Sharon S. Yang

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk Quantitative Finance	2023-09-25	Paper
Modeling pandemic mortality risk and its application to mortality-linked security pricing Insurance Mathematics & Economics	2022-09-14	Paper
Detecting and modelling the jump risk of \(\text{CO}_2\) emission allowances and their impact on the valuation of option on futures contracts Quantitative Finance	2021-07-16	Paper
Understanding patterns of mortality homogeneity and heterogeneity across countries and their role in modeling mortality dynamics and hedging longevity risk North American Actuarial Journal	2021-04-28	Paper
Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance Quantitative Finance	2018-11-19	Paper
Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks Insurance Mathematics & Economics	2015-09-14	Paper
Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach Insurance Mathematics & Economics	2015-08-20	Paper
Price bounds of mortality-linked security in incomplete insurance market Insurance Mathematics & Economics	2014-09-22	Paper
Pricing and securitization of multi-country longevity risk with mortality dependence Insurance Mathematics & Economics	2014-04-03	Paper
A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions Insurance Mathematics & Economics	2014-04-03	Paper
Modeling longevity risks using a principal component approach: a comparison with existing stochastic mortality models Insurance Mathematics & Economics	2012-02-10	Paper
Evaluating quantile reserve for equity-linked insurance in a stochastic volatility model long vs. short memory	2011-02-01	Paper
Valuation of the interest rate guarantee embedded in defined contribution pension plans Insurance Mathematics & Economics	2008-06-25	Paper

Research outcomes over time

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