Jonathan Ziveyi

University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies

UNSW Sydney

School of Risk and Actuarial Studies

UNSW Business School

Sydney, NSW 2000

Australia

  • University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies

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    • Tel: +61 2 9065 8254
    • Fax: +61 2 9385 1883
SCHOLARLY PAPERS

25

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36

Scholarly Papers (25)

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1.

Mortality Forecasting Using Stacked Regression Ensembles

Number of pages: 33 Posted: 12 Apr 2021 Last Revised: 08 Oct 2021
Salvatory Kessy, Michael Sherris, Andrés Villegas and Jonathan Ziveyi
UNSW Business School, UNSW Business School, University of New South Wales (UNSW) - 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 & Actuarial Studies
Downloads 448 (136,443)
Citation 5

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Stacked regression, ensemble learning, cross-validation, model uncertainty, model combination, age-period-cohort model, mortality forecasting

2.

Pricing European Options on Deferred Annuities

UNSW Australian School of Business Research Paper No. AIPAR 2012/1
Number of pages: 39 Posted: 15 Feb 2012 Last Revised: 04 Feb 2013
Jonathan Ziveyi, Craig Blackburn and Michael Sherris
University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies, University of New South Wales (UNSW) - School of Actuarial Studies and UNSW Business School
Downloads 246 (260,663)
Citation 1

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Mortality risk, Deferred insurance products, European options, Laplace Transforms

3.

Pricing American Options Written on Two Underlying Assets

Quantitative Finance (2013)
Number of pages: 37 Posted: 05 Apr 2012 Last Revised: 01 Oct 2013
Jonathan Ziveyi and Carl Chiarella
University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 221 (289,120)

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American Options, Fourier Transform, Multiple Underlying Assets

4.

Method of Lines Approach for Pricing American Spread Options

Number of pages: 28 Posted: 11 Mar 2012
Carl Chiarella and Jonathan Ziveyi
University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 212 (300,790)

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American Options, Method of Lines, Riccati Transformation

5.

The Valuation and Assessment of Retirement Income Products: a Unified Markov Chain Monte Carlo Framework

UNSW Business School Research Paper Forthcoming
Number of pages: 51 Posted: 25 Oct 2023
Yang Shen, Michael Sherris, Yawei Wang and Jonathan Ziveyi
University of New South Wales (UNSW), UNSW Business School, UNSW Business School and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 206 (309,077)

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Retirement income products; Hamiltonian Monte Carlo (HMC); Account-based pension; Variable annuities (VAs); Group self-annuities (GSAs).

6.

Two Stochastic Volatility Processes - American Option Pricing

University of Technology Sydney Quantitative Finance Research Centre Working Paper No. 292
Number of pages: 74 Posted: 11 Mar 2012
Carl Chiarella and Jonathan Ziveyi
University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 185 (341,317)
Citation 4

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American Options, Fourier Transform, Laplace Transform, Method of Characteristics

7.

Pricing and Hedging Guaranteed Minimum Withdrawal Benefits under a General Lévy Framework Using the COS Method

Quantitative Finance. 2017, DOI:10.1080/14697688.2017.1357832
Number of pages: 43 Posted: 10 Feb 2017 Last Revised: 17 Sep 2017
Jennifer Alonso-García, Oliver Wood and Jonathan Ziveyi
Université Libre de Bruxelles (ULB) - Department of Mathematics, CommInsure and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 155 (398,255)
Citation 5

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variable annuity, GMWB, COS method, hedging, risk minimisation

8.

Taxation and Policyholder Behavior: The Case of Guaranteed Minimum Accumulation Benefits

CEPAR Working Paper 2020/17
Number of pages: 31 Posted: 10 Jul 2020 Last Revised: 07 Dec 2023
Jennifer Alonso-García, Michael Sherris, Samuel Thirurajah and Jonathan Ziveyi
Université Libre de Bruxelles (ULB) - Department of Mathematics, UNSW Business School, KPMG and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 140 (432,319)
Citation 3

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taxation, retirement income, policyholder behavior, pricing, method of lines, surrender, variable annuity

9.

Valuation of Guaranteed Minimum Maturity Benefits in Variable Annuities with Surrender Options

Number of pages: 27 Posted: 25 Nov 2015
Yang Shen, Michael Sherris and Jonathan Ziveyi
University of New South Wales (UNSW) - Australian School of Business, UNSW Business School and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 138 (437,282)
Citation 2

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Guaranteed minimum maturity benefits, Surrender options, Numerical integration

10.

