By Associate Professor Andres M Villegas Ramirez

Book Chapters

Holzmann R; Alonso Garcia J; Labit Hardy H; Villegas Ramirez A, 2020, 'Non-Financial Defined Contribution (NDC) schemes and heterogeneity in longevity: Proposals for re-design', in Holzmann R; Palmer E; Palacios R; Sacchi S (ed.), Progress and Challenges of Nonfinancial Defined Pension Schemes, Work Bank, http://dx.doi.org/10.1596/978-1-4648-1453-2

Journal articles

Kabuche D; Sherris M; Villegas AM; Ziveyi J, 2024, 'Pooling functional disability and mortality in long-term care insurance and care annuities: A matrix approach for multi-state pools', Insurance: Mathematics and Economics, 116, pp. 165 - 188, http://dx.doi.org/10.1016/j.insmatheco.2024.02.006

Nguyen H; Sherris M; Villegas AM; Ziveyi J, 2024, 'Scenario selection with LASSO regression for the valuation of variable annuity portfolios', Insurance: Mathematics and Economics, 116, pp. 27 - 43, http://dx.doi.org/10.1016/j.insmatheco.2024.01.006

Villegas AM; Bajekal M; Haberman S; Zhou L, 2024, 'Key Drivers of Long-Term Rates of Mortality Improvements in the United States: Period, Cohort, and Cause of Death Analysis, 1959–2016', North American Actuarial Journal, 28, pp. 187 - 217, http://dx.doi.org/10.1080/10920277.2023.2167834

Huang Z; Sherris M; Villegas AM; Ziveyi J, 2022, 'Modelling USA Age-Cohort Mortality: A Comparison of Multi-Factor Affine Mortality Models †', Risks, 10, http://dx.doi.org/10.3390/risks10090183

Li S; Hardy HL; Sherris M; Villegas AM, 2022, 'A Managed Volatility Investment Strategy for Pooled Annuity Products', Risks, 10, http://dx.doi.org/10.3390/risks10060121

Sridaran D; Sherris M; Villegas AM; Ziveyi J, 2022, 'A GROUP REGULARISATION APPROACH FOR CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS', ASTIN Bulletin, 52, pp. 247 - 289, http://dx.doi.org/10.1017/asb.2021.29

Kessy SR; Sherris M; Villegas AM; Ziveyi J, 2022, 'Mortality forecasting using stacked regression ensembles', Scandinavian Actuarial Journal, 2022, pp. 591 - 626, http://dx.doi.org/10.1080/03461238.2021.1999316

Hunt A; Villegas AM, 2021, 'Mortality Improvement Rates: Modeling, Parameter Uncertainty, and Robustness', NORTH AMERICAN ACTUARIAL JOURNAL, http://dx.doi.org/10.1080/10920277.2021/006068

Mayhew L; Harper G; Villegas AM, 2020, 'An investigation into the impact of deprivation on demographic inequalities in adults', Annals of Actuarial Science, 14, pp. 358 - 383, http://dx.doi.org/10.1017/S1748499520000068

Gómez FA; Londoñon JA; Villegas AM, 2019, 'Present value of pensions in the Public-defined Benefit Plan in Colombia', Cuadernos de Economia (Colombia), 38, pp. 173 - 206, http://dx.doi.org/10.15446/cuad.econ.v37n76.60002

Román S; Villegas AM; Villegas JG, 2018, 'An evolutionary strategy for multiobjective reinsurance optimization', Journal of the Operational Research Society, 69, pp. 1661 - 1677, http://dx.doi.org/10.1057/s41274-017-0210-y

Alai DH; Arnold (Gaille) S; Bajekal M; Villegas AM, 2018, 'Mind the Gap: A Study of Cause-Specific Mortality by Socioeconomic Circumstances', North American Actuarial Journal, 22, pp. 161 - 181, http://dx.doi.org/10.1080/10920277.2017.1377621

Villegas AM; Millossovich P; Kaishev VK, 2018, 'StMoMo: Stochastic mortality modeling in R', Journal of Statistical Software, 84, http://dx.doi.org/10.18637/jss.v084.i03

