By Associate Professor Jonathan Ziveyi

Preprints

Alonso-Garcia J; Garces LPDM; Ziveyi J, 2025, Variable annuities: A closer look at ratchet guarantees, hybrid contract designs, and taxation, http://dx.doi.org/10.48550/arxiv.2507.07358

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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