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Rui Zhou
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Pricing Standardized Mortality Securitizations: A Two‐Population Model With Transitory Jump Effects
R Zhou, JSH Li, KS Tan
Journal of Risk and Insurance 80 (3), 733-774, 2013
762013
Modeling period effects in multi-population mortality models: Applications to Solvency II
R Zhou, Y Wang, K Kaufhold, JSH Li, KS Tan
North American Actuarial Journal 18 (1), 150-167, 2014
712014
A step-by-step guide to building two-population stochastic mortality models
JSH Li, R Zhou, M Hardy
Insurance: Mathematics and Economics 63, 121-134, 2015
642015
Semicoherent multipopulation mortality modeling: the impact on longevity risk securitization
JSH Li, WS Chan, R Zhou
Journal of Risk and Insurance 84 (3), 1025-1065, 2017
332017
Economic pricing of mortality-linked securities in the presence of population basis risk
R Zhou, JSH Li, KS Tan
The Geneva Papers on Risk and Insurance-Issues and Practice 36 (4), 544-566, 2011
262011
Economic pricing of mortality‐linked securities: A tātonnement approach
R Zhou, JSH Li, KS Tan
Journal of Risk and Insurance 82 (1), 65-96, 2015
212015
A cautionary note on pricing longevity index swaps
R Zhou, JSH Li
Scandinavian Actuarial Journal 2013 (1), 1-23, 2013
152013
Modeling mortality of multiple populations with vector error correction models: applications to solvency II
R Zhou, Y Wang, K Kaufhold, JSH Li, KS Tan
North American Actuarial Journal 18 (1), 150-167, 2014
122014
Modeling longevity risk transfers as Nash bargaining problems: Methodology and insights
R Zhou, JSH Li, KS Tan
Economic Modelling 51, 460-472, 2015
112015
Evaluating effectiveness of rainfall index insurance
R Zhou, JSH Li, J Pai
Agricultural Finance Review, 2018
92018
Modelling mortality dependence with regime-switching copulas
R Zhou
ASTIN Bulletin: The Journal of the IAA 49 (2), 373-407, 2019
62019
Hedging crop yield with exchange-traded weather derivatives
R Zhou, JSH Li, J Pai
Agricultural Finance Review, 2016
62016
Towards a large and liquid longevity market: A graphical population basis risk metric
WS Chan, JSH Li, KQ Zhou, R Zhou
The Geneva Papers on Risk and Insurance-Issues and Practice 41 (1), 118-127, 2016
62016
Drivers of mortality dynamics: Identifying age/period/cohort components of historical US mortality improvements
JSH Li, R Zhou, Y Liu, G Graziani, RD Hall, J Haid, A Peterson, L Pinzur
North American Actuarial Journal 24 (2), 228-250, 2020
52020
Pricing temperature derivatives with a filtered historical simulation approach
R Zhou, JSH Li, J Pai
The European Journal of Finance 25 (15), 1462-1484, 2019
52019
Demographic risk in deep-deferred annuity valuation
M Ji, R Zhou
Annals of Actuarial Science 11 (2), 286-314, 2017
42017
A multi-parameter-level model for simulating future mortality scenarios with COVID-alike effects
R Zhou, JSH Li
Annals of Actuarial Science, 1-25, 2021
32021
Changes of relation in multi-population mortality dependence: An application of threshold VECM
R Zhou, G Xing, M Ji
Risks 7 (1), 14, 2019
32019
A General Semi-Markov Model for Coupled Lifetimes
M Ji, R Zhou
North American Actuarial Journal 23 (1), 98-119, 2019
32019
The Boundary of the Market for Biosecurity Risk
G Stoneham, SM Hester, JSH Li, R Zhou, A Chaudhry
Risk Analysis 41 (8), 1447-1462, 2021
22021
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Articles 1–20