Daniel H. Alai

University of Kent

Lecturer

Cornwallis Building

Canterbury, CT2 7NF

United Kingdom

SCHOLARLY PAPERS

7

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998

CITATIONS
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10

Scholarly Papers (7)

1.

Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions

North American Actuarial Journal, Forthcoming
Number of pages: 49 Posted: 17 Jan 2013 Last Revised: 01 Apr 2014
University of Kent, University of Hawai?i at M?noa, University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR) and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 384 (75,856)
Citation 4

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Reverse Mortgage, Home Reversion, Vector Autoregressive Models, Stochastic Discount Factors, Risk-Based Capital

2.

Modelling Cause-of-Death Mortality and the Impact of Cause-Elimination

UNSW Australian School of Business Research Paper No. 2013ACTL08
Number of pages: 21 Posted: 15 Mar 2013 Last Revised: 28 Jan 2016
University of Kent, University of Lausanne - Faculty of Business and Economics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 190 (158,280)

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Cause-of-Death Mortality, Multinomial Logistic Regression, Cause-Elimination, Life Expectancy, Mortality Forecasts

3.

Rethinking Age-Period-Cohort Mortality Trend Models

UNSW Australian School of Business Research Paper No. 2011ACTL2009
Number of pages: 28 Posted: 13 May 2011 Last Revised: 02 Apr 2012
Daniel H. Alai and Michael Sherris
University of Kent and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 171 (173,955)

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Mortality Modelling, Age-Period-Cohort Models, Generalized Linear Models, Lee-Carter Models

4.

Lifetime Dependence Modelling Using a Truncated Multivariate Gamma Distribution

UNSW Australian School of Business Research Paper No. AIPAR 2012/3
Number of pages: 24 Posted: 02 Apr 2012 Last Revised: 26 Mar 2013
Daniel H. Alai, Zinoviy Landsman and Michael Sherris
University of Kent, University of Haifa, Department of Statistics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 113 (242,150)

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Systematic Longevity Risk, Dependence, Multivariate Gamma, Lifetime Distribution, Annuity Valuation

5.

Multivariate Tweedie Lifetimes: The Impact of Dependence

UNSW Australian School of Business Research Paper No. 2013ACTL12
Number of pages: 25 Posted: 09 Apr 2013 Last Revised: 07 May 2013
Daniel H. Alai, Zinoviy Landsman and Michael Sherris
University of Kent, University of Haifa, Department of Statistics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 74 (317,622)

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systematic longevity risk, dependence, multivariate Tweedie, lifetime distribution

6.

A Multivariate Forward-Rate Mortality Framework

UNSW Business School Research Paper No. 2014ACTL08
Number of pages: 24 Posted: 18 Dec 2014 Last Revised: 02 Jan 2015
Daniel H. Alai, Katja Ignatieva and Michael Sherris
University of Kent, University of New South Wales - Australian School of Business and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 37 (434,369)

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longevity risk, Olivier-Smith model, forward-rate mortality framework, minimum covariance pattern, copulas

7.

A Multivariate Tweedie Lifetime Model: Censoring and Truncation

UNSW Business School Research Paper No. 2015ACTL01
Number of pages: 27 Posted: 17 Jan 2015
Daniel H. Alai, Zinoviy Landsman and Michael Sherris
University of Kent, University of Haifa, Department of Statistics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 29 (469,752)

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systematic longevity risk, dependence, multivariate Tweedie, lifetime distribution, censoring, truncation