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Academic Publications: Year 2015 and before

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

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, A., and M. Efthymiou. Mortality Lead Lags, Journal of Risk and Insurance, forthcoming
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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
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Kogure, Atsuyuki, Jackie Li and Shinichi Kamiya, 25 Feb 2014, A Bayesian Multivariate Risk-Neutral Method for Pricing Reverse Mortgages, North American Actuarial Journal 18, 242-257.
Link to Published Article

Chan, Wai-Sum, Johnny Siu-Hang Li and Jackie Li, 14 Feb 2014, The CBD Mortality Indexes: Modeling and Applications, North American Actuarial Journal 18, 38-58.
Link to Published Article

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Working Papers: Year 2015 and before

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

2015  Milidonis, Andreas​, An Empirical Investigation of CDS Spreads Using a Regime Switching Default Risk Model, Working paper

2015  Benedetti, D., ​Biffis, E., and A. Milidonis (2015). Large Commercial Exposures and Tail Risk: Evidence from the Asia-Pacific P&C Insurance Market, Working paper
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2015  Daniel Bauer, Shinichi Kamiya, Xiaohu Ping, George Zanjani, (2015), Dynamic Capital Allocation with Irreversible Investments, Working paper
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2015  Shinichi KamiyaGeorge Zanjani, (2015), ​Egalitarian Equivalent Capital Allocation, Working paper, Nanyang Business School, Nanyang Technological University.
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2015  Shinichi Kamiya​, (2015), Credit Crunch and Insurance Consumption: The Aftermath of the Subprime Mortgage Crisis, working paper, Nanyang Business School, Nanyang Technological University.  This paper was motivated by the project above but not directly related to China and India​.
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2015  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, Working paper
Download from SSRN


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