If you made any changes in Pure these will be visible here soon.

Research Outputs 1976 2019

Filter
Article
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
2016

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
2015

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
2012

Modeling Dependence between Loss Triangles

de Jong, P., 1 Jan 2012, In : North American Actuarial Journal. 16, 1, p. 74-86 13 p.

Research output: Contribution to journalArticleResearchpeer-review

Triangle
Modeling
Margin
Calendar
Line

The Health Impact of Mandatory Bicycle Helmet Laws

de Jong, P., May 2012, In : Risk Analysis. 32, 5, p. 782-790 9 p.

Research output: Contribution to journalArticleResearchpeer-review

Head Protective Devices
Bicycles
Health
Insurance Benefits
Craniocerebral Trauma
2010

Determining and allocating diversification benefits for a portfolio of risks

Choo, W. & De Jong, P., May 2010, In : ASTIN Bulletin. 40, 1, p. 257-269 13 p.

Research output: Contribution to journalArticleResearchpeer-review

Margin
Diversification benefits
Total risk
Financial risk
Diversification
2009

Loss reserving using loss aversion functions

Choo, W. & de Jong, P., Oct 2009, In : Insurance: Mathematics and Economics. 45, 2, p. 271-277 7 p.

Research output: Contribution to journalArticleResearchpeer-review

Risk Measures
Margin
Loss aversion
Operator
Risk measures
2007

Mean and dispersion modelling for policy claims costs

Heller, G. Z., Stasinopoulos, D. M., Rigby, R. A. & De Jong, P., 2007, In : Scandinavian Actuarial Journal. 2007, 4, p. 281-292 12 p.

Research output: Contribution to journalArticleResearchpeer-review

Costs
Modeling
Insurance
Skewed Distribution
Policy

Mortality projection based on the Wang transform

de Jong, P. & Marshall, C., May 2007, In : ASTIN Bulletin. 37, 1, p. 149-161 13 p.

Research output: Contribution to journalArticleResearchpeer-review

Wang transform
Z-score
Mortality projection
Mortality
Survival probability
2006

Adverse selection spirals

de Jong, P. & Ferris, S., Nov 2006, In : ASTIN Bulletin. 36, 2, p. 589-628 40 p.

Research output: Contribution to journalArticleResearchpeer-review

Adverse selection
Risk classification
Insurance
Mean-variance
Insurer

Extending Lee-Carter mortality forecasting

de Jong, P. & Tickle, L., Jan 2006, In : Mathematical Population Studies. 13, 1, p. 1-18 18 p.

Research output: Contribution to journalArticleResearchpeer-review

mortality
Mortality
time series
time series analysis
methodology

Forecasting Runoff Triangles

De Jong, P., 1 Apr 2006, In : North American Actuarial Journal. 10, 2, p. 28-38 11 p.

Research output: Contribution to journalArticleResearchpeer-review

Forecasting
Triangle
Methodology
Time Series Models
Forecast

Lee-Carter mortality forecasting: A multi-country comparison of variants and extensions

Booth, H., Hyndman, R. J., Tickle, L. & de Jong, P., 20 Oct 2006, In : Demographic Research. 15, p. 1-25 25 p., 9.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
File
mortality
death rate
life expectancy
evaluation
2005

Assessing the costs of adverse selection

De Jong, P. & Ferris, S., 2005, In : The IUP Journal of Management Research. 2, p. 64-82 19 p.

Research output: Contribution to journalArticleResearchpeer-review

2004

Extending the Lee-Carter methodology of mortality projection

de Jong, P. & Tickle, L., 2004, In : Department of Actuarial Studies Research Paper Series. 2004/07, p. 1-18 18 p.

Research output: Contribution to journalArticleResearch

The ARMA model in state space form

de Jong, P. & Penzer, J., 15 Oct 2004, In : Statistics and Probability Letters. 70, 1, p. 119-125 7 p.

Research output: Contribution to journalArticleResearchpeer-review

ARMA Model
State-space Representation
Space Form
Kalman Filter
State Space
2001

Modeling and smoothing unequally spaced sequence data

De Jong, P. & Mazzi, S., 2001, In : Statistical Inference for Stochastic Processes. 4, p. 53-71 19 p.

