Select Publications
Preprints
A Group Regularisation Approach for Constructing Generalised Age-Period-Cohort Mortality Projection Models, , http://dx.doi.org/10.2139/ssrn.3790991
,Age-Dependent Multi-Cohort Affine Mortality Model with Cohort Correlation, , http://dx.doi.org/10.2139/ssrn.4456316
,Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market, , http://dx.doi.org/10.2139/ssrn.2577060
,Financial Engineering: A Flexible Longevity Bond to Manage Individual Longevity Risk, , http://dx.doi.org/10.2139/ssrn.3580488
,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
,Method of Lines Approach for Pricing American Spread Options, , http://dx.doi.org/10.2139/ssrn.2019353
,Mortality Forecasting Using Stacked Regression Ensembles, , http://dx.doi.org/10.2139/ssrn.3823511
,Optimal Surrender of Guaranteed Minimum Maturity Benefits Under Stochastic Volatility and Interest Rates, , http://dx.doi.org/10.2139/ssrn.2789301
,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
,Pricing American Options Written on Two Underlying Assets, , http://dx.doi.org/10.2139/ssrn.2034176
,Pricing and Hedging Guaranteed Minimum Withdrawal Benefits under a General LLvy Framework Using the COS Method, , http://dx.doi.org/10.2139/ssrn.2914105
,Pricing and Hedging of Guaranteed Minimum Benefits Under Regime-Switching and Stochastic Mortality, , http://dx.doi.org/10.2139/ssrn.2766927
,Pricing European Options on Deferred Insurance Contracts, , http://dx.doi.org/10.2139/ssrn.2005461
,Taxation and Policyholder Behavior: The Case of Guaranteed Minimum Accumulation Benefits, , http://dx.doi.org/10.2139/ssrn.3629101
,The Application of A ffine Processes in Multi-Cohort Mortality Model, , http://dx.doi.org/10.2139/ssrn.2698757
,The Application of Affine Processes in Cohort Mortality Risk Models, , http://dx.doi.org/10.2139/ssrn.3446924
,The Application of Affine Processes in Multi-Cohort Mortality Model, , http://dx.doi.org/10.2139/ssrn.2603524
,Two Stochastic Volatility Processes - American Option Pricing, , http://dx.doi.org/10.2139/ssrn.2019348
,Valuation of Guaranteed Minimum Maturity Benefits in Variable Annuities with Surrender Options, , http://dx.doi.org/10.2139/ssrn.2695265
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