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Johnny Li
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Year
Measuring basis risk in longevity hedges
JSH Li, MR Hardy
North American Actuarial Journal 15 (2), 177-200, 2011
2752011
Uncertainty in mortality forecasting: an extension to the classical Lee-Carter approach
JSH Li, MR Hardy, KS Tan
ASTIN Bulletin: The Journal of the IAA 39 (1), 137-164, 2009
1462009
On Pricing and Hedging the No‐Negative‐Equity Guarantee in Equity Release Mechanisms
J Siu‐Hang Li, MR Hardy, KS Tan
Journal of Risk and Insurance 77 (2), 499-522, 2010
1102010
Structural changes in the Lee-Carter mortality indexes: detection and implications
JSH Li, WS Chan, SH Cheung
North American Actuarial Journal 15 (1), 13-31, 2011
862011
Key q-duration: A framework for hedging longevity risk
JSH Li, A Luo
Astin Bulletin: The Journal of the IAA 42 (2), 413-452, 2012
792012
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
The Lee-Carter model for forecasting mortality, revisited
SH Li, WS Chan
North American Actuarial Journal 11 (1), 68-89, 2007
732007
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
The CBD mortality indexes: modeling and applications
WS Chan, JSH Li, J Li
North American Actuarial Journal 18 (1), 38-58, 2014
702014
Outlier analysis and mortality forecasting: the United Kingdom and Scandinavian countries
SH Li*, WS Chan
Scandinavian Actuarial Journal 2005 (3), 187-211, 2005
692005
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
Pricing longevity risk with the parametric bootstrap: A maximum entropy approach
JSH Li
Insurance: Mathematics and Economics 47 (2), 176-186, 2010
582010
A semi-Markov multiple state model for reverse mortgage terminations
M Ji, M Hardy, JSH Li
Annals of Actuarial Science 6 (2), 235-257, 2012
512012
Valuing variable annuity guarantees with the multivariate Esscher transform
ACY Ng, JSH Li
Insurance: Mathematics and Economics 49 (3), 393-400, 2011
472011
Markovian approaches to joint-life mortality
M Ji, M Hardy, JSH Li
North American Actuarial Journal 15 (3), 357-376, 2011
472011
Canonical Valuation of Mortality‐Linked Securities
J Siu‐Hang Li, A Cheuk‐Yin Ng
Journal of Risk and Insurance 78 (4), 853-884, 2011
452011
Threshold life tables and their applications
JSH Li, MR Hardy, KS Tan
North American Actuarial Journal 12 (2), 99-115, 2008
352008
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
Optimal relativities and transition rules of a bonus–malus system
CI Tan, J Li, JSH Li, U Balasooriya
Insurance: Mathematics and Economics 61, 255-263, 2015
322015
Parametric mortality indexes: From index construction to hedging strategies
CI Tan, J Li, JSH Li, U Balasooriya
Insurance: Mathematics and Economics 59, 285-299, 2014
312014
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