Johnny Siu‐Hang Li

University of Waterloo

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

6

DOWNLOADS

119

SSRN CITATIONS
Rank 34,587

SSRN RANKINGS

Top 34,587

in Total Papers Citations

10

CROSSREF CITATIONS

13

Scholarly Papers (6)

1.

Improving Risk Sharing and Borrower Incentives in Mortgage Design

Number of pages: 37 Posted: 18 Sep 2015 Last Revised: 04 Apr 2017
Yuchen Mei, Phelim P. Boyle and Johnny Siu‐Hang Li
University of Waterloo - Department of Statistics and Actuarial Science, Wilfrid Laurier University - School of Business & Economics and University of Waterloo
Downloads 83 (426,225)
Citation 1

Abstract:

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Borrower incentives, Mortgage default risk, Property index-linked mortgages, Risk sharing

2.

The Role of Longevity Annuities in Different Socioeconomic Classes: A Canadian Case Study

Number of pages: 49 Posted: 07 Jul 2022
Rui Zhou, Johnny Siu‐Hang Li and Kenneth Zhou
The University of Melbourne, University of Waterloo and Arizona State University (ASU) - School of Mathematical and Statistical Sciences
Downloads 28 (675,480)

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Longevity annuity, Stochastic mortality, Retirement, Life cycle, Endogenous grid method

3.

Pricing Standardized Mortality Securitizations: A Two‐Population Model with Transitory Jump Effects

Journal of Risk and Insurance, Vol. 80, Issue 3, pp. 733-774, 2013
Number of pages: 42 Posted: 30 Aug 2013
Rui Zhou, Johnny Siu‐Hang Li and Ken Seng Tan
University of Manitoba, University of Waterloo and University of Waterloo
Downloads 4 (898,790)
Citation 5

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4.

Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization

Journal of Risk and Insurance, Vol. 84, Issue 3, pp. 1025-1065, 2017
Number of pages: 41 Posted: 15 Aug 2017
Johnny Siu‐Hang Li, Wai‐Sum Chan and Rui Zhou
University of Waterloo, The Chinese University of Hong Kong (CUHK) and University of Manitoba
Downloads 2 (924,956)
Citation 3

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5.

Dynamic Longevity Hedging in the Presence of Population Basis Risk: A Feasibility Analysis from Technical and Economic Perspectives

Journal of Risk and Insurance, Vol. 84, Issue S1, pp. 417-437, 2017
Number of pages: 21 Posted: 14 Apr 2017
Kenneth Q. Zhou and Johnny Siu‐Hang Li
University of Waterloo and University of Waterloo
Downloads 2 (924,956)

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6.

Economic Pricing of Mortality‐Linked Securities: A Tâtonnement Approach

Journal of Risk and Insurance, Vol. 82, Issue 1, pp. 65-96, 2015
Number of pages: 32 Posted: 21 Feb 2015
Rui Zhou, Johnny Siu‐Hang Li and Ken Seng Tan
University of Manitoba, University of Waterloo and University of Waterloo
Downloads 0 (952,441)
Citation 2

Abstract:

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