
Insurance Mathematics & Economics | 2012-02-10 | Paper |
A gravity model of mortality rates for two related populations
North American Actuarial Journal | 2011-12-21 | Paper |
A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks
North American Actuarial Journal | 2011-12-21 | Paper |
Modeling and management of mortality risk: a review
Scandinavian Actuarial Journal | 2011-02-22 | Paper |
Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
ASTIN Bulletin | 2009-06-15 | Paper |
Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
Journal of Economic Dynamics and Control | 2008-11-25 | Paper |
| scientific article; zbMATH DE number 5305361 (Why is no real title available?) | 2008-07-29 | Paper |
Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts
Insurance Mathematics & Economics | 2008-06-25 | Paper |
Mortality-dependent financial risk measures
Insurance Mathematics & Economics | 2006-08-14 | Paper |
Take (smoothed) risks when you are young, not when you are old: How to get the best from your pension plan
IMA Journal of Management Mathematics | 2004-08-16 | Paper |
Pensionmetrics 2: Stochastic pension plan design during the distribution phase.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase
Insurance Mathematics & Economics | 2002-07-02 | Paper |
Mutual Fund Performance: Evidence from the UK
Review of Finance | 2000-06-01 | Paper |
Pension schemes as options on pension fund assets: implications for pension fund management
Insurance Mathematics & Economics | 1999-03-28 | Paper |