Research output: Contribution to journalArticleResearchpeer-review

Smoothing
Discrete Model
Modeling
State-space Model
Filter

Nonparametric smoothing using state space techniques

Brown, P. E. & De Jong, P., Mar 2001, In : Canadian Journal of Statistics. 29, 1, p. 37-50 14 p.

Research output: Contribution to journalArticleResearchpeer-review

Nonparametric Smoothing
Infinite Variance
Penalized Least Squares
State Space
Smoothing
1998

Diagnosing shocks in time series

de Jong, P. & Penzer, J., 1 Jun 1998, In : Journal of the American Statistical Association. 93, 442, p. 796-806 11 p.

Research output: Contribution to journalArticleResearchpeer-review

Level Shift
Behavior Modeling
Moving Average Model
Space Form
Integrated Model
1997

The scan sampler for time series models

De Jong, P., 1997, In : Biometrika. 84, 4, p. 929-937 9 p.

Research output: Contribution to journalArticleResearchpeer-review

Time Series Models
samplers
Time series
time series analysis
Smoothing Algorithm
1995

The simulation smoother for time series models

De Jong, P. & Shephard, N., Jun 1995, In : Biometrika. 82, 2, p. 339-350 12 p.

Research output: Contribution to journalArticleResearchpeer-review

Time Series Models
Time series
time series analysis
Gibbs Sampling
Multivariate Distribution
1994

Fast likelihood evaluation and prediction for nonstationary state space models

Jong, P. D. & Chu-chun-lin, S., Mar 1994, In : Biometrika. 81, 1, p. 133-142 10 p.

Research output: Contribution to journalArticleResearchpeer-review

Space Simulation
State-space Model
Kalman filters
Likelihood
Kalman Filter

Stationary and non‐stationary state space models

Jong, P. D. & Chu‐Chun‐Lin, S., 1994, In : Journal of Time Series Analysis. 15, 2, p. 151-166 16 p.

Research output: Contribution to journalArticleResearchpeer-review

State-space Model
Stationary States
Stationarity
ARIMA
Nonstationarity
1991

Stable algorithms for the state space model

Jong, P. D., 1991, In : Journal of Time Series Analysis. 12, 2, p. 143-157 15 p.

Research output: Contribution to journalArticleResearchpeer-review

State-space Model
Generalized Least Squares
Ordinary Least Squares
Missing Values
Covariance matrix
1989

Smoothing and interpolation with the state-space model

De Jong, P., 1989, In : Journal of the American Statistical Association. 84, 408, p. 1085-1088 4 p.

Research output: Contribution to journalArticleResearchpeer-review

State-space Model
Smoothing
Interpolate
Signal Extraction
Smoothing Algorithm
1988

A cross-validation filter for time series models

Jong, P. D., Sep 1988, In : Biometrika. 75, 3, p. 594-600 7 p.

Research output: Contribution to journalArticleResearchpeer-review

Space Simulation
Smoothing Algorithm
State-space Model
Time Series Models
Cross-validation

Covariances for smoothed estimates in state space models

Jong, P. D. & Mackinnon, M. J., Sep 1988, In : Biometrika. 75, 3, p. 601-602 2 p.

Research output: Contribution to journalArticleResearchpeer-review

Space Simulation
State-space Model
Smoothing Algorithm
Estimate
Interval

The likelihood for a state space model

De Jong, P., Mar 1988, In : Biometrika. 75, 1, p. 165-169 5 p.

Research output: Contribution to journalArticleResearchpeer-review

Space Simulation
State-space Model
Likelihood
Initial conditions
Filtering
1987

Rational economic data revisions

Jong, P. D., 1987, In : Journal of Business and Economic Statistics. 5, 4, p. 539-548 10 p.

Research output: Contribution to journalArticleResearchpeer-review

Economics
Time Series Data
Measurement Error
economics
Filter
1986

State transition specification in state‐space models

de Jong, P., 1986, In : Journal of Time Series Analysis. 7, 3, p. 213-216 4 p.

