Publications

Share        

Academic Publications, Research Papers and Reports

​​
Research Papers in 2019


  • Wang, Shaun (2019) "Asymmetry of Attacker-Defender Knowledge Sets and Capabilities: Cybersecurity Model with Case Examples", working paper.

  • Joint Paper (2019) "A Research Agenda for Cyber Risk and Cyber Insurance". Authors: Gregory Falco, Martin Eling, Danielle Jablanski, Lawrence A. Gordon, Shaun Wang, Joan Schmit, Russell Thomas, Mauro Elvedi, Thomas Maillart, Emy Donavan, Simon Dejung, Matthias Weber, Eric Durand, Franklin Nutter, Uzi Scheffer, Gil Arazi, Gilbert Ohana and Herb Lin, accepted for Presentationat the 18th Annual Workshop on the Economics of Information Security (WEIS 2019), Harvard University, Boston, Massachusetts, June 3-4, 2019.

  • Andreas Bollman and Shaun Wang (2019), "International Catastrophe Pooling for Extreme Weather", Research Report for the Society of Actuaries, 2019.

  • Li, J., U. Balasooriya and J. Liu (2019), Using multivariate Archimedean copulas for modelling mortality dependence and pricing mortality-linked securities, Insurance: Mathematics and Economics, Submitted for publication, 18 typed pages.

  • J. Li, U. Balasooriya and J. S. H. Li (2019), The Impact of Model Uncertainty on Index-Based Longevity Hedging and Measurement of   Longevity Basis Risk. Under preparation.


Research Papers in 2018

  • Kamiya, S., and A. Milidonis. (2018). Actuarial Independence and Managerial Discretion. Journal of Risk and Insurance, 85(3), 1055-1082.

  • The Business Times COMMENTARY by Shaun Wang -- Combating cybersecurity threats is a shared responsibility, NOV 15, 2018 - 5:50 AM.


  • Editorial by Shaun Wang: "Confronting cyber risk", Asia Insurance Review September 2018.

  • Wang, Shaun (2018). "Optimal Level and Allocation of Cybersecurity Spending", Risk Management Newsletter, Society of Actuaries, March 2018.

  • Shaohan Feng ; Wenbo Wang ; Zehui Xiong ; Dusit Niyato ; Ping Wang ; Shaun Wang, (2018) "On Cyber Risk Management of Blockchain Networks: A Game Theoretic Approach", IEEE Transactions on Services Computing ( Early Access ), Page(s): 1 - 12, Date of Publication: 18 October 2018.  ISSN Information: DOI: 10.1109/TSC.2018.2876846

  • Bauer, D., S. Kamiya, X. Ping, and G. Zanjani. (2018). Dynamic Capital Allocation with Irreversible Investment. Insurance: Mathematics and Economics, forthcoming.

  • Kogure, A., T. Fushumi, and S. Kamiya. (2018). Mortality Forecasts for Long-Term Care Subpopulations with Longevity Risk: A Bayesian Approach. The North American Actuarial Journal, forthcoming.

  • Kamiya, S., Y. H. Kim, and S. Park. (2018). The Face of Risk: CEO Facial Masculinity and Firm Risk. European Financial Management, forthcoming.

  • Kamiya, S., and A. Milidonis. (2018). Actuarial Independence and Managerial Discretion. Journal of Risk and Insurance, 85(3), 1055-1082.

  • Kamiya, S. (2018). Credit Crunch and Insurance Consumption: The Aftermath of the Subprime Mortgage Crisis. Journal of Risk and Insurance, 85(3), 721-747.

  • Li, J. S. H., J. Li, U. Balasooriya and K. H. Zhou (2018), Constructing Out-of-the-Money Longevity Hedges Using Parametric Mortality Indexes , North American Actuarial Journal, Accepted for publication, 43 typed pages.


Research Papers in 2017

  • Wang, Shaun (2017) "Integrated Framework for Information Security Investment and Cyber Insurance". This paper received the 2018 University of Kentucky Research Excellence Award at the 2018 China International Risk Forum.

  • Wang, Shaun (2017) "Knowledge Set of Attack Surface and Cybersecurity Rating for Firms in a Supply Chain". ​Download from SSRN​

  • Wang, Shaun (2017). "Cyber Security Bill's success lies in how rules apply to each sector", The Straits Times, 10 August 2017.

  • Lina Xu, Victor de la Pana, Shaun Wang (2017) "An Approach to Validating Methodologies and Models with Insurance Applications", presented at Advances in Predictive Analytics Conference, University of Waterloo, Waterloo, Ontario, Canada, 1-2 December 2017. 

  • Jing Jing Zhu and Shaun Wang (2017) "Optimal Information Security Investments for Firms with Interdependent Cyber Threats". Working paper, March 2017.


Research Papers in 2016 

  • ​Yang, B., J. Li and U. Balasooriya. (2016). Cohort extensions of the Poisson common factor model for modelling both genders jointly. Scandinavian Actuarial Journal, 2016(2), 93-112.

  • Tan, C.I., Li, J, Li, J.S.H. and Balasooriya, U. (2016) Stochastic Modelling of the Hybrid Survival Curve. Journal of Population Research. DOI: 10.1007/s12546-016-9168-x


  • 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.

  • Wang, Shaun (2016) "Optimal Level of Information Security Investment: Model and Formula", working paper

  • Nie, C., Wang, S. and Li, S. (2016) "Applying Surplus Process to Model the Effect of Spending on Cyber Security Level", Working Paper, Dec 2016.



Research Publications in 2015

  • 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.

  • Schanz, Kai-Uwe and Shaun Wang (2015), Insuring Flood Risk in Asia's High-Growth Markets, Geneva Association Research Report, July 2015. 

  • 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.


Research Publications in 2014

  • Tan C. I., Li J., Li J. S. H., and Balasooriya U., (2014), Parametric mortality indexes: From index construction to hedging strategies, Insurance: Mathematics and Economics, 59: 285-299.

  • Yang B., Li J., and Balasooriya U., (2014), Cohort extensions of the Poisson common factor model for modelling both genders jointly, Scandinavian Actuarial Journal.

  • Kogure, Atsuyuki, Jackie Li and Shinichi Kamiya, (2014), A Bayesian Multivariate Risk-Neutral Method for Pricing Reverse Mortgages, North American Actuarial Journal 18, 242-257.

  • Chan, Wai-Sum, Johnny Siu-Hang Li and Jackie Li, (2014), The CBD Mortality Indexes: Modeling and Applications, North American Actuarial Journal 18, 38-58.

  • Li J., (2014), A quantitative comparison of simulation strategies for mortality projection, Annals of Actuarial Science, 8(2): 281-297.

  • Chan W. S., Li J. S. H., and Li J., (2014), The CBD mortality indexes: modeling and applications, North American Actuarial Journal, 18(1): 38-58.

  • Kogure A., Li J., and Kamiya S., (2014), A Bayesian multivariate risk-neutral method for pricing reverse mortgages, North American Actuarial Journal, 18(1): 242-257.

  • Li J., (2014), An application of MCMC simulation in mortality projection for populations with limited data, Demographic Research, 30: 1-48.

​​