| Publication | Date of Publication | Type |
|---|
A Bayesian approach to developing a stochastic mortality model for China
Journal of the Royal Statistical Society. Series A. Statistics in Society | 2025-01-22 | Paper |
Kriging methods for modeling spatial basis risk in weather index insurances: a technical note
International Journal of Theoretical and Applied Finance | 2024-08-14 | Paper |
Hedging longevity risk under non-Gaussian state-space stochastic mortality models: a mean-variance-skewness-kurtosis approach
Insurance Mathematics & Economics | 2024-02-13 | Paper |
Rotation in age patterns of mortality decline: statistical evidence and modeling
Probability in the Engineering and Informational Sciences | 2023-06-16 | Paper |
Socioeconomic differentials in mortality: implications on index-based longevity hedges
Scandinavian Actuarial Journal | 2023-06-09 | Paper |
Green nested simulation via likelihood ratio: applications to longevity risk management
Insurance Mathematics & Economics | 2022-09-14 | Paper |
“A Quantitative Comparison of Stochastic Mortality Models Using Data from England and Wales and the United States,” Andrew J. G. Cairns, David Blake, Kevin Dowd, Guy D. Coughlan, David Epstein, Alen Ong, and Igor Balevich, Vol. 13, No. 1, 2009
North American Actuarial Journal | 2022-02-11 | Paper |
Threshold life tables and their applications
North American Actuarial Journal | 2022-01-19 | Paper |
“Markov Aging Process and Phase-Type Law of Mortality,” X. Sheldon Lin and Xiaoming Liu, October 2007
North American Actuarial Journal | 2022-01-19 | Paper |
Recent declines in life expectancy: implication on longevity risk hedging
Insurance Mathematics & Economics | 2021-07-06 | Paper |
Constructing out-of-the-money longevity hedges using parametric mortality indexes
North American Actuarial Journal | 2021-04-28 | Paper |
An efficient method for mitigating longevity value-at-risk
North American Actuarial Journal | 2021-04-28 | Paper |
Longevity Greeks: what do insurers and capital market investors need to know?
North American Actuarial Journal | 2021-04-28 | Paper |
Stochastic life table forecasting: a time-simultaneous fan chart application
Mathematics and Computers in Simulation | 2021-02-15 | Paper |
The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty
Insurance Mathematics & Economics | 2020-08-03 | Paper |
Improving Risk Sharing and Borrower Incentives in Mortgage Design
North American Actuarial Journal | 2019-12-18 | Paper |
The CBD Mortality Indexes: Modeling and Applications
North American Actuarial Journal | 2019-05-15 | Paper |
Modeling period effects in multi-population mortality models: applications to Solvency II
North American Actuarial Journal | 2019-05-15 | Paper |
Pricing and hedging variable annuity guarantees with multiasset stochastic investment models
North American Actuarial Journal | 2019-05-15 | Paper |
Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk
Insurance Mathematics & Economics | 2019-01-15 | Paper |
The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk
ASTIN Bulletin | 2018-06-04 | Paper |
A strategy for hedging risks associated with period and cohort effects using q-forwards
Insurance Mathematics & Economics | 2018-02-15 | Paper |
It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk
Insurance Mathematics & Economics | 2016-12-13 | Paper |
The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds
Insurance Mathematics & Economics | 2015-09-14 | Paper |
A step-by-step guide to building two-population stochastic mortality models
Insurance Mathematics & Economics | 2015-08-20 | Paper |
Optimal relativities and transition rules of a bonus-malus system
Insurance Mathematics & Economics | 2015-05-26 | Paper |
Coherent mortality forecasting with generalized linear models: a modified time-transformation approach
Insurance Mathematics & Economics | 2015-02-03 | Paper |
Parametric mortality indexes: from index construction to hedging strategies
Insurance Mathematics & Economics | 2015-02-03 | Paper |
A cautionary note on pricing longevity index swaps
Scandinavian Actuarial Journal | 2013-12-17 | Paper |
Key q-duration: a framework for hedging longevity risk
ASTIN Bulletin | 2013-12-12 | Paper |
Pricing longevity risk with the parametric bootstrap: a maximum entropy approach
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Measuring Basis Risk in Longevity Hedges
North American Actuarial Journal | 2011-12-21 | Paper |
Valuing variable annuity guarantees with the multivariate Esscher transform
Insurance Mathematics & Economics | 2011-12-21 | Paper |
Time-simultaneous prediction bands: a new look at the uncertainty involved in forecasting mortality
Insurance Mathematics & Economics | 2011-08-01 | Paper |
Modeling old-age mortality risk for the populations of Australia and New Zealand: An extreme value approach
Mathematics and Computers in Simulation | 2011-06-17 | Paper |
Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach
ASTIN Bulletin | 2011-01-20 | Paper |
