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1

Actuarial Modeling and Analysis of the Hong Kong Life Annuity Scheme

Kwong, Koon-Shing, Chan, Wai-Sum, Siu-Hang Li, Johnny

Journal:

Asia-Pacific Journal of Risk and Insurance

Année:

2019

Langue:

english

Fichier:

PDF, 1.72 MB

english, 2019

2

Option pricing under GARCH models with Hansen's skewed-t distributed innovations

Liu, Yanxin, Li, Johnny Siu-Hang, Ng, Andrew Cheuk-Yin

Journal:

The North American Journal of Economics and Finance

Année:

2015

Langue:

english

Fichier:

PDF, 743 KB

english, 2015

3

A step-by-step guide to building two-population stochastic mortality models

Li, Johnny Siu-Hang, Zhou, Rui, Hardy, Mary

Journal:

Insurance: Mathematics and Economics

Année:

2015

Langue:

english

Fichier:

PDF, 848 KB

english, 2015

4

Valuing variable annuity guarantees with the multivariate Esscher transform

Andrew Cheuk-Yin Ng, Johnny Siu-Hang Li

Journal:

Insurance: Mathematics and Economics

Année:

2011

Langue:

english

Fichier:

PDF, 266 KB

english, 2011

5

Modeling investment guarantees in Japan: A risk-neutral GARCH approach

Andrew Cheuk-Yin Ng, Johnny Siu-Hang Li, Wai-Sum Chan

Journal:

International Review of Financial Analysis

Année:

2011

Langue:

english

Fichier:

PDF, 402 KB

english, 2011

6

Pricing options on stocks denominated in different currencies: Theory and illustrations

Ng, Andrew C.Y., Li, Johnny Siu-Hang, Chan, Wai-Sum

Journal:

The North American Journal of Economics and Finance

Année:

2013

Langue:

english

Fichier:

PDF, 474 KB

english, 2013

7

The CBD Mortality Indexes: Modeling and Applications

Chan, Wai-Sum, Li, Johnny Siu-Hang, Li, Jackie

Journal:

North American Actuarial Journal

Année:

2014

Langue:

english

Fichier:

PDF, 1.10 MB

english, 2014

8

Measuring Basis Risk in Longevity Hedges

Li, Johnny Siu-Hang, Hardy, Mary R.

Journal:

North American Actuarial Journal

Année:

2011

Langue:

english

Fichier:

PDF, 1.16 MB

english, 2011

9

Developing Mortality Improvement Formulas

Li, Johnny Siu-Hang, Hardy, Mary, Tan, Ken Seng

Journal:

North American Actuarial Journal

Année:

2010

Langue:

english

Fichier:

PDF, 844 KB

english, 2010

10

Managing financial risk in Chinese stock markets: Option pricing and modeling under a multivariate threshold autoregression

Li, Johnny Siu-Hang, Ng, Andrew C.Y., Chan, Wai-Sum

Journal:

International Review of Economics & Finance

Année:

2015

Langue:

english

Fichier:

PDF, 953 KB

english, 2015

11

IFRS Convergence: The Role of Stochastic Mortality Models in the Disclosure of Longevity Risk for Defined Benefit Plans

Fujisawa, Yosuke, Li, Johnny Siu-Hang

Journal:

Asia-Pacific Journal of Risk and Insurance

Année:

2011

Langue:

english

Fichier:

PDF, 693 KB

english, 2011

12

THE LOCALLY LINEAR CAIRNS–BLAKE–DOWD MODEL: A NOTE ON DELTA–NUGA HEDGING OF LONGEVITY RISK

Liu, Yanxin, Li, Johnny Siu-Hang

Journal:

Année:

2017

Langue:

english

Fichier:

PDF, 1.45 MB

english, 2017

13

Optimizing the Lee-Carter Approach in the Presence of Structural Changes in Time and Age Patterns of Mortality Improvements

Li, Hong, Li, Johnny Siu-Hang

Journal:

Année:

2017

Langue:

english

Fichier:

PDF, 1.26 MB

english, 2017

14

Pricing temperature derivatives with a filtered historical simulation approach

Zhou, Rui, Li, Johnny Siu-Hang, Pai, Jeffrey

Journal:

European Journal of Finance

Année:

2019

Langue:

english

Fichier:

PDF, 2.19 MB

english, 2019

15

The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty

Li, Johnny Siu-Hang, Liu, Yanxin

Journal:

Insurance: Mathematics and Economics

Année:

2020

Fichier:

PDF, 6.65 MB

2020

16

On the calibration of mortality forward curves

Johnny Siu-Hang Li, Andrew Cheuk-Yin Ng, Wai-Sum Chan

Journal:

Journal of Futures Markets

Année:

2011

Langue:

english

Fichier:

PDF, 348 KB

english, 2011

17

Pricing longevity risk with the parametric bootstrap: A maximum entropy approach

Johnny Siu-Hang Li

Journal:

Insurance: Mathematics and Economics

Année:

