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State-space Model Mathematics
Kalman Filter Mathematics
State Space Mathematics
Time Series Models Mathematics
Smoothing Mathematics
Insurance Mathematics
Smoothing Algorithm Mathematics
time series analysis Agriculture & Biology

Projects 2006 2012

Research Outputs 1976 2019

SM bonds - a new product for managing longevity risk

de Jong, P. & Ferris, S., Mar 2019, In : Journal of Risk and Insurance. 86, 1, p. 121-149 29 p.

Research output: Contribution to journalArticleResearchpeer-review

New products
Longevity risk
Maturity
Mortality
Market price

Coherent modeling of male and female mortality using Lee–Carter in a complex number framework

de Jong, P., Tickle, L. & Xu, J., 1 Nov 2016, In : Insurance: Mathematics and Economics. 71, p. 130-137 8 p.

Research output: Contribution to journalArticleResearchpeer-review

Complex number
Mortality
Modeling
Singular value decomposition
Model

Insights to systematic risk and diversification across a joint probability distribution

Choo, W. & de Jong, P., Mar 2016, In : Insurance: Mathematics and Economics. 67, p. 142-150 9 p.

Research output: Contribution to journalArticleResearchpeer-review

Diversification
Joint Distribution
Probability Distribution
Dependent
Financial Markets

The tradeoff insurance premium as a two-sided generalisation of the distortion premium

Choo, W. & de Jong, P., 1 Nov 2015, In : Insurance: Mathematics and Economics. 65, p. 238-246 9 p.

Research output: Contribution to journalArticleResearchpeer-review

Insurance
Trade-offs
Cumulative Prospect Theory
Subjective Probability
Weighted Average

Time series analysis

de Jong, P., 2014, Predictive Modeling Applications in Actuarial Science: Volume I : Predictive Modeling Techniques. Frees, E. W., Derrig, R. A. & Meyers, G. (eds.). Cambridge: Cambridge University Press, p. 427-448 22 p.

Research output: Chapter in Book/Report/Conference proceedingChapterResearchpeer-review

Time series analysis
Modeling
Stochastic volatility model
Prediction
World Wide Web