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~person:"Li, Jackie"
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Search: subject:"Longevity risk"
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Mortality
7
Sterblichkeit
7
Risikomodell
5
Risk model
5
Longevity risk
4
Risiko
4
Risk
4
longevity risk
4
Portfolio selection
3
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2
Entropie
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Mortality indexes
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house price risk
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interest rate risk
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principle of maximum entropy
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reverse mortgage
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risk-neutralisation
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Actuarial mathematics
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Li, Jackie
Sherris, Michael
34
Blake, David
14
Regis, Luca
13
Mitchell, Olivia S.
11
Li, Johnny Siu-Hang
10
Horneff, Vanya
9
Maurer, Raimond
9
Weber, Frederik
9
Coppola, Mariarosaria
8
Hanewald, Katja
8
Luciano, Elisa
8
Cairns, Andrew
7
Chen, An
7
Alai, Daniel H.
6
Börger, Matthias
6
Devolder, Pierre
6
Haberman, Steven
6
Pitacco, Ermanno
6
Roy, Amlan
6
Sibillo, Marilena
6
Ungolo, Francesco
6
Zhou, Yuxin
6
Chan, Wai-Sum
5
D'Amato, Valeria
5
Dowd, Kevin
5
Heijdra, Ben J.
5
Li, Hong
5
Lin, Tzuling
5
Loisel, Stéphane
5
MacMinn, Richard D.
5
Mierau, Jochen O.
5
Milevsky, Moshe Arye
5
Olivieri, Annamaria
5
Orlando, Albina
5
Ruß, Jochen
5
Antolín, Pablo
4
Bauer, Daniel
4
Caliendo, Frank
4
Di Lorenzo, Emilia
4
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Insurance / Mathematics & economics
3
Insurance: Mathematics and Economics
2
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
Journal of pension economics and finance : JPEF
1
Risks
1
Risks : open access journal
1
Scandinavian actuarial journal
1
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ECONIS (ZBW)
7
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EconStor
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1
Mandatory annuitization and money's worth : evidence from Singapore
Fong, Joelle H.
;
Li, Jackie
- In:
Journal of pension economics and finance : JPEF
21
(
2022
)
3
,
pp. 405-424
Persistent link: https://www.econbiz.de/10013269961
Saved in:
2
A Hermite spline approach for modelling population mortality
Tang, Sixian
;
Li, Jackie
;
Tickle, Leonie
- In:
Annals of actuarial science : publ. by the Institute of …
17
(
2023
)
2
,
pp. 243-284
Persistent link: https://www.econbiz.de/10014320036
Saved in:
3
Multivariate risk-neutral pricing of reverse mortgages under the Bayesian framework
Li, Jackie
;
Kogure, Atsuyuki
;
Liu, Jia
- In:
Risks
7
(
2019
)
1
,
pp. 1-12
risk, interest rate risk and
longevity
risk
. We adopt the principle of maximum entropy in risk-neutralisation of these …
Persistent link: https://www.econbiz.de/10013200429
Saved in:
4
Multivariate risk-neutral pricing of reverse mortgages under the Bayesian framework
Li, Jackie
;
Kogure, Atsuyuki
;
Liu, Jia
- In:
Risks : open access journal
7
(
2019
)
1/11
,
pp. 1-12
risk, interest rate risk and
longevity
risk
. We adopt the principle of maximum entropy in risk-neutralisation of these …
Persistent link: https://www.econbiz.de/10012018623
Saved in:
5
Market pricing of longevity-linked securities
Tang, Sixian
;
Li, Jackie
- In:
Scandinavian actuarial journal
2021
(
2021
)
5
,
pp. 408-436
Persistent link: https://www.econbiz.de/10012588320
Saved in:
6
On the effectiveness of natural hedging for insurance companies and pension plans
Li, Jackie
;
Haberman, Steven
- In:
Insurance / Mathematics & economics
61
(
2015
),
pp. 286-297
Persistent link: https://www.econbiz.de/10010515868
Saved in:
7
Using bootstrapping to incorporate model error for risk-neutral pricing of
longevity
risk
Yang, Bowen
;
Li, Jackie
;
Balasooriya, Uditha
- In:
Insurance / Mathematics & economics
62
(
2015
),
pp. 16-27
Persistent link: https://www.econbiz.de/10011312091
Saved in:
8
On the effectiveness of natural hedging for insurance companies and pension plans
Li, Jackie
;
Haberman, Steven
- In:
Insurance: Mathematics and Economics
61
(
2015
)
C
,
pp. 286-297
Natural hedging is one possible method to reduce
longevity
risk
exposure for an annuity provider or a pension plan. In …
Persistent link: https://www.econbiz.de/10011263836
Saved in:
9
Parametric mortality indexes : from index construction to hedging strategies
Tan, Chong It
;
Li, Jackie
;
Li, Johnny Siu-Hang
; …
- In:
Insurance / Mathematics & economics
59
(
2014
),
pp. 285-299
Persistent link: https://www.econbiz.de/10010469993
Saved in:
10
Parametric mortality indexes: From index construction to hedging strategies
Tan, Chong It
;
Li, Jackie
;
Li, Johnny Siu-Hang
; …
- In:
Insurance: Mathematics and Economics
59
(
2014
)
C
,
pp. 285-299
can be used to hedge
longevity
risk
exposures. Another contribution of this paper is a method called key K-duration that …
Persistent link: https://www.econbiz.de/10011116632
Saved in:
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