Simon Man Chung Fung

Commonwealth Bank of Australia

CBP

Sydney, NSW 2064

Australia

SCHOLARLY PAPERS

9

DOWNLOADS

786

CITATIONS
Rank 32,059

SSRN RANKINGS

Top 32,059

in Total Papers Citations

17

Scholarly Papers (9)

1.

A Hybrid Model for Equity Indices and Stochastic Interest Rates

Number of pages: 32 Posted: 10 Nov 2012 Last Revised: 15 Sep 2013
Jan F. Baldeaux, Simon Man Chung Fung, Katja Ignatieva and Eckhard Platen
Standard Chartered Bank, Commonwealth Bank of Australia, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 164 (180,160)

Abstract:

Loading...

growth optimal portfolio, time dependent constant elasticity of variance model, nonparametric kernel

Cohort Effects in Mortality Modelling: A Bayesian State-Space Approach

Number of pages: 41 Posted: 31 Jan 2017 Last Revised: 24 Mar 2017
Simon Man Chung Fung, Gareth Peters and Pavel V. Shevchenko
Commonwealth Bank of Australia, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 75 (318,177)
Citation 4

Abstract:

Loading...

mortality modelling, cohort features, state-space models, Bayesian inference, Markov chain Monte Carlo

Cohort Effects in Mortality Modelling: A Bayesian State-Space Approach

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 45 Posted: 17 Apr 2018
Simon Man Chung Fung, Gareth Peters and Pavel V. Shevchenko
Commonwealth Bank of Australia, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 31 (471,644)

Abstract:

Loading...

mortality modelling, cohort features, state-space model, Bayesian inference, Markov chain Monte Carlo

Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities

UNSW Australian School of Business Research Paper No. 2013ACTL15
Number of pages: 28 Posted: 15 Jun 2013 Last Revised: 30 Sep 2015
Simon Man Chung Fung, Katja Ignatieva and Michael Sherris
Commonwealth Bank of Australia, 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 and Actuarial Studies
Downloads 101 (263,364)
Citation 1

Abstract:

Loading...

variable annuity, guaranteed lifetime withdrawal benefits (GLWB), systematic mortality risk, parameter risk, model risk, static hedging

Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities

Number of pages: 28 Posted: 15 Jun 2013 Last Revised: 17 Oct 2016
Simon Man Chung Fung, Katja Ignatieva and Michael Sherris
Commonwealth Bank of Australia, 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 and Actuarial Studies
Downloads 5 (638,162)
Citation 1

Abstract:

Loading...

variable annuity, guaranteed lifetime withdrawal benefits (GLWB), systematic mortality risk, parameter risk, model risk, static hedging

4.

Stochastic Period and Cohort Effect State-Space Mortality Models Incorporating Demographic Factors via Probabilistic Robust Principle Components

Number of pages: 92 Posted: 01 Jun 2017
The Department of Statistical Science, University College London, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Commonwealth Bank of Australia and Macquarie University
Downloads 87 (288,078)

Abstract:

Loading...

Stochastic Mortality Models, Demographic, Factor Model, Feature Extraction, Robust Estimation

5.

A Unified Approach to Mortality Modelling Using State-Space Framework: Characterisation, Identification, Estimation and Forecasting

Number of pages: 44 Posted: 31 May 2016
Simon Man Chung Fung, Gareth Peters and Pavel V. Shevchenko
Commonwealth Bank of Australia, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 80 (303,195)
Citation 4

Abstract:

Loading...

mortality modelling, state-space model, stochastic volatility, heteroscedasticity, particle Markov chain Monte Carlo

6.

Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives

UNSW Business School Research Paper No. 20015ACTL04
Number of pages: 29 Posted: 12 Mar 2015
Simon Man Chung Fung, Katja Ignatieva and Michael Sherris
Commonwealth Bank of Australia, 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 and Actuarial Studies
Downloads 76 (312,517)

Abstract:

Loading...

longevity risk management; longevity swaps; longevity options; hedge effectiveness

7.

A State-Space Estimation of the Lee-Carter Mortality Model and Implications for Annuity Pricing

Number of pages: 7 Posted: 07 Dec 2015
Simon Man Chung Fung, Gareth Peters and Pavel V. Shevchenko
Commonwealth Bank of Australia, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 63 (345,952)
Citation 4

Abstract:

Loading...

Mortality modeling, longevity risk, Bayesian inference, Gibbs sampling, state-space models, life annuities

8.

A Hybrid Model for Pricing and Hedging of Long Dated Bonds

UNSW Business School Research Paper No. 2015ACTL06
Number of pages: 29 Posted: 13 Mar 2015 Last Revised: 30 Sep 2015
Jan F. Baldeaux, Simon Man Chung Fung, Katja Ignatieva and Eckhard Platen
Standard Chartered Bank, Commonwealth Bank of Australia, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 62 (348,763)

Abstract:

Loading...

Long dated bond pricing, stochastic interest rate, growth optimal portfolio, nonparametric kernel

9.

A Note on the Impact of Management Fees on the Pricing of Variable Annuity Guarantees

Number of pages: 23 Posted: 13 May 2017
Jin Sun, Pavel V. Shevchenko and Simon Man Chung Fung
University of Technology Sydney (UTS), Macquarie University and Commonwealth Bank of Australia
Downloads 42 (414,208)

Abstract:

Loading...

Variable Annuity Guarantees, Guaranteed Minimum Withdrawal Benefits, Management Fees, Stochastic Optimal Control, PDE, Finite Difference