Research output: Contribution to journalArticleResearchpeer-review

State-space Model
State Transition
White noise
Higher Order
Specification
1985

A reanalysis of interspecific association in an old pasture

Turkington, R., Harper, J. L., De Jong, P. & Aarssen, L. W., 1985, In : Journal of Ecology. 73, 1, p. 123-131 9 p.

Research output: Contribution to journalArticleResearchpeer-review

pasture
pastures
methodology

Models and methods for pairing data

Jong, P. D. & Greig, M., 1985, In : Canadian Journal of Statistics. 13, 3, p. 233-241 9 p.

Research output: Contribution to journalArticleResearchpeer-review

Pairing
Count Data
Testing
Model
Observation
1984

A statistical approach to Saaty's scaling method for priorities

de Jong, P., 1984, In : Journal of Mathematical Psychology. 28, 4, p. 467-478 12 p.

Research output: Contribution to journalArticleResearchpeer-review

Covariance matrix
Scaling
Least-Squares Analysis
Psychology
Hierarchical Structure

First-order Markov Chains with a zero diagonal transition matrix

De Jong, P. & Greig, M., 1984, In : Biometrics. 40, 1, p. 101-107 7 p.

Research output: Contribution to journalArticleResearchpeer-review

Likelihood Functions
Markov Chains
Transition Matrix
Diagonal matrix
Markov processes

The mean square error of a randomly discounted sequence of uncertain payments

de Jong, P., 1984, In : Insurance: Mathematics and Economics. 3, 3, p. 173-178 6 p.

Research output: Contribution to journalArticleResearchpeer-review

Mean square error
Discount Factor
Discount
Random Vector
Expected Value
1983

Credibility theory and the Kalman filter

de Jong, P. & Zehnwirth, B., 1983, In : Insurance: Mathematics and Economics. 2, 4, p. 281-286 6 p.

Research output: Contribution to journalArticleResearchpeer-review

Credibility Theory
Kalman Filter
Credibility
Prediction Error
Forecast

Monitoring mortality. A state-space approach

De Jong, P. & Boyle, P. P., 1983, In : Journal of Econometrics. 23, 1, p. 131-146 16 p.

Research output: Contribution to journalArticleResearchpeer-review

Mortality
State Space
Monitoring
Unfolding
Dynamic Environment

Testing for random pairing

de Jong, P., Greig, M. & Madan, D., 1983, In : Journal of the American Statistical Association. 78, 382, p. 332-336 5 p.

Research output: Contribution to journalArticleResearchpeer-review

Pairing
Testing
Contingency Table
Margin
Maximum Likelihood

The use of contact sampling in studies of association in vegetation

De Jong, P., Aarssen, L. W. & Turkington, R., 1983, In : Journal of Ecology. 71, 2, p. 545-559 15 p.

Research output: Contribution to journalArticleResearchpeer-review

mechanics
vegetation
sampling
1981

Insurance premiums under demand constraints

De Jong, P., 1981, In : Scandinavian Actuarial Journal. 1981, 2, p. 123-125 3 p.

Research output: Contribution to journalArticleResearchpeer-review

Insurance
Economics
Alternatives
Demand
Premium
1980

The analysis of contact sampling data

de Jong, P., Aarssen, L. W. & Turkington, R., Jan 1980, In : Oecologia. 45, 3, p. 322-324 3 p.

Research output: Contribution to journalArticleResearchpeer-review

sampling
statistics
methodology
analysis
method
1978

Determining the final form of a linear dynamic econometric model

De Jong, P., 1978, In : Journal of Econometrics. 8, 2, p. 181-192 12 p.

Research output: Contribution to journalArticleResearchpeer-review

Econometrics
Riemann sum
Cauchy's integral formula
Frequency Domain Method
Fast Fourier transform
1976

The recursive fitting of autoregressions

De Jong, P., 1976, In : Biometrika. 63, 3, p. 525-530 6 p.

Research output: Contribution to journalArticleResearchpeer-review