Pricing and Hedging of Guaranteed Minimum Benefits Under Regime-Switching and Stochastic Mortality

Number of pages: 30 Posted: 21 Apr 2016
Katja Ignatieva, Katja Ignatieva, Andrew Song and Jonathan Ziveyi
University of New South Wales (UNSW)University of New South Wales - Australian School of Business, UNSW Australia Business School, School of Risk & Actuarial Studies and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 137 (439,842)
Citation 8

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Variable annuity, Guaranteed Minimum Benefits (GMB), Fourier Space Time-stepping (FST) algorithm, mortality risk, interest rate risk

11.

A Group Regularisation Approach for Constructing Generalised Age-Period-Cohort Mortality Projection Models

UNSW Business School Research Paper Forthcoming
Number of pages: 33 Posted: 25 Feb 2021
Dilan SriDaran, Michael Sherris, Andrés Villegas and Jonathan Ziveyi
UNSW Australia Business School, School of Risk & Actuarial Studies, UNSW Business School, University of New South Wales (UNSW) - 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 & Actuarial Studies
Downloads 132 (453,046)

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Mortality projection, regularisation, cross validation, age-period-cohort model

12.

Financial Engineering: A Flexible Longevity Bond to Manage Individual Longevity Risk

Number of pages: 35 Posted: 14 May 2020
Yuxin Zhou, Michael Sherris, Jonathan Ziveyi and Mengyi Xu
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR) and School of Risk and Actuarial Studies, UNSW Business School, University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies and Purdue University
Downloads 115 (504,095)

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Longevity Risk, Stochastic Mortality, Longevity Bond, Immunization, Natural Hedging

13.

Estimating Transition Probabilities Using Repeated Cross-sectional Data

Downloads 109 (524,441)

Estimating Transition Probabilities Using Repeated Cross-sectional Data

UNSW Business School Research Paper Forthcoming
Number of pages: 28 Posted: 24 Apr 2024
Salvatory Kessy, Yang Shen, Michael Sherris, Jeromey Temple and Jonathan Ziveyi
UNSW Business School, University of New South Wales (UNSW), UNSW Business School, University of Melbourne - Melbourne School of Population and Global Health and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 78 (658,727)

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Disability, cross-sectional data, transition probabilities, prevalence rates, multiple-state model, long-term care, and longevity.

Estimating Transition Probabilities Using Repeated Cross-Sectional Data

UNSW Business School Research Paper Forthcoming
Number of pages: 28 Posted: 02 May 2024
Salvatory Kessy, Yang Shen, Michael Sherris, Jeromey Temple and Jonathan Ziveyi
UNSW Business School, University of New South Wales (UNSW), UNSW Business School, University of Melbourne - Melbourne School of Population and Global Health and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 31 (1,005,250)

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Disability, cross-sectional data, transition probabilities, prevalence rates, multiple-state model, long-term care, and longevity.

14.

Optimal Surrender of Guaranteed Minimum Maturity Benefits Under Stochastic Volatility and Interest Rates

Number of pages: 25 Posted: 05 Jun 2016
Boda Kang and Jonathan Ziveyi
AMP and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 106 (535,336)
Citation 6

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Variable annuities, optimal surrender, GMMB, stochastic volatility, stochastic interest rates, Fourier Cosine expansion, method of lines

15.

The Application of Affine Processes in Cohort Mortality Risk Models

UNSW Business School Research Paper Forthcoming
Number of pages: 28 Posted: 07 Sep 2019
Zhiping Huang, Michael Sherris, Andres Villegas and Jonathan Ziveyi
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), UNSW Business School, University of New South Wales (UNSW) and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 95 (577,053)
Citation 1

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mortality models, continuous time, cohort curve, affine rates, Kalman filter

16.

Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market

UNSW Business School Research Paper No. 2015ACTL05
Number of pages: 36 Posted: 13 Mar 2015 Last Revised: 01 Oct 2015
José Da Fonseca, Katja Ignatieva, Katja Ignatieva and Jonathan Ziveyi
Auckland University of Technology - Faculty of Business & Law, University of New South Wales (UNSW)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 & Actuarial Studies
Downloads 85 (618,089)
Citation 1

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Oil futures, CDS spread, realized jumps, realized volatility

17.

