By Associate Professor Jonathan Ziveyi

Preprints

Thalagoda G; Hanewald K; Villegas A; Ziveyi J, 2026, An Assessment Framework for Equitable Longevity Risk-Sharing Arrangements, http://dx.doi.org/10.2139/ssrn.6375558

KESSY S; Shen Y; Sherris M; Temple J; Ziveyi J, 2024, Estimating Transition Probabilities Using Repeated Cross-sectional Data, http://dx.doi.org/10.2139/ssrn.4800795

Kabuche D; Sherris M; Villegas A; Ziveyi J, 2023, 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

SriDaram D; Sherris M; Villegas A; Ziveyi J, 2021, 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, 2021, Mortality Forecasting Using Stacked Regression Ensembles, http://dx.doi.org/10.2139/ssrn.3823511

Alonso-García J; Sherris M; Thirurajah S; Ziveyi J, 2020, Taxation and Policyholder Behavior: The Case of Guaranteed Minimum Accumulation Benefits, http://dx.doi.org/10.2139/ssrn.3629101

Huang Z; Sherris M; Villegas A; Ziveyi J, 2019, The Application of Affine Processes in Cohort Mortality Risk Models, http://dx.doi.org/10.2139/ssrn.3446924

Alonso-García J; Wood O; Ziveyi J, 2017, Pricing and Hedging Guaranteed Minimum Withdrawal Benefits under a General Lévy Framework Using the COS Method, http://dx.doi.org/10.2139/ssrn.2914105

Ignatieva K; Song A; Ziveyi J, 2016, Pricing and Hedging of Guaranteed Minimum Benefits Under Regime-Switching and Stochastic Mortality, http://dx.doi.org/10.2139/ssrn.2766927

Da Fonseca J; Ignatieva K; Ziveyi J, 2015, Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market, http://dx.doi.org/10.2139/ssrn.2577060

Xu Y; Sherris M; Ziveyi J, 2015, The Application of Affine Processes in Multi-Cohort Mortality Model, http://dx.doi.org/10.2139/ssrn.2603524

Chiarella C; Ziveyi J, 2012, Method of Lines Approach for Pricing American Spread Options, http://dx.doi.org/10.2139/ssrn.2019353

Ziveyi J; Chiarella C, 2012, Pricing American Options Written on Two Underlying Assets, http://dx.doi.org/10.2139/ssrn.2034176

Ziveyi J; Blackburn C; Sherris M, 2012, Pricing European Options on Deferred Annuities, http://dx.doi.org/10.2139/ssrn.2005461

Chiarella C; Ziveyi J, 2012, Two Stochastic Volatility Processes - American Option Pricing, http://dx.doi.org/10.2139/ssrn.2019348

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

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

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

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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