Publications

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Academic Publications, Research Papers, Articles and Reports

Year 2020

  • Li J., Balasooriya U., and Liu J. (2020). Using hierarchical Archimedean copulas for modelling mortality dependence and pricing mortality-linked securities. Annals of Actuarial Science, Accepted for Publication.

  • Balasooriya U., Li J.S.H., and Li J. (2020). The Impact of Model Uncertainty on Index-based Longevity Hedging and Measurement of Longevity Basis Risk. Under review.

  • Liu, K., and K.S. Tan.  Real-time valuation of large variable annuity portfolios: A green mesh approach, to appear in North American Actuarial Journal.

  • Tan, K.S., C. Weng and T. Wirjanto.  (2020)  Advances in predictive analytics", North American Actuarial Journal, 24(2):165-167.

  • Porth, B.C., L. Porth, W. Zhu, M. Boyd, K.S. Tan, K. Liu.  (2020)  Remote sensing applications for insurance: A predictive model for pasture yield in the presence of systemic weather, North American Actuarial Journal, 24(2):333-354.

  • Chi, Y.C., K.S. Tan and S. Zhuang.  (2020)  A Bowley solution with limited ceded risk for a monopolistic reinsurer", Insurance: Mathematics and Economics, 91:188-201.

  • Tan, K.S., P. Wei, W. Wei and S. Zhuang.  (2020)  Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle", European Journal of Operation Research, 282(1):345-362.

  • Hong Li, Yang Lu and Wenjun Zhu.  Dynamic Bayesian Ratemaking: A Markov Chain Approximation Approach, to appear in North American Actuarial Journal.