Hongxuan Yan

The University of Sydney - School of Mathematics and Statistics

PhD candidate

Sydney, New South Wales 2006

Australia

SCHOLARLY PAPERS

5

DOWNLOADS

409

SSRN CITATIONS

1

CROSSREF CITATIONS

5

Scholarly Papers (5)

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 162 (198,705)
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 91 (304,715)
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 77 (337,314)

Abstract:

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

4.

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 48 (426,385)
Citation 1

Abstract:

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

5.

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 31 (499,266)

Abstract:

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