Simon Man Chung Fung

Commonwealth Bank of Australia

CBP

Sydney, NSW 2064

Australia

SCHOLARLY PAPERS

9

DOWNLOADS

1,310

SSRN CITATIONS
Rank 26,302

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in Total Papers Citations

25

CROSSREF CITATIONS

19

Scholarly Papers (9)

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

Number of pages: 44 Posted: 31 Jan 2017 Last Revised: 22 Oct 2019
Simon Man Chung Fung, Gareth Peters and Pavel V. Shevchenko
Commonwealth Bank of Australia, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 143 (370,919)
Citation 5

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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: 44 Posted: 17 Apr 2018 Last Revised: 22 Oct 2019
Simon Man Chung Fung, Gareth Peters and Pavel V. Shevchenko
Commonwealth Bank of Australia, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 74 (589,870)
Citation 1

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

2.

A Hybrid Model for Equity Indices and Stochastic Interest Rates

Number of pages: 32 Posted: 10 Nov 2012 Last Revised: 15 Sep 2013
Standard Chartered Bank, Commonwealth Bank of Australia, University of New South Wales (UNSW)University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 208 (267,858)

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

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, Katja Ignatieva and Michael Sherris
Commonwealth Bank of Australia, University of New South Wales (UNSW)University of New South Wales - Australian School of Business and UNSW Business School
Downloads 128 (405,179)
Citation 1

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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, Katja Ignatieva and Michael Sherris
Commonwealth Bank of Australia, University of New South Wales (UNSW)University of New South Wales - Australian School of Business and UNSW Business School
Downloads 29 (885,288)
Citation 8

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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
School of Mathematical and Physical Sciences, University of Technology Sydney, University of California Santa Barbara, Commonwealth Bank of Australia and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 142 (372,489)
Citation 1

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

5.

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, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 142 (372,489)
Citation 9

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

6.

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, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 137 (382,935)
Citation 6

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

7.

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
Standard Chartered Bank, Commonwealth Bank of Australia, University of New South Wales (UNSW)University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 127 (406,451)

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

8.

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, Katja Ignatieva and Michael Sherris
Commonwealth Bank of Australia, University of New South Wales (UNSW)University of New South Wales - Australian School of Business and UNSW Business School
Downloads 110 (452,397)
Citation 1

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

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 - Department of Actuarial Studies and Business Analytics and Commonwealth Bank of Australia
Downloads 70 (600,047)
Citation 1

Abstract:

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