Jennifer Chan

The University of Sydney - School of Mathematics and Statistics

Senior Lecturer

Sydney, New South Wales 2006

Australia

SCHOLARLY PAPERS

7

DOWNLOADS

553

SSRN CITATIONS

4

CROSSREF CITATIONS

5

Scholarly Papers (7)

1.

Long Memory Models for Financial Time Series of Counts and Evidence of Systematic Market Participant Trading Behaviour Patterns in Futures on US Treasuries

Number of pages: 36 Posted: 04 May 2017
Hongxuan Yan, Jennifer Chan and Gareth Peters
The University of Sydney - School of Mathematics and Statistics, The University of Sydney - School of Mathematics and Statistics and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 172 (194,163)
Citation 2

Abstract:

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Long memory Count Time Series, Bayesian Forecasting, Futures Contract, Open Interest, Traded Volume, Liquidity, Treasury Securities, GARMA, ARFIMA, Generalized Poisson Distribution

2.

Mortality Models Incorporating Long Memory Improves Life Table Estimation: A Comprehensive Analysis

Number of pages: 122 Posted: 31 Mar 2018
Hongxuan Yan, Gareth Peters and Jennifer Chan
The University of Sydney - School of Mathematics and Statistics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and The University of Sydney - School of Mathematics and Statistics
Downloads 99 (296,746)
Citation 4

Abstract:

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Life Table, Life Expectancy, Lee Carter Model, Fractional Integrated Model, Bayesian Inference

3.

Reducing Model Risk and Improving Mortality Forecasts for Life Insurance Product Pricing

Number of pages: 31 Posted: 31 Jan 2019
Hongxuan Yan, Gareth Peters and Jennifer Chan
The University of Sydney - School of Mathematics and Statistics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and The University of Sydney - School of Mathematics and Statistics
Downloads 88 (319,830)

Abstract:

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Life Table, Gengenbauer Polynomial, Lee Carter Model, Long Memory, Bayesian Inference, Annuity Pricing, Guaranteed Annuity Option

4.

Risk Margin Quantile Function via Parametric and Non-Parametric Bayesian Quantile Regression

Number of pages: 33 Posted: 12 Feb 2014
Alice Dong, Jennifer Chan and Gareth Peters
The University of Sydney - School of Mathematics and Statistics, The University of Sydney - School of Mathematics and Statistics and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 66 (377,072)
Citation 1

Abstract:

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Asymmetric Laplace distribution, Bayesian inference, Markov chain Monte Carlo methods, Quantile regression, loss reserve, risk margin, central estimate

5.

Multivariate Long Memory Cohort Mortality Models

Number of pages: 25 Posted: 23 Apr 2018
Hongxuan Yan, Gareth Peters and Jennifer Chan
The University of Sydney - School of Mathematics and Statistics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and The University of Sydney - School of Mathematics and Statistics
Downloads 53 (419,554)
Citation 1

Abstract:

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mortality modelling, life expectancy, multivariate, cohort, long memory, count time series, pension

6.

Modelling and Forecasting Stock Volatility and Return: A New Approach Based on Quantile Rogers-Satchell Volatility Measure With Asymmetric Bilinear CARR Model

Number of pages: 41 Posted: 18 Feb 2020
Shay Kee Tan, Jennifer Chan and Kok Haur Ng
University of Malaya (UM) - Institute of Mathematical Sciences, The University of Sydney - School of Mathematics and Statistics and University of Malaya
Downloads 42 (461,857)

Abstract:

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Volatility, Range-based, Quantile Rogers-Satchell, CARR Model, Value-at-Risk

7.

Evidence for Persistence and Long Memory Features in Mortality Data

Number of pages: 18 Posted: 30 Jan 2019
Hongxuan Yan, Gareth Peters and Jennifer Chan
The University of Sydney - School of Mathematics and Statistics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and The University of Sydney - School of Mathematics and Statistics
Downloads 33 (502,580)

Abstract:

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