Items where City Author is "Haberman, S."

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Article

D'Amato, V., Haberman, S. & Piscopo, G. (2017). The dependency premium based on a multifactor model for dependent mortality data. Communications in Statistics - Theory and Methods,

Shang, H.L. & Haberman, S. (2017). Grouped multivariate and functional time series forecasting: an application to annuity pricing. Insurance: Mathematics and Economics, 75, pp. 166-179. doi: 10.1016/j.insmatheco.2017.05.007

Villegas, A., Haberman, S., Kaishev, V. K. & Millossovich, P. (2017). A comparative study of two population models for the assessment of basis risk in longevity hedges. ASTIN Bulletin,

Haberman, S., Ntamjokouen, A. & Consigli, G. (2017). Projecting the long run relationship of multi-population life expectancy by race. Journal of Statistical and Econometric Methods, 6(2), pp. 43-68.

Debon, A., Chaves, L., Haberman, S. & Villa, F. (2017). Characterization of between-group inequality of longevity in European Union countries. Insurance: Mathematics and Economics, 75, pp. 151-165. doi: 10.1016/j.insmatheco.2017.05.005

Kaishev, V. K., Dimitrova, D. S., Haberman, S. & Verrall, R. J. (2016). Geometrically designed, variable knot regression splines. Computational Statistics, 31(3), pp. 1079-1105. doi: 10.1007/s00180-015-0621-7

Godínez-Olivares, H., Boado-Penas, M. D. C. & Haberman, S. (2016). Optimal strategies for pay-as-you-go pension finance: A sustainability framework. Insurance: Mathematics and Economics, 69, pp. 117-126. doi: 10.1016/j.insmatheco.2016.05.001

D'Amato, V., Haberman, S., Piscopo, G., Russolillo, M. & Trapani, L. (2016). Multiple mortality modeling in Poisson Lee-Carter framework. Communications in Statistics - Theory and Methods, 45(6), pp. 1723-1732. doi: 10.1080/03610926.2014.960580

Asimit, A.V., Badescu, A., Haberman, S. & Kim, E-S. (2016). Efficient risk allocation within a non-life insurance group under Solvency II Regime. Insurance: Mathematics and Economics, 66, pp. 69-76. doi: 10.1016/j.insmatheco.2015.10.008

Hatzopoulos, P. & Haberman, S. (2015). Modeling trends in cohort survival probabilities. Insurance: Mathematics and Economics, 64, pp. 162-179. doi: 10.1016/j.insmatheco.2015.05.009

Denuit, M., Haberman, S. & Renshaw, A. E. (2015). Longevity-contingent deferred life annuities. Journal of Pension Economics and Finance, 14(3), pp. 315-327. doi: 10.1017/S147474721400050X

Danesi, I. L., Haberman, S. & Millossovich, P. (2015). Forecasting mortality in subpopulations using Lee-Carter type models: A comparison. Insurance: Mathematics and Economics, 62, pp. 151-161. doi: 10.1016/j.insmatheco.2015.03.010

Li, J. & Haberman, S. (2015). On the effectiveness of natural hedging for insurance companies and pension plans. Insurance: Mathematics and Economics, 61, pp. 286-297. doi: 10.1016/j.insmatheco.2015.01.009

Denuit, M., Haberman, S. & Renshaw, A. E. (2015). Longevity-contingent deferred life annuities. Journal of Pension Economics and Finance, 14(3), pp. 315-327. doi: 10.1017/S147474721400050X

Asanga, S., Asimit, A.V., Badescu, A. & Haberman, S. (2014). Portfolio Optimization under Solvency Constraints: A Dynamical Approach. North American Actuarial Journal, 18(3), pp. 394-416. doi: 10.1080/10920277.2014.910127

D'Amato, V., Haberman, S., Piscopo, G. & Russolillo, M. (2014). Computational framework for longevity risk management. Computational Management Science, 11(1), pp. 111-137. doi: 10.1007/s10287-013-0178-2

D'Amato, V., Haberman, S., Piscopo, G., Russolillo, M. & Trapani, L. (2014). Detecting Common Longevity Trends by a Multiple Population Approach. North American Actuarial Journal, 18(1), pp. 139-149. doi: 10.1080/10920277.2013.875884

Villegas, A. & Haberman, S. (2014). On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England. North American Actuarial Journal, 18(1), pp. 168-193. doi: 10.1080/10920277.2013.866034

Hatzopoulos, P. & Haberman, S. (2013). Common mortality modelling and coherent forecasts. An empirical analysis of worldwide mortality data. Insurance: Mathematics and Economics, 52(2), pp. 320-337. doi: 10.1016/j.insmatheco.2013.10.009

Dimitrova, D. S., Haberman, S. & Kaishev, V. K. (2013). Dependent competing risks: Cause elimination and its impact on survival. Insurance: Mathematics and Economics, 53(2), pp. 464-477. doi: 10.1016/j.insmatheco.2013.07.008

Haberman, S. & Renshaw, A. E. (2013). Modelling and projecting mortality improvement rates using a cohort perspective. Insurance: Mathematics and Economics, 53(1), pp. 150-168. doi: 10.1016/j.insmatheco.2013.04.006

Haberman, S., Denuit, M. & Renshaw, A. E. (2013). Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach for modelling and projecting mortality. European Actuarial Journal, 3(1), pp. 191-201. doi: 10.1007/s13385-013-0065-9

Hatzopoulos, P. & Haberman, S. (2013). Common mortality modeling and coherent forecasts. An empirical analysis of worldwide mortality data. Insurance: Mathematics and Economics, 52(2), pp. 320-337. doi: 10.1016/j.insmatheco.2012.12.009

