Year 2020

Year 2020

  • Li J. and Wong K. (2020). Incorporating structural changes in mortality improvements for mortality forecasting. Scandinavian Actuarial Journal. https://doi.org/10.1080/03461238.2020.1748102
  • 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. https://doi.org/10.1017/S1748499520000251
  • 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. Risks (Special Issue: Mortality Forecasting and Applications). https://doi.org/10.3390/risks8030080
  • 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.
  • Wang, Shaun, et al.  Cyber Risk Research Impeded by Disciplinary Barriers. Article in Science, https://science.sciencemag.org/content/366/6469/1066.summary
  • Wang, Shaun.  Integrated Framework for Information Security Investment and Cyber Insurance, Pacific-Basin Finance Journal. https://www.sciencedirect.com/science/article/pii/S0927538X19300794.  This paper received the 2018 University of Kentucky Research Prize.