Steven Haberman

City University London - Faculty of Actuarial Science

London

United Kingdom

  • City University London - Faculty of Actuarial Science

SCHOLARLY PAPERS

25

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3,745

TOTAL CITATIONS

33

Scholarly Papers (25)

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1.

Investment Strategies and Risk Management for Participating Life Insurance Contracts

Number of pages: 24 Posted: 16 Apr 2009
Laura Ballotta and Steven Haberman
Bayes Business School (formerly Cass) - City, University of London and City University London - Faculty of Actuarial Science
Downloads 603 (94,650)

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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
Bayes Business School (formerly Cass) - City, University of London, University of Rome I - Department of Actuarial and Financial Sciences and City University London - Faculty of Actuarial Science
Downloads 520 (113,925)
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, Bayes Business School (formerly Cass) - City, University of London and City University London - Faculty of Actuarial Science
Downloads 461 (131,682)
Citation 18

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Contingent Claim theory, Fair valuation, Participating contracts

4.

An Overview of International Deferred Annuity Markets

Number of pages: 14 Posted: 24 Aug 2019
Anran Chen, Steven Haberman and Steve Thomas
Redington, City University London - Faculty of Actuarial Science and City University London - The Business School
Downloads 354 (178,035)

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Deferred Annuity; Retirement Solution; Pension

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
Redington, City University London - Faculty of Actuarial Science and City University London - The Business School
Downloads 314 (202,524)
Citation 2

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CPT, Deferred annuities, Annuity puzzle, Reservation price

6.

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
Alexandru Vali Asimit, Alexandru Badescu, Steven Haberman and Eun-Seok Kim
City University London - The Business School, University of Calgary, City University London - Faculty of Actuarial Science and Queen Mary, University of London
Downloads 255 (251,324)
Citation 5

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

7.

Why the Deferred Annuity Makes Sense

Number of pages: 31 Posted: 23 Jun 2016
Anran Chen, Steven Haberman and Steve Thomas
Redington, City University London - Faculty of Actuarial Science and City University London - The Business School
Downloads 250 (256,387)
Citation 2

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retirement planning, pensions, deferred annuity, behavioral finance

8.

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
Sujith Asanga, Alexandru Vali Asimit, Alexandru Badescu and Steven Haberman
University of Calgary - Department of Mathematics and Statistics, City University London - The Business School, University of Calgary and City University London - Faculty of Actuarial Science
Downloads 216 (295,289)
Citation 2

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

9.

Optimal Decumulation Strategies During Retirement with Deferred Annuities

Number of pages: 32 Posted: 06 Feb 2017
Anran Chen, Steven Haberman and Steve Thomas
Redington, City University London - Faculty of Actuarial Science and City University London - The Business School
Downloads 186 (339,370)
Citation 2

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Deferred annuity; Decumulation strategy; Defined Contribution; Retirement

10.

Combining Flexible Asset Allocation, Sustainable Withdrawals, and Deferred Annuities to provide an Adaptive Lifelong Investing Solution

Number of pages: 44 Posted: 22 Apr 2021
Anran Chen, Steven Haberman and Steve Thomas
Redington, City University London - Faculty of Actuarial Science and City University London - The Business School
Downloads 122 (481,643)

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Deferred Annuities, Post-retirement Decumulation, Perfect Withdrawal Rates, Adaptive Investment solution, Glidepath

11.

Cause-of-Death Mortality Forecasting Using Adaptive Penalized Tensor Decompositions

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 42 Posted: 18 Nov 2021 Last Revised: 17 May 2023
Xuanming Zhang, Fei Huang, Francis Hui and Steven Haberman
Australian National University (ANU), UNSW Australia Business School, School of Risk & Actuarial Studies, The Australian National University and City University London - Faculty of Actuarial Science
Downloads 111 (517,222)

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Adaptive Weights, Causes of death, Generalized Lasso Penalty, Model Selection, Tensor Decomposition

12.

Subjective survival beliefs and the life-cycle model

Number of pages: 35 Posted: 30 Nov 2023
Seung Yeon Jeong, Iqbal Owadally, Steven Haberman and Douglas Wright
City University London - City University London, Bayes Business School, Students, Cass Business School, City, University of London, City University London - Faculty of Actuarial Science and City University London - The Business School
Downloads 73 (672,859)

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Life expectancy, Survival probabilities, Annuitization, Consumption, Investment

13.

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 71 (682,981)
Citation 1

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

14.

Modelling Mortality by Cause of Death and Socio-Economic Stratification: An Analysis of Mortality Differentials in England

UNSW Business School Research Paper Forthcoming
Number of pages: 28 Posted: 28 Dec 2023
Andrés Villegas, Madhavi Bajekal and Steven Haberman
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), University College London - Department of Applied Health Research and City University London - Faculty of Actuarial Science
Downloads 69 (693,433)

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Mortality modelling, multipopulation models, socio-economic circumstances, causes of death, Lee-Carter model

15.

Key Drivers of Long-Term Rates of Mortality Improvements in the U.S.: Period, Cohort and Cause of Death Analysis, 1959-2016

Number of pages: 34 Posted: 06 Jan 2023
Andrés Villegas, Madhavi Bajekal, Steven Haberman and Luke Zhou
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), University College London - Department of Applied Health Research, City University London - Faculty of Actuarial Science and UNSW Business School
Downloads 49 (818,028)

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16.

Subjective survival beliefs and social networks

Number of pages: 25 Posted: 08 Dec 2023
Seung Yeon Jeong, Steven Haberman, Iqbal Owadally and Douglas Wright
City University London - City University London, Bayes Business School, Students, City University London - Faculty of Actuarial Science, Cass Business School, City, University of London and City University London - The Business School
Downloads 44 (857,058)

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Subjective mortality, survival expectations, fertility, longevity risk

17.

Community structured network with a node-specific property

Number of pages: 22 Posted: 08 Dec 2023
Seung Yeon Jeong, Steven Haberman, Iqbal Owadally and Douglas Wright
City University London - City University London, Bayes Business School, Students, City University London - Faculty of Actuarial Science, Cass Business School, City, University of London and City University London - The Business School
Downloads 26 (1,032,157)

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Network studies, Network constructions, Friendship network, Node properties, Age disparity

18.

The Dynamic of Mortality Explained with a Reduced Number of Key Ages

Number of pages: 34 Posted: 06 Aug 2024
David Atance, Steven Haberman and Pietro Millossovich
University of Alcala, City University London - Faculty of Actuarial Science and The Business School (formerly Cass)
Downloads 21 (1,092,483)

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Mortality Improvements, Key Age, Mortality Curve, Mortality Patterns, Cross-Validation.

19.

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

20.

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

21.

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 - The Business School

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Optimal premium strategies, Competitive demand model, Asymptotic expansions

22.

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

23.

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

24.

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
Bayes Business School (formerly Cass) - 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

25.

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
Bayes Business School (formerly Cass) - 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