2010

Langue:

english

Fichier:

PDF, 885 KB

english, 2010

18

Time-simultaneous prediction bands: A new look at the uncertainty involved in forecasting mortality

Johnny Siu-Hang Li, Wai-Sum Chan

Journal:

Insurance: Mathematics and Economics

Année:

2011

Langue:

english

Fichier:

PDF, 434 KB

english, 2011

19

On Pricing and Hedging the No-Negative-Equity Guarantee in Equity Release Mechanisms

Johnny Siu-Hang Li, Mary R. Hardy, Ken Seng Tan

Journal:

Journal of Risk and Insurance

Année:

2010

Langue:

english

Fichier:

PDF, 391 KB

english, 2010

20

Canonical Valuation of Mortality-Linked Securities

Johnny Siu-Hang Li, Andrew Cheuk-Yin Ng

Journal:

Journal of Risk and Insurance

Année:

2011

Langue:

english

Fichier:

PDF, 319 KB

english, 2011

21

The Impact of the Automatic Balancing Mechanism for the Public Pension in Japan on the Extreme Elderly

Fujisawa, Yosuke, Li, Johnny Siu-Hang

Journal:

North American Actuarial Journal

Année:

2012

Langue:

english

Fichier:

PDF, 479 KB

english, 2012

22

Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models

Ng, Andrew Cheuk-Yin, Li, Johnny Siu-Hang

Journal:

North American Actuarial Journal

Année:

2013

Langue:

english

Fichier:

PDF, 244 KB

english, 2013

23

On Pricing and Hedging the No-Negative-Equity Guarantee in Equity Release Mechanisms

Johnny Siu-Hang Li, Mary R. Hardy and Ken Seng Tan

Journal:

Journal of Risk and Insurance

Année:

2010

Langue:

english

Fichier:

PDF, 1.59 MB

english, 2010

24

Longevity Risk and Capital Markets: The 2012–2013 Update

Blake, David, MacMinn, Richard, Li, Johnny Siu-Hang, Hardy, Mary

Journal:

North American Actuarial Journal

Année:

2014

Langue:

english

Fichier:

PDF, 148 KB

english, 2014

25

Coherent mortality forecasting with generalized linear models: A modified time-transformation approach

Ahmadi, Seyed Saeed, Li, Johnny Siu-Hang

Journal:

Insurance: Mathematics and Economics

Année:

2014

Langue:

english

Fichier:

PDF, 3.92 MB

english, 2014

26

Threshold Life Tables and Their Applications

Li, Johnny Siu-Hang, Hardy, Mary R., Tan, Ken Seng

Journal:

North American Actuarial Journal

Année:

2008

Langue:

english

Fichier:

PDF, 317 KB

english, 2008

27

Structural Changes in the Lee-Carter Mortality Indexes

Li, Johnny Siu-Hang, Chan, Wai-Sum, Cheung, Siu-Hung

Journal:

North American Actuarial Journal

Année:

2011

Langue:

english

Fichier:

PDF, 983 KB

english, 2011

28

“A Quantitative Comparison of Stochastic Mortality Models Using Data from England and Wales and the United States,” Andrew J. G. Cairns, David Blake, Kevin Dowd, Guy D. Coughlan, David Epstein, Alen Ong, and Igor Balevich, Vol. 13, No. 1, 2009

Chen, Kailiang, Liao, Jia, Shang, Xiaoyu, Li, Johnny Siu-Hang

Journal:

North American Actuarial Journal

Année:

2009

Langue:

english

Fichier:

PDF, 281 KB

english, 2009

29

Pricing Standardized Mortality Securitizations: A Two-Population Model With Transitory Jump Effects

Zhou, Rui, Li, Johnny Siu-Hang, Tan, Ken Seng

Journal:

Journal of Risk and Insurance

Année:

2013

Langue:

english

Fichier:

PDF, 840 KB

english, 2013

30

Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II

Zhou, Rui, Wang, Yujiao, Kaufhold, Kai, Li, Johnny Siu-Hang, Tan, Ken Seng

Journal:

North American Actuarial Journal

Année:

2014

Langue:

english

Fichier:

PDF, 505 KB

english, 2014

31

Markovian Approaches to Joint-Life Mortality

Ji, Min, Hardy, Mary, Li, Johnny Siu-Hang

Journal:

North American Actuarial Journal

Année:

2011

Langue:

english

Fichier:

PDF, 1016 KB

english, 2011

32

Parametric mortality indexes: From index construction to hedging strategies

Tan, Chong It, Li, Jackie, Li, Johnny Siu-Hang, Balasooriya, Uditha

Journal:

Insurance: Mathematics and Economics

Année:

2014

Langue:

english

Fichier:

PDF, 800 KB

english, 2014

33

Optimal relativities and transition rules of a bonus–malus system

Tan, Chong It, Li, Jackie, Li, Johnny Siu-Hang, Balasooriya, Uditha

Journal:

Insurance: Mathematics and Economics

Année:

