Sydney, NSW 2052
Australia
UNSW Business School
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Longevity risk, securitization
Aging, insurance, old-age risk, annuities, pensions, long-term care, reverse mortgage, securitization, longevity risk, guarantee, mortality swaps
credit risk, CDO, Gaussian copula, base correlation, implied copula
Economic scenarios, regime switching, multivariate models
longevity risk, risk based capital, static hedging, q-forwards, longevity bonds, life annuities, variable annuities
life insurance, optimal reinsurance, proportional reinsurance, mean-variance criteria
longevity risk, risk based capital, reverse mortgages, Vector Autoregressive Model
longevity risk, unit roots, VAR, VECM
GARCH, Outliers, Portfolio management, Volatility forecasting, Volatility timing
Reverse Mortgage, Home Reversion, Vector Autoregressive Models, Stochastic Discount Factors, Risk-Based Capital
Stacked regression, ensemble learning, cross-validation, model uncertainty, model combination, age-period-cohort model, mortality forecasting
longevity, mortality, pricing, risk management
Reverse mortgage, Income stream, Equity release, Vector autoregressive model, Stochastic discount factor, Risk-based capital
house price risk, statistical models, risk management
retirement, home equity release, reverse mortgage, home reversion plan
Retirement, home equity release, reverse mortgage, home reversion plan
portfolio selection, insurance linked securities, multiple criteria decision making, Analytical Hierarchy Process, ELECTRE
Equity release products, idiosyncratic house price risk, stochastic mortality, Willis-Sherris mortality model
capital management, solvency, longevity risk, reinsurance, securitization
mortality model, longevity risk, multi-factor, affine, arbitrage-free, consistent, Kalman Filter, Swedish Mortality
mortality, parameter risk, vector auto-regression, Bayesian, Heligman-Pollard model
morbidity, health transitions, long-term care insurance, generalized linear models
Cause-of-Death Mortality, Multinomial Logistic Regression, Cause-Elimination, Life Expectancy, Mortality Forecasts
Mortality forecasts, Causes of death, VECM, Dependence, Common trends
Mortality risk, Deferred insurance products, European options, Laplace Transforms
VECM, causes of death, mortality trends
Mortality Modelling, Age-Period-Cohort Models, Generalized Linear Models, Lee-Carter Models
Retirement income products; Hamiltonian Monte Carlo (HMC); Account-based pension; Variable annuities (VAs); Group self-annuities (GSAs).
life-cycle model, longevity risk, long-term care insurance, residential house, reverse mortgage
Life insurance, annuity, risk based capital, profit loading, natural hedging
group self-annuitisation, pooled annuity, longevity risk, extreme value distribution, Gompertz-Makeham mortality
Long-term care insurance; Solvency II; solvency capital requirements
Mortality, Logistic regression, Geodemographic, Spatial, Hierarchical Bayes
immunization, hedging, delta, gamma, longevity bond
pensions, defined benefits, public sector, pensions, mortality, longevity risk
longevity risk, capital management, solvency, reinsurance, securitization
longevity risk, optimal insurance, life annuity, market frictions, group self-annuitization (GSA)
variable annuity, guaranteed lifetime withdrawal benefits (GLWB), systematic mortality risk, parameter risk, model risk, static hedging
mortality trends, causes of death, circulatory system, cancer, respiratory system, accidents, infectious diseases
Systematic Longevity Risk, Dependence, Multivariate Gamma, Lifetime Distribution, Annuity Valuation
equity release products, individual house price risk, no negative equity guarantee
Disability, cross-sectional data, transition probabilities, prevalence rates, multiple-state model, long-term care, and longevity.
COVID-19 pandemic, Equity investment, Portfolio management, Target-date funds, Volatility management
Causes of death, mortality trends, cointegration, dependence, common trends, biological aging
life annuity, insurance regulation, solvency, longevity risk
Multi-cohort mortality model, Market price of longevity risk, Longevity indexes
Guaranteed minimum maturity benefits, Surrender options, Numerical integration
taxation, retirement income, policyholder behavior, pricing, method of lines, surrender, variable annuity
Affine mortality models, affine jump-diffusion, age-cohort mortality rates, particle filter, particle Markov chain Monte Carlo
Longevity Risk, Kalman Filter, State-space models, Affine mortality models
Mortality projection, regularisation, cross validation, age-period-cohort model
Mortality Trends, Heligman-Pollard Model, Lee-Carter Model, VAR, VECM
aged care, aged care levy, care co-payments, government tax-based financing
mortality improvement, mortality heterogeneity, longitudinal data, stochastic mortality models, marginal models
disaggregated house price index, hedonic models, repeat-sales models, hybrid models
pooled annuity, equity investment, managed volatility, longevity risk
mortality heterogeneity, Markov ageing model, life annuities, insurer solvency, tail risk
ambiguity, ambiguity aversion, mortality-linked securities
longevity risk management; longevity swaps; longevity options; hedge effectiveness
longevity risk, mortality heterogeneity, frailty model, Markov ageing model, physiological age, annuity pricing
long term care, systematic trend and uncertainty, disability, multi-state transitions, latent factor
systematic longevity risk, dependence, multivariate Tweedie, lifetime distribution
Longevity Risk, Stochastic Mortality, Longevity Bond, Immunization, Natural Hedging
Investment-consumption, life insurance, stochastic mortality, longevity risk
Cohort mortality, Value index, Mortality risk, Interest rate risk, Hedge efficiency
Multi-cohort mortality model, Affne framework, Common factors, Cohort specific factors, Mortality projections
mortality models, continuous time, cohort curve, affine rates, Kalman filter
mortality heterogeneity, frailty modeling, annuity pricing, longitudinal data, generalized linear mixed models
Longevity Risk, Kalman Filter, State-space models
functional disability, life expectancy, systematic trend and uncertainty, multi-state latent factor intensity model
Recursive utility, Housing, Life annuities, Long-term care insurance, Lifecycle model
Mortality model, Age-dependent, Multi-cohort, Cohort correlation, Incomplete cohort, Affine, Regularisation
long-term care insurance, pooled annuity, multi-state models, functional disability, health status
Risk-sharing rule, Mortality pooling product, Stochastic mortality rate, Correlated mortality rate
systematic longevity risk, dependence, multivariate Tweedie, lifetime distribution, censoring, truncation
Utility, CEC, Income, Retirement Income, Means-test
longevity risk, Olivier-Smith model, forward-rate mortality framework, minimum covariance pattern, copulas
long-term care insurance, long-term care, aged care, solvency capital, utility analysis, multi-state Markov model, life care annuity, longevity risk
variable annuity, LASSO, linear model, neural network, metamodeling
Hierarchical framework, House prices, Spatial dependencies, Risk premium - principal component analysis (RP-PCA)
mortality trends, Heligman-Pollard model, Lee-Carter model, VECM; causes of death, mortality forecasts
Causes of death, mortality trends, cointegration, dependence, common trends
Contingent Claim Pricing, Probability Distortion Functions, Non-expected Utility, Insurance Pricing, Black And Sholes
Portfolio allocation, dual theory, probability distortion, equilibrium pricing
