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Pricing longevity risk with the parametric bootstrap : a maximum entropy approach
Li, Johnny Siu-Hang - In: Insurance / Mathematics & economics 47 (2010) 2, pp. 176-186
Persistent link: https://www.econbiz.de/10008654260
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The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty
Li, Johnny Siu-Hang; Liu, Yanxin - In: Insurance / Mathematics & economics 93 (2020), pp. 1-26
Persistent link: https://www.econbiz.de/10012294047
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Green nested simulation via likelihood ratio : applications to longevity risk management
Feng, Mingbin; Li, Johnny Siu-Hang; Zhou, Kenneth Q. - In: Insurance / Mathematics & economics 106 (2022), pp. 285-301
Persistent link: https://www.econbiz.de/10013380561
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Hedging longevity risk under non-Gaussian state-space stochastic mortality models : a mean-variance-skewness-kurtosis approach
Li, Johnny Siu-Hang; Liu, Yanxin; Chan, Wai-Sum - In: Insurance / Mathematics & economics 113 (2023), pp. 96-121
Persistent link: https://www.econbiz.de/10014466206