Hong Li

Warren Centre for Actuarial Studies and Research, University of Manitoba

638 Drake Centre, 181 Freedman Crescent

Winnipeg, MB R3T 2N2

Canada

SCHOLARLY PAPERS

7

DOWNLOADS

317

SSRN CITATIONS

4

CROSSREF CITATIONS

2

Scholarly Papers (7)

1.

Dynamic Hedging of Longevity Risk: The Effect of Trading Frequency

Number of pages: 47 Posted: 02 Dec 2014 Last Revised: 29 Jun 2015
Hong Li
Warren Centre for Actuarial Studies and Research, University of Manitoba
Downloads 73 (337,715)
Citation 1

Abstract:

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Dynamic hedging; Longevity risk; Minimum variance; Forward mortality model

2.

Coherent Mortality Forecasting for Less Developed Countries

Number of pages: 34 Posted: 02 Aug 2018
Hong Li, Yang Lu and Pintao Lyu
Warren Centre for Actuarial Studies and Research, University of Manitoba, University of Paris 13 and Tilburg University - Department of Econometrics & Operations Research
Downloads 58 (380,559)

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Coherent Mortality Forecasts, Less Developed Countries, Mortality Rotation, Double Logistic Function

3.

Improved Index Insurance Design and Yield Estimation Using a Dynamic Factor Forecasting Approach

Number of pages: 33 Posted: 27 Jun 2018 Last Revised: 09 Jan 2019
Warren Centre for Actuarial Studies and Research, University of Manitoba, University of Manitoba - Warren Centre for Actuarial Studies and Research, University of Waterloo and Nanyang Technological University (NTU) - Nanyang Business School
Downloads 52 (400,439)

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Crop Yield Forecasting; Factor Model; Index-Based Insurance

4.

Robust Longevity Risk Management

Netspar Discussion Paper No. 12/2014-073
Number of pages: 40 Posted: 27 Feb 2015
Warren Centre for Actuarial Studies and Research, University of Manitoba, Tilburg University - Department of Econometrics & OR, Netspar, and CentER and Tilburg University - Center for Economic Research (CentER)
Downloads 44 (429,416)

Abstract:

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longevity risk, robust hedging, Kullback-Leibler divergence, mean-variance, conditional-value-at-risk

5.

Dynamic Bayesian Ratemaking: A Markov Chain Approximation Approach

North American Actuarial Journal, Forthcoming
Number of pages: 36 Posted: 12 Jan 2019 Last Revised: 11 Feb 2020
Hong Li, Yang Lu and Wenjun Zhu
Warren Centre for Actuarial Studies and Research, University of Manitoba, University of Paris 13 and Nanyang Technological University (NTU) - Nanyang Business School
Downloads 38 (453,734)

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Markov Chain Discretization, Bayesian Premium, Dynamic Random Effect, Risk Heterogeneity

6.

The Choice of Sample Size for Mortality Forecasting: A Bayesian Learning Approach

Netspar Discussion Paper No. 11/2014-072
Number of pages: 38 Posted: 27 Feb 2015
Warren Centre for Actuarial Studies and Research, University of Manitoba, Tilburg University - Department of Econometrics & OR, Netspar, and CentER and Tilburg University - Center for Economic Research (CentER)
Downloads 34 (471,104)
Citation 4

Abstract:

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Lee-Carter model, Cairns-Blake-Dowd model, Gibbs sampling

7.

Gompertz Law Revisited: Forecasting Mortality with a Multi-factor Exponential Model

Number of pages: 30 Posted: 16 Dec 2019 Last Revised: 04 Jan 2020
Warren Centre for Actuarial Studies and Research, University of Manitoba, University of Waterloo, Stanford University and Nanyang Technological University (NTU) - Nanyang Business School
Downloads 18 (559,910)

Abstract:

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Old Age Mortality Forecasting, Gompertz Law, Factor Model