By Associate Professor Jonathan Ziveyi

Book Chapters

Ziveyi J; Chiarella C; Ziogas A, 2011, 'Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms', in Chiarella C; Novikov A (ed.), Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen, Springer, New York, pp. 281 - 315, http://dx.doi.org/10.1007/978-3-642-03479-4_15

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

Alonso-García J; Sherris M; Thirurajah S; Ziveyi J, 2024, 'Taxation and policyholder behavior: the case of guaranteed minimum accumulation benefits', ASTIN Bulletin, 54, pp. 185 - 212, http://dx.doi.org/10.1017/asb.2023.38

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

Kang B; Shen Y; Zhu D; Ziveyi J, 2022, 'Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method', Insurance: Mathematics and Economics, 105, pp. 96 - 127, http://dx.doi.org/10.1016/j.insmatheco.2022.03.012

Olivieri A; Thirurajah S; Ziveyi J, 2022, 'TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS', ASTIN Bulletin, 52, pp. 591 - 617, http://dx.doi.org/10.1017/asb.2022.7

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

Zhou Y; Sherris M; Ziveyi J; Xu M, 2021, 'An innovative design of flexible, bequest-enhanced life annuity with natural hedging', Scandinavian Actuarial Journal, 2022, pp. 488 - 509, http://dx.doi.org/10.1080/03461238.2021.1997795

Gudkov N; Ziveyi J, 2021, 'Application of power series approximation techniques to valuation of European style options', Quantitative Finance, 21, pp. 609 - 635, http://dx.doi.org/10.1080/14697688.2020.1809696

Xu Y; Sherris M; Ziveyi J, 2020, 'Market Price of Longevity Risk for a Multi-Cohort Mortality Model With Application to Longevity Bond Option Pricing', Journal of Risk and Insurance, 87, pp. 571 - 595, http://dx.doi.org/10.1111/jori.12273

Sherris M; Xu Y; Ziveyi J, 2020, 'Cohort and value-based multi-country longevity risk management', Scandinavian Actuarial Journal, 2020, pp. 650 - 676, http://dx.doi.org/10.1080/03461238.2019.1711450

Xu Y; Sherris M; Ziveyi J, 2020, 'Continuous-time multi-cohort mortality modelling with affine processes', Scandinavian Actuarial Journal, 2020, pp. 526 - 552, http://dx.doi.org/10.1080/03461238.2019.1696223

Gudkov N; Ignatieva K; Ziveyi J, 2019, 'Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method', Quantitative Finance, 19, pp. 501 - 518, http://dx.doi.org/10.1080/14697688.2018.1490806

Kang B; Ziveyi J, 2018, 'Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates', Insurance: Mathematics and Economics, 79, pp. 43 - 56, http://dx.doi.org/10.1016/j.insmatheco.2017.12.012

Ignatieva K; Song A; Ziveyi J, 2018, 'Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality', ASTIN Bulletin, 48, pp. 139 - 169, http://dx.doi.org/10.1017/asb.2017.23

Alonso Garcia J; Wood O; Ziveyi J, 2017, 'Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method', Quantitative Finance, 18, pp. 1049 - 1075, http://dx.doi.org/10.1080/14697688.2017.1357832

Da Fonseca J; Ziveyi J, 2017, 'Valuing variable annuity guarantees on multiple assets', Scandinavian Actuarial Journal, 2017, pp. 209 - 230, http://dx.doi.org/10.1080/03461238.2015.1102167

Ignatieva K; Song A; Ziveyi J, 2016, 'Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality', Insurance: Mathematics and Economics, 70, pp. 286 - 300, http://dx.doi.org/10.1016/j.insmatheco.2016.06.014

Ziveyi JONATHAN; Sherris MICHAEL; Shen Y, 2016, 'Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options', Insurance: Mathematics and Economics, http://dx.doi.org/10.1016/j.insmatheco.2016.04.006

Da Fonseca J; Ignatieva K; Ziveyi J, 2016, 'Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market', Energy Economics, 56, pp. 215 - 228, http://dx.doi.org/10.1016/j.eneco.2016.03.022

Ziveyi J; Chiarella C, 2013, 'American Option Pricing under Two Stochastic Volatility Processes', Applied Mathematics and Computation, 224, pp. 283 - 310, http://dx.doi.org/10.1016/j.amc.2013.08.047

