Marwa Khalaf-Allah

J.P. Morgan

Executive Director

25 Bank Street

London, E14 5JP

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS

946

SSRN CITATIONS
Rank 14,874

SSRN RANKINGS

Top 14,874

in Total Papers Citations

67

CROSSREF CITATIONS

35

Scholarly Papers (5)

1.

Mortality Density Forecasts: An Analysis of Six Stochastic Mortality Models

Pensions Institute Discussion Paper No. PI-0801
Number of pages: 70 Posted: 10 Feb 2009 Last Revised: 10 Jul 2009
Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Nottingham University Business School (NUBS), Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 473 (115,682)
Citation 56

Abstract:

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Stochastic mortality model, cohort erect, fan charts, model risk, fore-casting, model selection criteria

2.

Backtesting Stochastic Mortality Models: An Ex-Post Evaluation of Multi-Period Ahead-Density Forecasts

Number of pages: 43 Posted: 29 Apr 2009 Last Revised: 10 Jul 2009
Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 238 (242,780)
Citation 31

Abstract:

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backtesting, forecasting performance, mortality models

3.

Evaluating the Goodness of Fit of Stochastic Mortality Models

Number of pages: 53 Posted: 04 May 2009
Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 164 (340,680)
Citation 23

Abstract:

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goodness of fit, mortality models

4.

Longevity Hedging 101: A Framework for Longevity Basis Risk Analysis and Hedge Effectiveness

North American Actuarial Journal, Volume 15, Number 2, 2011
Number of pages: 38 Posted: 10 Jul 2020
Pacific Global Advisors, J.P. Morgan, affiliation not provided to SSRN, Indian Institute of Management (IIM), Kozhikode, Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London and City University London - The Business School
Downloads 71 (612,888)
Citation 11

Abstract:

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Longevity hedging, longevity index, longevity basis risk, stochastic mortality, two populations, hedge effectiveness

5.

A Gravity Model of Mortality Rates for Two Related Populations

North American Actuarial Journal, Vol. 15, No. 2, 2011
Posted: 24 Jan 2012
City University London - The Business School, Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Pacific Global Advisors and J.P. Morgan

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