Department of Actuarial Studies and Business Analytics

Fingerprint The fingerprint is based on mining the text of the scientific documents related to the associated persons. Based on that an index of weighted terms is created, which defines the key subjects of research unit

Regime Switching Mathematics
Markov processes Engineering & Materials Science
Option Valuation Mathematics
Model Mathematics
Estimator Mathematics
Panel Data Mathematics
Mortality Mathematics
Modeling Mathematics

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Projects 2006 2021

Research Output 1990 2019

A forecast reconciliation approach to cause-of-death mortality modeling

Li, H., Li, H., Lu, Y. & Panagiotelis, A., 2019, In : Insurance : mathematics and economics. 86, p. 122-133 12 p.

Research output: Contribution to journalArticleResearchpeer-review

Cause of death
Mortality
Modeling
Reconciliation
Mortality rate

A logistic two-population mortality projection model for modelling mortality at advanced ages for both sexes

Li, J. & Liu, J., 2019, In : Scandinavian Actuarial Journal. 2019, 2, p. 97-112 16 p.

Research output: Contribution to journalArticleResearchpeer-review

Mortality
Logistics
Projection
Modeling
Life Table

Assessing basis risk in index-based longevity swap transactions

Li, J., Li, J. S-H., Tan, C. I. & Tickle, L., Mar 2019, In : Annals of Actuarial Science. 13, 1, p. 166-197 32 p.

Research output: Contribution to journalArticleResearchpeer-review

Swap
Hedging
Transactions
Feature Modeling
Structural Change

Activities 2010 2019

Gareth Peters

P. Shevchenko (Host)
2019

Activity: Hosting a visitorHosting an academic visitor

Financial Risk Day 2019

P. Shevchenko (Organiser)
2019

Activity: Participating in or organising an eventOrganising a conference, workshop, ...