Ziveyi J; Chiarella C, 2013, 'Pricing American Options Written on Two Underlying Assets', Quantitative Finance, 14, pp. 409 - 426, http://dx.doi.org/10.1080/14697688.2013.810811

Ziveyi J; Blackburn C; Sherris M, 2013, 'Pricing European Options on Deferred Annuities', Insurance Mathematics and Economics, 52, pp. 300 - 311, http://dx.doi.org/10.1016/j.insmatheco.2013.01.004

Theses / Dissertations

Blackburn CM, 2013, Longevity Risk Management and Securitisation in an Affine Mortality Modelling Framework, Australia

Working Papers

Ziveyi J; Blackburn C; Sherris M, Pricing European Options on Deferred Insurance, 201202, http://dx.doi.org

Shen Y; Sherris M; Wang Y; Ziveyi J, The Valuation and Assessment of Retirement Income Products: a Unified Markov Chain Monte Carlo Framework, Elsevier BV, http://dx.doi.org10.2139/ssrn.4595961, http://dx.doi.org/10.2139/ssrn.4595961

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

Zhou Y; Garces LPD; Shen Y; Sherris M; Ziveyi J, Age-Dependent Multi-Cohort Affine Mortality Model with Cohort Correlation, http://dx.doi.org/10.2139/ssrn.4456316

KESSY S; Shen Y; Sherris M; Temple J; Ziveyi J, Estimating Transition Probabilities Using Repeated Cross-sectional Data, http://dx.doi.org/10.2139/ssrn.4800795

Da Fonseca J; Ignatieva K; Ziveyi J, Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market, http://dx.doi.org/10.2139/ssrn.2577060

Zhou Y; Sherris M; Ziveyi J; Xu M, Financial Engineering: A Flexible Longevity Bond to Manage Individual Longevity Risk, http://dx.doi.org/10.2139/ssrn.3580488

Sherris M; Xu Y; Ziveyi J, Market Price of Longevity Risk for a Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing, http://dx.doi.org/10.2139/ssrn.3121520

Chiarella C; Ziveyi J, Method of Lines Approach for Pricing American Spread Options, http://dx.doi.org/10.2139/ssrn.2019353

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

Kang B; Ziveyi J, Optimal Surrender of Guaranteed Minimum Maturity Benefits Under Stochastic Volatility and Interest Rates, http://dx.doi.org/10.2139/ssrn.2789301

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

Ziveyi J; Chiarella C, Pricing American Options Written on Two Underlying Assets, http://dx.doi.org/10.2139/ssrn.2034176

Alonso-Garcca J; Wood O; Ziveyi J, Pricing and Hedging Guaranteed Minimum Withdrawal Benefits under a General LLvy Framework Using the COS Method, http://dx.doi.org/10.2139/ssrn.2914105

Ignatieva K; Song A; Ziveyi J, Pricing and Hedging of Guaranteed Minimum Benefits Under Regime-Switching and Stochastic Mortality, http://dx.doi.org/10.2139/ssrn.2766927

Blackburn C; Sherris M; Ziveyi J, Pricing European Options on Deferred Insurance Contracts, http://dx.doi.org/10.2139/ssrn.2005461

Alonso-García J; Sherris M; Thirurajah S; Ziveyi J, Taxation and Policyholder Behavior: The Case of Guaranteed Minimum Accumulation Benefits, http://dx.doi.org/10.2139/ssrn.3629101

Xu Y; Sherris M; Ziveyi J, The Application of A ffine Processes in Multi-Cohort Mortality Model, http://dx.doi.org/10.2139/ssrn.2698757

Huang Z; Sherris M; Villegas A; Ziveyi J, The Application of Affine Processes in Cohort Mortality Risk Models, http://dx.doi.org/10.2139/ssrn.3446924

Xu Y; Sherris M; Ziveyi J, The Application of Affine Processes in Multi-Cohort Mortality Model, http://dx.doi.org/10.2139/ssrn.2603524

Chiarella C; Ziveyi J, Two Stochastic Volatility Processes - American Option Pricing, http://dx.doi.org/10.2139/ssrn.2019348

Shen Y; Sherris M; Ziveyi J, Valuation of Guaranteed Minimum Maturity Benefits in Variable Annuities with Surrender Options, http://dx.doi.org/10.2139/ssrn.2695265

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