Villegas AM; Haberman S; Kaishev VK; Millossovich P, 2017, 'A COMPARATIVE STUDY of TWO-POPULATION MODELS for the ASSESSMENT of BASIS RISK in LONGEVITY HEDGES', ASTIN Bulletin, 47, pp. 631 - 679, http://dx.doi.org/10.1017/asb.2017.18

Hunt A; Villegas AM, 2015, 'Robustness and convergence in the Lee-Carter model with cohort effects', Insurance: Mathematics and Economics, 64, pp. 186 - 202, http://dx.doi.org/10.1016/j.insmatheco.2015.05.004

Hiabu M; Martínez-Miranda MD; Nielsen JP; Spreeuw J; Tanggaard C; Villegas AM, 2015, 'Global polynomial kernel hazard estimation', Revista Colombiana de Estadistica, 38, pp. 399 - 411, http://dx.doi.org/10.15446/rce.v38n2.51668

Villegas AM; Haberman S, 2014, 'On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England', North American Actuarial Journal, 18, pp. 168 - 193, http://dx.doi.org/10.1080/10920277.2013.866034

Villegas AM; Medaglia AL; Zuluaga LF, 2012, 'Computing bounds on the expected payoff of Alternative Risk Transfer products', Insurance: Mathematics and Economics, 51, pp. 271 - 281, http://dx.doi.org/10.1016/j.insmatheco.2012.03.012

Reports

Villegas Ramirez A; Bajekal M; Haberman S; Zhou L, 2022, Analysis of Historical U. S. Population Mortality Improvement Drivers 1959-2016, https://www.soa.org/resources/research-reports/2021/analysis-historical-us-drivers

Software / Code

Villegas Ramirez AM; Millossovich P; Kaishev VK, 2016, StMoMo: An R Package for Stochastic Mortality Modelling, CRAN, R package, Published: 02 February 2016, Software / Code, http://cran.r-project.org/package=StMoMo

Working Papers

Villegas Ramirez A; Pittarello G; Hiabu M, 2023, Chain Ladder Plus: a versatile approach for claims reserving, http://dx.doi.org10.48550/arXiv.2301.03858, https://arxiv.org/abs/2301.03858

Villegas Ramirez A; Bajekal M; Haberman S; Zhou L, 2023, Key drivers of long-term rates of mortality improvements in the US: period, cohort and cause of death analysis, 1959-2016, Elsevier, http://dx.doi.org10.2139/ssrn.4239286, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4239286

Villegas Ramirez A; Hunt A, 2020, Mortality Improvement Rates: Modeling, Parameter Uncertainty and Robustness, Taylor & Francis, 2020/28, http://dx.doi.org10.1080/10920277.2021.2006068, https://www.cepar.edu.au/sites/default/files/IR_NAAJsubmission.pdf

Lu Q; Hanewald K; Villegas AM; Wang X, 2020, Subnational old-age mortality modeling: Accounting for underreporting in a Bayesian framework, 2020/23, http://dx.doi.org10.26190/unsworks/27736, https://www.cepar.edu.au/publications/working-papers/subnational-old-age-mortality-modeling-accounting-underreporting-bayesian-framework

Holzmann R; Alonso Garcia J; labit hardy H; Villegas Ramirez A, 2017, NDC Schemes and Heterogeneity in Longevity: Proposals for Redesign, 2017/18, http://dx.doi.org, https://www.cepar.edu.au/sites/default/files/2017_WP18_NDC_Schemes_and_Heterogeneity_in_Longevity_0.pdf

Preprints

SriDaram D; Sherris M; Villegas A; Ziveyi J, A Group Regularisation Approach for Constructing Generalised Age-Period-Cohort Mortality Projection Models, http://dx.doi.org/10.2139/ssrn.3790991

KESSY S; Sherris M; Villegas A; Ziveyi J, Mortality Forecasting Using Stacked Regression Ensembles, http://dx.doi.org/10.2139/ssrn.3823511

Kabuche D; Sherris M; Villegas A; Ziveyi J, Pooling Functional Disability and Mortality in Long-Term Care Insurance and Care Annuities: A Matrix Approach for Multi-State Pools, http://dx.doi.org/10.2139/ssrn.4479051

Other

, 2015, A methodology for assessing basis risk ‐ Abstract of the London Discussion, Cambridge University Press (CUP), http://dx.doi.org/10.1017/s1357321715000197

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