2015

Langue:

english

Fichier:

PDF, 301 KB

english, 2015

34

A cautionary note on pricing longevity index swaps

Zhou, Rui, Li, Johnny Siu-Hang

Journal:

Scandinavian Actuarial Journal

Année:

2013

Langue:

english

Fichier:

PDF, 258 KB

english, 2013

35

The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds

Liu, Yanxin, Li, Johnny Siu-Hang

Journal:

Insurance: Mathematics and Economics

Année:

2015

Langue:

english

Fichier:

PDF, 377 KB

english, 2015

36

Uncertainty in Mortality Forecasting

LI, Johnny Siu-Hang, HARDY, Mary, TAN, Ken Seng

Journal:

Année:

2009

Langue:

english

Fichier:

PDF, 793 KB

english, 2009

37

Economic Pricing of Mortality-linked Securities in the Presence of Population Basis Risk

Zhou, Rui, Li, Johnny Siu-Hang, Tan, Ken Seng

Journal:

Geneva Papers on Risk and Insurance - Issues and Practice

Année:

2011

Langue:

english

Fichier:

PDF, 312 KB

english, 2011

38

Modeling longevity risk transfers as Nash bargaining problems: Methodology and insights

Zhou, Rui, Li, Johnny Siu-Hang, Tan, Ken Seng

Journal:

Economic Modelling

Année:

2015

Langue:

english

Fichier:

PDF, 474 KB

english, 2015

39

Canonical Valuation of Mortality-Linked Securities

Johnny Siu-Hang Li and Andrew Cheuk-Yin Ng

Journal:

Journal of Risk and Insurance

Année:

2011

Langue:

english

Fichier:

PDF, 2.68 MB

english, 2011

40

A Semi-Markov Multiple State Model for Reverse Mortgage Terminations

Ji, Min, Hardy, Mary, Li, Johnny Siu-Hang

Journal:

Annals of Actuarial Science

Année:

2012

Langue:

english

Fichier:

PDF, 441 KB

english, 2012

41

Stochastic modelling of the hybrid survival curve

Tan, Chong It, Li, Jackie, Li, Johnny Siu-Hang, Balasooriya, Uditha

Journal:

Journal of Population Research

Année:

2016

Langue:

english

Fichier:

PDF, 896 KB

english, 2016

42

Economic Pricing of Mortality-Linked Securities: A Tâtonnement Approach

Zhou, Rui, Li, Johnny Siu-Hang, Tan, Ken Seng

Journal:

Journal of Risk and Insurance

Année:

2015

Langue:

english

Fichier:

PDF, 396 KB

english, 2015

43

Dynamic Longevity Hedging in the Presence of Population Basis Risk: A Feasibility Analysis From Technical and Economic Perspectives

Zhou, Kenneth Q., Li, Johnny Siu-Hang

Journal:

Journal of Risk and Insurance

Année:

2016

Langue:

english

Fichier:

PDF, 421 KB

english, 2016

44

It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk

Liu, Yanxin, Li, Johnny Siu-Hang

Journal:

Insurance: Mathematics and Economics

Année:

2016

Langue:

english

Fichier:

PDF, 842 KB

english, 2016

45

Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization

Li, Johnny Siu-Hang, Chan, Wai-Sum, Zhou, Rui

Journal:

Journal of Risk and Insurance

Année:

2016

Langue:

english

Fichier:

PDF, 1.32 MB

english, 2016

46

Longevity Risk-Sharing Annuities: Partial Indexation in Mortality Experience

Zhang, Saisai, Li, Johnny Siu-Hang

Journal:

Asia-Pacific Journal of Risk and Insurance

Année:

2017

Langue:

english

Fichier:

PDF, 3.67 MB

english, 2017

47

A strategy for hedging risks associated with period and cohort effects using q-forwards

Liu, Yanxin, Li, Johnny Siu-Hang

Journal:

Insurance: Mathematics and Economics

Année:

2017

Langue:

english

Fichier:

PDF, 839 KB

english, 2017

48

Assessing basis risk in index-based longevity swap transactions

Li, Jackie, Li, Johnny Siu-Hang, Tan, Chong It, Tickle, Leonie

Journal:

Annals of Actuarial Science

Année:

2018

Langue:

english

Fichier:

PDF, 1.41 MB

english, 2018

49

Evaluating effectiveness of rainfall index insurance

Zhou, Rui, Li, Johnny Siu-Hang, Pai, Jeffrey

Journal:

Agricultural Finance Review

Année:

2018

Langue:

english

Fichier:

PDF, 376 KB

english, 2018

50

Mortality Forecasting for Multiple Populations: An Augmented Common Factor Model with a Penalized Log-Likelihood

Kang, Mao, Liu, Yanxin, Siu-Hang Li, Johnny, Chan, Wai-Sum

Journal:

Communications in Statistics: Case Studies, Data Analysis and Applications

Année:

2019

Langue:

english

Fichier:

PDF, 2.22 MB

english, 2019