Pooling Functional Disability and Mortality in Long-Term Care Insurance and Care Annuities: A Matrix Approach for Multi-State Pools

Downloads 75 (663,442)

Pooling Functional Disability and Mortality in Long-Term Care Insurance and Care Annuities: A Matrix Approach for Multi-State Pools

Number of pages: 36 Posted: 19 Jun 2023
Doreen Kabuche, Michael Sherris, Andrés Villegas and Jonathan Ziveyi
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, UNSW Business School, University of New South Wales (UNSW) - 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 & Actuarial Studies
Downloads 53 (807,140)

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long-term care insurance, pooled annuity, multi-state models, functional disability, health status

Pooling Functional Disability and Mortality in Long-Term Care Insurance and Care Annuities: A Matrix Approach for Multi-State Pools

Number of pages: 36 Posted: 28 Jun 2023
Doreen Kabuche, Michael Sherris, Andrés Villegas and Jonathan Ziveyi
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, UNSW Business School, University of New South Wales (UNSW) - 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 & Actuarial Studies
Downloads 22 (1,113,557)

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long-term care insurance, pooled annuity, multi-state models, functional disability, health status

18.

Risk-sharing Rules for Mortality Pooling Products with Stochastic and Correlated Mortality Rates

UNSW Business School Research Paper Forthcoming
Number of pages: 32 Posted: 19 Dec 2024
Yuxin Zhou, Len Patrick Garces, Yang Shen, Michael Sherris and Jonathan Ziveyi
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR) and School of Risk and Actuarial Studies, School of Mathematical and Physical Sciences, University of Technology Sydney (UTS), University of New South Wales (UNSW), UNSW Business School and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 57 (763,514)

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Risk-sharing rule, Mortality pooling product, Stochastic mortality rate, Correlated mortality rate

19.

Age-Dependent Multi-Cohort Affine Mortality Model with Cohort Correlation

UNSW Business School Research Paper Forthcoming
Number of pages: 31 Posted: 25 May 2023
Yuxin Zhou, Len Patrick Garces, Yang Shen, Michael Sherris and Jonathan Ziveyi
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR) and School of Risk and Actuarial Studies, School of Mathematical and Physical Sciences, University of Technology Sydney (UTS), University of New South Wales (UNSW), UNSW Business School and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 55 (776,416)

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Mortality model, Age-dependent, Multi-cohort, Cohort correlation, Incomplete cohort, Affine, Regularisation

20.

The Application of Affine Processes in Multi-Cohort Mortality Model

7th Australasian Actuarial Education and Research Symposium
Number of pages: 22 Posted: 03 Dec 2015
Yajing Xu, Michael Sherris and Jonathan Ziveyi
UNSW Australia Business School, School of Risk & Actuarial Studies, UNSW Business School and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 47 (833,747)

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21.

Scenario Selection with Lasso Regression for the Valuation of Variable Annuity Portfolios

UNSW Business School Research Paper Forthcoming
Number of pages: 36 Posted: 15 Jul 2023
Hang Nguyen, Michael Sherris, Andrés Villegas and Jonathan Ziveyi
University of New South Wales (UNSW), UNSW Business School, University of New South Wales (UNSW) - 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 & Actuarial Studies
Downloads 33 (957,727)

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variable annuity, LASSO, linear model, neural network, metamodeling

22.

A Hybrid Variable Annuity Contract Embedded with Living and Death Benefit Riders

Number of pages: 45 Posted: 06 Feb 2025
Jennifer Alonso-García, Samuel Thirurajah and Jonathan Ziveyi
Université Libre de Bruxelles (ULB) - Department of Mathematics, KPMG and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 27 (1,021,537)

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retirement income, variable annuity, policyholder behaviour, taxation, pricing, method of lines, surrender

23.

Valuing Variable Annuity Guarantees on Multiple Assets

Scandinavian Actuarial Journal, 2015, DOI:10.1080/03461238.2015.1102167
Posted: 25 Nov 2015
Jonathan Ziveyi and José Da Fonseca
University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies and Auckland University of Technology - Faculty of Business & Law

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mortality risk, variable annuity, stochastic volatility risk, correlation risk, multiple assets, European option

24.

American Option Pricing Under Two Stochastic Volatility Processes

Applied Mathematics and Computation, Forthcoming
Posted: 02 Oct 2013
Jonathan Ziveyi and Carl Chiarella
University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies and University of Technology, Sydney - UTS Business School, Finance Discipline Group

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American Options, Fourier Transform, Laplace Transform, Method of Characteristics

25.

Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms

Contemporary Quantitative Finance, Forthcoming
Posted: 12 Mar 2012
Carl Chiarella, Andrew Ziogas and Jonathan Ziveyi
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - School of Finance and Economics and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies

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