Publications

Share      

Academic Publications

      ​The following are list of research papers:


        • ​Shinichi Kamiya and George Zanjani, Egalitarian Equivalent Capital Allocation, The North American Actuarial Journal, Forthcoming, 2017
         
        • Shinichi Kamiya and Andreas Milidonis, Actuarial Independence and Managerial Discretion, Journal of Risk and Insurance, Forthcoming, 2016

        • Shinichi Kamiya, Credit Crunch and Insurance Consumption:  The Aftermath of the Subprime Mortgage Crisis, Journal of Risk and Insurance, Forthcoming, 2016

        • Wang, Shaun S., and Han Chen, "Actuarial Values of Housing Markets," Variance 9:2, 2015, pp. 196-212

        • Michaelides, A., Milidonis, A., Nishiotis, G.P., Papakyriakou, P., (2015) The adverse effects of systematic leakage ahead of official sovereign debt rating announcements. Journal of Financial Economics, Volume 116, Issue 3, June 2015, Pages 526–547

        • Milidonis, A. (2015) An Empirical Investigation of CDS spreads using a Regime Switching Default Risk Model. North American Actuarial Journal, forthcoming

        • Li J. and Haberman S., (2015), On the effectiveness of natural hedging for insurance companies and pension plans, Insurance: Mathematics and Economics, 61: 286-297

        • Tan C. I., Li J., Li J. S. H., and Balasooriya U., (2015), Optimal relativities and transition rules of a bonus-malus system, Insurance: Mathematics and Economics, 61: 255-263

        • Yang B., Li J., and Balasooriya U., (2015), Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk, Insurance: Mathematics and Economics, 62: 16-27


        • Milidonis, Andreas,​ An Empirical Investigation of CDS Spreads Using a Regime Switching Default Risk Model, North American Actuarial Journal, forthcoming

        • Michaelides Alexander, Milidonis Andreas​, Nishiotis George and Papakyriakou Panayiotis, 15 Sep 2014, The Adverse Effects of Systematic Leakage Ahead of Official Sovereign Debt Rating Annoucements, Journal of Financial Economics, Volume 116, Issue 3, June 2015, Pages 526–547


        ​​​​
        ​​​​