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NEIGHBOURING PREDICTION FOR MORTALITY

ASTIN Bulletin : The Journal of the IAA, 2021-09, Vol.51 (3), p.689-718

2021

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Modeling Multicountry Longevity Risk With Mortality Dependence: A Lévy Subordinated Hierarchical Archimedean Copulas Approach

The Journal of risk and insurance, 2017-04, Vol.84 (S1), p.477-493

2017

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SPATIAL DEPENDENCE AND AGGREGATION IN WEATHER RISK HEDGING: A LÉVY SUBORDINATED HIERARCHICAL ARCHIMEDEAN COPULAS (LSHAC) APPROACH

ASTIN Bulletin : The Journal of the IAA, 2018-05, Vol.48 (2), p.779-815

2018

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Pricing Survivor Derivatives With Cohort Mortality Dependence Under the Lee-Carter Framework

The Journal of risk and insurance, 2013-12, Vol.80 (4), p.1027-1056

2013

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The Valuation of Lifetime Health Insurance Policies with Limited Coverage

The Journal of risk and insurance, 2016-09, Vol.83 (3), p.777-800

2016

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Machine learning in long-term mortality forecasting

Geneva papers on risk and insurance. Issues and practice, 2024-04, Vol.49 (2), p.340-362

2024

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RISK MANAGEMENT OF FINANCIAL CRISES: AN OPTIMAL INVESTMENT STRATEGY WITH MULTIVARIATE JUMP-DIFFUSION MODELS

ASTIN Bulletin : The Journal of the IAA, 2017-05, Vol.47 (2), p.501-525

2017

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Mortality Modeling With Non-Gaussian Innovations and Applications to the Valuation of Longevity Swaps

The Journal of risk and insurance, 2013-09, Vol.80 (3), p.775-798

2013

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The Effects of Macroeconomic Factors on Pricing Mortgage Insurance Contracts

The Journal of risk and insurance, 2012-09, Vol.79 (3), p.867-895

2012

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Portfolio optimization under multivariate affine generalized hyperbolic distributions

International review of economics & finance, 2022-07, Vol.80, p.49-66

2022

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Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical tests

Journal of banking & finance, 2016-08, Vol.69, p.20-36

2016

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Pricing and securitization of multi-country longevity risk with mortality dependence

Insurance, mathematics & economics, 2013-03, Vol.52 (2), p.157-169

2013

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Correlated age-specific mortality model: an application to annuity portfolio management

European actuarial journal, 2021-12, Vol.11 (2), p.413-440

2021

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Age-specific copula-AR-GARCH mortality models

Insurance, mathematics & economics, 2015-03, Vol.61, p.110-124

2015

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Mortality improvement neural-network models with autoregressive effects

Geneva papers on risk and insurance. Issues and practice, 2024-04, Vol.49 (2), p.363-383

2024

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Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach

Insurance, mathematics & economics, 2015-07, Vol.63, p.30-39

2015

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Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance

Quantitative finance, 2017-10, Vol.17 (10), p.1567-1581

2017

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Systematic risk and volatility skew

International review of economics & finance, 2016-05, Vol.43, p.72-87

2016

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On the valuation of reverse mortgage insurance

Scandinavian actuarial journal, 2016-04, Vol.2016 (4), p.293-318

2016

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On the valuation of reverse mortgages with regular tenure payments

Insurance, mathematics & economics, 2012-09, Vol.51 (2), p.430-441

2012

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Option Pricing Using Machine Learning with Intraday Data of TAIEX Option

HCI in Business, Government and Organizations, p.214-224

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Portfolio Performance Evaluation with Leptokurtic Asset Returns

HCI in Business, Government and Organizations, p.225-241

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Securitisation of Crossover Risk in Reverse Mortgages

Geneva papers on risk and insurance. Issues and practice, 2011-10, Vol.36 (4), p.622-647

2011

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A feasible natural hedging strategy for insurance companies

Insurance, mathematics & economics, 2013-05, Vol.52 (3), p.532-541

2013

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A Quantitative Comparison of the Lee-Carter Model under Different Types of Non-Gaussian Innovations

Geneva papers on risk and insurance. Issues and practice, 2011-10, Vol.36 (4), p.675-696

2011

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NEIGHBOURING PREDICTION FOR MORTALITY

Modeling Multicountry Longevity Risk With Mortality Dependence: A Lévy Subordinated Hierarchical Archimedean Copulas Approach

SPATIAL DEPENDENCE AND AGGREGATION IN WEATHER RISK HEDGING: A LÉVY SUBORDINATED HIERARCHICAL ARCHIMEDEAN COPULAS (LSHAC) APPROACH

Pricing Survivor Derivatives With Cohort Mortality Dependence Under the Lee-Carter Framework

The Valuation of Lifetime Health Insurance Policies with Limited Coverage

Machine learning in long-term mortality forecasting

RISK MANAGEMENT OF FINANCIAL CRISES: AN OPTIMAL INVESTMENT STRATEGY WITH MULTIVARIATE JUMP-DIFFUSION MODELS

Mortality Modeling With Non-Gaussian Innovations and Applications to the Valuation of Longevity Swaps

The Effects of Macroeconomic Factors on Pricing Mortgage Insurance Contracts

Portfolio optimization under multivariate affine generalized hyperbolic distributions

Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical tests

Pricing and securitization of multi-country longevity risk with mortality dependence

Correlated age-specific mortality model: an application to annuity portfolio management

Age-specific copula-AR-GARCH mortality models

Mortality improvement neural-network models with autoregressive effects

Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach

Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance

Systematic risk and volatility skew

On the valuation of reverse mortgage insurance

On the valuation of reverse mortgages with regular tenure payments

Option Pricing Using Machine Learning with Intraday Data of TAIEX Option

Portfolio Performance Evaluation with Leptokurtic Asset Returns

Securitisation of Crossover Risk in Reverse Mortgages

A feasible natural hedging strategy for insurance companies

A Quantitative Comparison of the Lee-Carter Model under Different Types of Non-Gaussian Innovations

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