Steven Haberman

City University London - Faculty of Actuarial Science

London

United Kingdom

SCHOLARLY PAPERS

19

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Scholarly Papers (19)

1.

Investment Strategies and Risk Management for Participating Life Insurance Contracts

Number of pages: 24 Posted: 16 Apr 2009
Laura Ballotta and Steven Haberman
Sir John Cass Business School - City, University of London and City University London - Faculty of Actuarial Science
Downloads 479 (58,592)

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asset allocation, fair valuation, Monte Carlo methods, participating contracts, solvency requirements, TVaR

2.

Modelling the Fair Value of Annuities Contracts: The Impact of Interest Rate Risk and Mortality Risk

Number of pages: 22 Posted: 11 Jun 2007
Laura Ballotta, Giorgia Esposito and Steven Haberman
Sir John Cass Business School - City, University of London, University of Rome I - Department of Actuarial and Financial Sciences and City University London - Faculty of Actuarial Science
Downloads 457 (62,078)
Citation 1

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annuity contracts, fair value, market value margin, stochastic mortality

3.

Modelling and Valuation of Guarantees in With-Profit and Unitised with Profit Life Insurance Contracts

Cass Business School Research Paper
Number of pages: 27 Posted: 28 Nov 2005
Steven Haberman, Laura Ballotta and Nan Wang
City University London - Faculty of Actuarial Science, Sir John Cass Business School - City, University of London and City University London - Faculty of Actuarial Science
Downloads 342 (87,364)
Citation 14

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Contingent Claim theory, Fair valuation, Participating contracts

4.

Efficient Risk Allocation within a Non-Life Insurance Group Under Solvency II Regime

Insurance: Mathematics and Economics (2016), 66, 69–76
Number of pages: 16 Posted: 29 Mar 2015 Last Revised: 03 Dec 2015
Cass Business School, City, University of London, University of Calgary, City University London - Faculty of Actuarial Science and Queen Mary, University of London
Downloads 212 (143,864)
Citation 3

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Best Estimate; Insurance Group; Minimum Capital Requirement; Risk Margin; Solvency II; Solvency Capital Requirement

5.

Cumulative Prospect Theory, Deferred Annuities and the Annuity Puzzle

Number of pages: 20 Posted: 02 Nov 2016
Anran Chen, Steven Haberman and Steve Thomas
City University London - Faculty of Actuarial Science, City University London - Faculty of Actuarial Science and City University London - Sir John Cass Business School
Downloads 193 (157,895)
Citation 2

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CPT, Deferred annuities, Annuity puzzle, Reservation price

6.

Why the Deferred Annuity Makes Sense

Number of pages: 31 Posted: 23 Jun 2016
Anran Chen, Steven Haberman and Steve Thomas
City University London - Faculty of Actuarial Science, City University London - Faculty of Actuarial Science and City University London - Sir John Cass Business School
Downloads 140 (206,939)
Citation 1

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retirement planning, pensions, deferred annuity, behavioral finance

7.

Portfolio Optimization under Solvency Constraints: A Dynamical Approach

North American Actuarial Journal, 2014, Volume 18, Issue 3, p.394-416
Number of pages: 36 Posted: 02 Mar 2013 Last Revised: 17 Nov 2014
University of Calgary - Department of Mathematics and Statistics, Cass Business School, City, University of London, University of Calgary and City University London - Faculty of Actuarial Science
Downloads 135 (213,182)

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Portfolio optimization, Capital requirements, Solvency constraint, Multivariate GARCH, Double rolling window

8.

Optimal Decumulation Strategies During Retirement with Deferred Annuities

Number of pages: 32 Posted: 06 Feb 2017
Anran Chen, Steven Haberman and Steve Thomas
City University London - Faculty of Actuarial Science, City University London - Faculty of Actuarial Science and City University London - Sir John Cass Business School
Downloads 95 (274,462)

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Deferred annuity; Decumulation strategy; Defined Contribution; Retirement

9.

A Multivariate Approach to Project Common Trends in Mortality Indices

Number of pages: 26 Posted: 02 Apr 2018
Ntamjokouen Achille, Steven Haberman and Giorgio Consigli
Università degli Studi di Bergamo, City University London - Faculty of Actuarial Science and Credito Italiano
Downloads 24 (499,655)
Citation 1

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Mortality indices, Common trends, dependence, ARIMA, VAR, VECM

10.

