Johnny Li
Title
Cited by
Cited by
Year
Measuring basis risk in longevity hedges
JSH Li, MR Hardy
North American Actuarial Journal 15 (2), 177-200, 2011
2312011
Uncertainty in mortality forecasting: an extension to the classical Lee-Carter approach
JSH Li, MR Hardy, KS Tan
Astin Bulletin 39 (1), 137-164, 2009
1222009
On Pricing and Hedging the No‐Negative‐Equity Guarantee in Equity Release Mechanisms
J Siu‐Hang Li, MR Hardy, KS Tan
Journal of Risk and Insurance 77 (2), 499-522, 2010
852010
Structural changes in the Lee-Carter mortality indexes: detection and implications
JSH Li, WS Chan, SH Cheung
North American Actuarial Journal 15 (1), 13-31, 2011
722011
Key q-duration: A framework for hedging longevity risk
JSH Li, A Luo
ASTIN Bulletin: The Journal of the IAA 42 (2), 413-452, 2012
652012
The CBD mortality indexes: modeling and applications
WS Chan, JSH Li, J Li
North American Actuarial Journal 18 (1), 38-58, 2014
612014
Pricing Standardized Mortality Securitizations: A Two‐Population Model With Transitory Jump Effects
R Zhou, JSH Li, KS Tan
Journal of Risk and Insurance 80 (3), 733-774, 2013
562013
The Lee-Carter model for forecasting mortality, revisited
SH Li, WS Chan
North American Actuarial Journal 11 (1), 68-89, 2007
562007
Modeling period effects in multi-population mortality models: Applications to Solvency II
R Zhou, Y Wang, K Kaufhold, JSH Li, KS Tan
North American Actuarial Journal 18 (1), 150-167, 2014
532014
Pricing longevity risk with the parametric bootstrap: A maximum entropy approach
JSH Li
Insurance: Mathematics and Economics 47 (2), 176-186, 2010
492010
Outlier analysis and mortality forecasting: the United Kingdom and Scandinavian countries
SH Li*, WS Chan
Scandinavian Actuarial Journal 2005 (3), 187-211, 2005
492005
Canonical Valuation of Mortality‐Linked Securities
J Siu‐Hang Li, A Cheuk‐Yin Ng
Journal of Risk and Insurance 78 (4), 853-884, 2011
402011
A step-by-step guide to building two-population stochastic mortality models
JSH Li, R Zhou, M Hardy
Insurance: Mathematics and Economics 63, 121-134, 2015
392015
A semi-Markov multiple state model for reverse mortgage terminations
M Ji, M Hardy, JSH Li
Annals of Actuarial Science 6 (2), 235, 2012
362012
Valuing variable annuity guarantees with the multivariate Esscher transform
ACY Ng, JSH Li
Insurance: Mathematics and Economics 49 (3), 393-400, 2011
342011
Threshold life tables and their applications
JSH Li, MR Hardy, KS Tan
North American Actuarial Journal 12 (2), 99-115, 2008
322008
Markovian approaches to joint-life mortality
M Ji, M Hardy, JSH Li
North American Actuarial Journal 15 (3), 357-376, 2011
312011
Economic pricing of mortality-linked securities in the presence of population basis risk
R Zhou, JSH Li, KS Tan
The Geneva Papers on Risk and Insurance-Issues and Practice 36 (4), 544-566, 2011
252011
Parametric mortality indexes: From index construction to hedging strategies
CI Tan, J Li, JSH Li, U Balasooriya
Insurance: Mathematics and Economics 59, 285-299, 2014
242014
Coherent mortality forecasting with generalized linear models: A modified time-transformation approach
SS Ahmadi, JSH Li
Insurance: Mathematics and Economics 59, 194-221, 2014
242014
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Articles 1–20