Academic Publications, Research Papers, Articles and Reports
Research Papers in 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.
Research Papers in 2019
- Porth, L., K.S. Tan and W. Zhu. (2019) A new relational data-matching model for enhancing individual loss experience: An example from crop insurance", North American Actuarial Journal 23(4):551-572.
- Sun, Y. and K.S. Tan. (2019) A generalized livestock gross margin insurance program for the developing countries, Journal of Agribusiness in Developing and Emerging Economies, 9(5):421-438.
- Zhang, J., K.S. Tan and C. Weng. (2019) Index insurance design, ASTIN Bulletin, 49(2):491-523.
- Zhu, W., K.S. Tan, and L. Porth. (2019) Agricultural insurance ratemaking: Development of a new premium principle, North American Actuarial Journal, 23(4):512-534.
- Zhu, W., L. Porth, K.S. Tan. (2019) A Credibility-based yield forecasting model for crop reinsurance pricing and weather risk management, Agricultural Finance Review 79(1):2-26.
- Kamiya, S., J.-K. Kang, J. Kim, A. Milidonis, and R. Stulz. Risk Management, Firm Reputation, and the Impact of Successful Cyberattacks on Target Firms, Journal of Financial Economics, 2019, forthcoming.
- Kamiya, S., A. Kogure and T. Fushimi. Mortality Forecasts for Long-Term Care Subpopulations with Longevity Risk: A Bayesian Approach, North American Actuarial Journal, 2019, forthcoming.
- Kamiya, S., Noriyoshi Yanase. Learning from Extreme Catastrophe, Journal of Risk and Uncertainty 59(1), August 2019, 85-124.
- Kamiya, S., C. Tao, J. R. Goh, and P. Lou. Marginal Cost of Risk-Based Capital and Risk Taking, Journal of Banking and Finance 103, June 2019, 130-145.
- D. Bauer, Kamiya, S., X. Ping, and G. Zanjani. Dynamic Capital Allocation with Irreversible Investment, Insurance: Mathematics and Economics 85, March 2019, 138-152.
- Kamiya, S., Y. H. Kim and S. Park. The Face of Risk: CEO Facial Masculinity and Firm Risk, European Financial Management 25(2), March 2019, 239-270.
- 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.
- Xiaole Xue, Jinggong Zhang, Chengguo Weng (2019). Precommitment Mean-variance Hedging with Basis Risk. Applied Stochastic Models in Business and Industry.
- Jinggong Zhang, Ken Seng Tan and Chengguo Weng. Optimal Dynamic Longevity Hedge with Basis Risk. Working paper.
Research Papers in 2018
- Kamiya, S., and A. Milidonis. (2018). Actuarial Independence and Managerial Discretion. Journal of Risk and Insurance, 85(3), 1055-1082.
- Wang, Shaun. Combating Cybersecurity Threats is a Shared Responsibility, Commentary in The Business Times, November 15, 2018 - 5:50 AM.
- Wang, Shaun. Confronting cyber risk, Editorial in 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
- 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.
Research Papers in 2017
- 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.
- Milidonis, A., and M. Efthymiou. Mortality Lead Lags, Journal of Risk and Insurance, forthcoming
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.