Guarantees in With-Profit and Unitized With-Profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Default Option

Journal of Risk and Insurance, Vol. 73, No. 1, pp. 97-121, March 2006
Number of pages: 25 Posted: 08 May 2006
Laura Ballotta, Steven Haberman and Nan Wang
Sir John Cass Business School - City, University of London, City University London - Faculty of Actuarial Science and City University London - Faculty of Actuarial Science
Downloads 18 (534,546)
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11.

An Overview of International Deferred Annuity Markets

Number of pages: 14 Posted: 24 Aug 2019
Anran Chen, Steven Haberman and Steve Thomas
City University London - Faculty of Actuarial Science, City University London - Faculty of Actuarial Science and City University London - Sir John Cass Business School
Downloads 11 (576,942)

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Deferred Annuity; Retirement Solution; Pension

Income Drawdown Schemes for a Defined-Contribution Pension Plan

Journal of Risk & Insurance, Vol. 75, Issue 3, pp. 739-761, September 2008
Number of pages: 23 Posted: 05 Aug 2008
Paul Emms and Steven Haberman
King's College London and City University London - Faculty of Actuarial Science
Downloads 4 (651,338)
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Income Drawdown Schemes for a Defined-Contribution Pension Plan

Journal of Risk and Insurance, Vol. 75, No. 3, pp. 739-761
Posted: 11 Jul 2008
Paul Emms and Steven Haberman
King's College London and City University London - Faculty of Actuarial Science

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Income drawdown, defined contribution pension scheme

13.

A Savings Plan with Targeted Contributions

Journal of Risk and Insurance, Vol. 80, Issue 4, pp. 975-1000, 2013
Number of pages: 26 Posted: 18 Dec 2013
City University London, City University London - Faculty of Actuarial Science and Universidad Autónoma de Querétaro (UAQ)
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14.

Optimal Management of an Insurer's Exposure in a Competitive General Insurance Market

North American Actuarial Journal, Forthcoming
Posted: 25 May 2007 Last Revised: 23 Nov 2008
Paul Emms and Steven Haberman
King's College London and City University London - Faculty of Actuarial Science

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General Insurer, Optimal Pricing Strategies, Phase diagrams

15.

Optimal Strategies for Premium Pricing in General Insurance

Insurance: Mathematics and Economics, Vol. 40, No. 1, pp. 15-34, 2007
Posted: 07 Feb 2007
Paul Emms, Steven Haberman and Irene Savoulli
King's College London, City University London - Faculty of Actuarial Science and City University London - Sir John Cass Business School

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Optimal premium strategies, Competitive demand model, Asymptotic expansions

16.

Asymptotic and Numerical Analysis of the Optimal Investment Strategy for an Insurer

Insurance: Mathematics and Economics, Vol. 40, No. 1, pp. 113-134, 2007
Posted: 07 Feb 2007
Paul Emms and Steven Haberman
King's College London and City University London - Faculty of Actuarial Science

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Investment, Jump Claims, Insurance, Asymptotic analysis

17.

Pricing General Insurance Using Optimal Control Theory

ASTIN Bulletin, Vol. 35, No. 2, pp. 427-453, 2005
Posted: 01 Feb 2007
Paul Emms and Steven Haberman
King's College London and City University London - Faculty of Actuarial Science

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Competitive demand model, optimal premium strategies, maximum principle, Bellman equation

18.

Valuation of Guaranteed Annuity Conversion Options

Insurance: Mathematics and Economics, Vol. 33, pp. 87-108, 2003, Cass Business School Research Paper
Posted: 08 Nov 2005
Laura Ballotta and Steven Haberman
Sir John Cass Business School - City, University of London and City University London - Faculty of Actuarial Science

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Guaranteed annuity option, Heath-Jarrow-Morton model, Risk-neutral valuation

19.

The IASB Insurance Project for Life Insurance Contracts: Impact on Reserving Methods and Solvency Requirements

Insurance: Mathematics and Economics, Vol. 39, No. 3, 2006
Posted: 03 Nov 2005 Last Revised: 24 Aug 2014
Laura Ballotta, Giorgia Esposito and Steven Haberman
Sir John Cass Business School - City, University of London, University of Rome I - Department of Actuarial and Financial Sciences and City University London - Faculty of Actuarial Science

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Black-Scholes option pricing formula, fair value, L'evy processes, mathematical reserves, participating contracts, shortfall probability, solvency requirements