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Jackie Li

Associate Professor

 https://orcid.org/0000-0001-8399-6584
20062019
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  • 2 Similar Profiles
Mortality Mathematics
Hedging Mathematics
mortality Social Sciences
life expectancy Social Sciences
projection Social Sciences
Pricing Mathematics
Modeling Mathematics
Common factor Mathematics

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Projects 2012 2017

Project to develop a method of assessing basis risk for longevity transactions, Phase 2

Li, K. K. J., Li, S., Tickle, L. & Tan, C. I.

8/07/16 → 30/09/17

Project: Research

The Cost of Living Longer: Projecting the Effects of Prospective Mortality Improvement on Economic Support Ratios for a Selection of OECD Countries

Tickle, L., Parr, N. & Li, K. K. J.

1/01/13 → 31/03/14

Project: Research

An Evaluation of the Forecasting Performance of the Poisson Common Factor Model

Li, K. K. J., Tickle, L. & Parr, N.

1/01/12 → 31/07/13

Project: Research

evaluation
performance

Research Outputs 2006 2019

  • 39 Article
  • 2 Meeting abstract
  • 1 Conference proceeding contribution

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 journal › Article › Research › peer-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 journal › Article › Research › peer-review

Swap
Hedging
Transactions
Feature Modeling
Structural Change

Beyond the highest life expectancy: construction of proxy upper and lower life expectancy bounds

Liu, J. & Li, J., Jun 2019, In : Journal of Population Research. 36, 2, p. 159-181 23 p.

Research output: Contribution to journal › Article › Research › peer-review

life expectancy
trend
mortality
value theory
projection

Constructing out-of-the-money longevity hedges using parametric mortality indexes

Li, J. S-H., Li, K. K. J., Balasooriya, U. & Zhou, K. Q., 21 Nov 2019, In : North American Actuarial Journal.

Research output: Contribution to journal › Article › Research › peer-review

Mortality
Hedging
Pricing
Liquidity
Time-varying Parameters

Multivariate risk-neutral pricing of reverse mortgages under the bayesian framework

Li, J., Kogure, A. & Liu, J., 24 Jan 2019, In : Risks. 7, 1, p. 1-12 12 p., 11.

Research output: Contribution to journal › Article › Research › peer-review

Open Access
File
Multivariate risk
Mortgages
Risk-neutral pricing
Interest rate risk
Longevity risk

Press / Media

Manage longevity risk by accessing capital market, academic says

Ka Ki Jackie Li

29/08/16

1 item of media coverage

Press/Media: Research

Longevity basis risk research underway

Ka Ki Jackie Li

17/08/16

1 item of media coverage

Press/Media: Research

Longevity a new opportunity for investors

Ka Ki Jackie Li

16/08/16

1 item of media coverage

Press/Media: Research

Academics, industry investigate longevity bonds

Ka Ki Jackie Li

25/07/16

1 item of media coverage

Press/Media: Research