Yajing Xu

UNSW Australia Business School, School of Risk & Actuarial Studies

Room 2058 South Wing 2nd Floor

Quadrangle building, Kensington Campus

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

3

DOWNLOADS

150

SSRN CITATIONS

3

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Market Price of Longevity Risk for a Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing

UNSW Business School Research Paper
Number of pages: 38 Posted: 12 Feb 2018
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 71 (338,879)
Citation 2

Abstract:

Loading...

Multi-cohort mortality model, Market price of longevity risk, Longevity indexes

2.

The Application of Affine Processes in Multi-Cohort Mortality Model

UNSW Business School Research Paper No. 2015ACTL13
Number of pages: 36 Posted: 07 May 2015
UNSW Australia Business School, School of Risk & Actuarial Studies, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 64 (358,064)
Citation 4

Abstract:

Loading...

Multi-cohort mortality model, Affne framework, Common factors, Cohort specific factors, Mortality projections

3.

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
UNSW Australia Business School, School of Risk & Actuarial Studies, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and UNSW Australia
Downloads 15 (571,878)

Abstract:

Loading...