D'Amato, V., di Lorenzo, E., Haberman, S., Russolillo, M. & Sibillo, M. (2011). The Poisson Log-Bilinear Lee-Carter Model: Applications Of efficient bootstrap methods to annuity analyses. North American Actuarial Journal, 15(2), pp. 315-333. doi: 10.1080/10920277.2011.10597623

Verrall, R. J. & Haberman, S. (2011). Automated Graduation using Bayesian Trans-dimensional Models. Annals of Actuarial Science, 5(2), pp. 231-251. doi: 10.1017/S1748499511000248

Sithole, T., Haberman, S. & Verrall, R. J. (2011). Second international comparative study of mortality tables for pension fund retirees. British Actuarial Journal, 17(3), pp. 650-671. doi: 10.1017/S1357321712000207

Hatzopoulos, P. & Haberman, S. (2011). A dynamic parameterization modeling for age-period-cohort mortality. Insurance: Mathematics and Economics, 49(2), pp. 155-174. doi: 10.1016/j.insmatheco.2011.02.007

Haberman, S., Khalaf-Allah, M.A.E. & Verrall, R. J. (2011). Entropy, longevity and the cost of annuities. Insurance: Mathematics and Economics, 48(2), pp. 197-204. doi: 10.1016/j.insmatheco.2010.10.005

Russolillo, M., Giordano, G. & Haberman, S. (2011). Extending the Lee Carter Model: a Three-way Decomposition. Scandinavian Actuarial Journal, 2011(2), pp. 96-117. doi: 10.1080/03461231003611933

Denuit, M., Haberman, S. & Renshaw, A. E. (2011). Longevity-indexed annuities. North American Actuarial Journal, 15(1), pp. 97-111. doi: 10.1080/10920277.2011.10597611

Owadally, I., Haberman, S. & Gomez, D. (2011). A Savings Plan with Targeted Contributions. Journal of Risk and Insurance, 80(4), pp. 975-1000. doi: 10.1111/j.1539-6975.2012.01485.x

Piscopo, G. & Haberman, S. (2011). The valuation of guaranteed lifelong withdrawal benefit options in variable annuity contracts and the impact of mortality risk. North American Actuarial Journal, 15(1), pp. 59-76. doi: 10.1080/10920277.2011.10597609

Denuit, M., Haberman, S. & Renshaw, A. E. (2010). Comonotonic approximations to quantiles of life annuity conditional expected present values: extensions to general arima models and comparison with the bootstrap. ASTIN Bulletin, 40(1), pp. 331-349. doi: 10.2143/AST.40.1.2049232

Haberman, S. & Renshaw, A. E. (2009). On age-period-cohort parametric mortality rate projections. Insurance: Mathematics and Economics, 45(2), pp. 255-270. doi: 10.1016/j.insmatheco.2009.07.006

Hatzopoulos, P. & Haberman, S. (2009). A parameterized approach to modeling and forecasting mortality. Insurance: Mathematics and Economics, 44(1), pp. 103-123. doi: 10.1016/j.insmatheco.2008.10.008

Emms, P. & Haberman, S. (2009). Optimal management of an insurer's exposure in a competitive general insurance market. North American Actuarial Journal, 13(1), pp. 77-105. doi: 10.1080/10920277.2009.10597541

Emms, P. & Haberman, S. (2008). Income drawdown schemes for a defined-contribution pension plan. Journal Of Risk And Insurance, 75(3), pp. 739-761. doi: 10.1111/j.1539-6975.2008.00282.x

Delong, L., Gerrard, R. J. G. & Haberman, S. (2008). Mean-variance optimization problems for an accumulation phase in a defined benefit plan. Insurance: Mathematics and Economics, 42(1), pp. 107-118. doi: 10.1016/j.insmatheco.2007.01.005

Butt, Z., Haberman, S., Verrall, R. J. & Wass, V. (2008). Calculating compensation for loss of future earnings: estimating and using work life expectancy. Journal of the Royal Statistical Society: Series A (Statistics in Society), 171(4), pp. 763-805. doi: 10.1111/j.1467-985X.2007.00539.x

Kaishev, V. K., Dimitrova, D. S. & Haberman, S. (2007). Modelling the joint distribution of competing risks survival times using copula functions. Insurance: Mathematics and Economics, 41(3), pp. 339-361. doi: 10.1016/j.insmatheco.2006.11.006

Ballotta, L., Haberman, S. & Wang, N. (2006). 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, 73(1), pp. 97-121. doi: 10.1111/j.1539-6975.2006.00167.x

Ballotta, L. & Haberman, S. (2006). The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case. Insurance: Mathematics and Economics, 38(1), pp. 195-214. doi: 10.1016/j.insmatheco.2005.10.002

Ballotta, L., Esposito, G. & Haberman, S. (2006). The IASB Insurance Project for life insurance contracts: Impact on reserving methods and solvency requirements. Insurance: Mathematics and Economics, 39(3), pp. 356-375. doi: 10.1016/j.insmatheco.2006.04.004

Gerrard, R. J. G., Haberman, S. & Vigna, E. (2006). The Management of Decumulation Risks in a Defined Contribution Pension Plan. North American Actuarial Journal, 10(1), pp. 84-110. doi: 10.1080/10920277.2006.10596241

Gerrard, R. J. G., Haberman, S. & Vigna, E. (2004). Optimal investment choices post-retirement in a defined contribution pension scheme. Insurance: Mathematics and Economics, 35(2 SPEC), doi: 10.1016/j.insmatheco.2004.06.002

Owadally, M. I & Haberman, S. (2004). Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans. North American Actuarial Journal, 8(1), pp. 21-36. doi: 10.1080/10920277.2004.10596126

Owadally, M. I & Haberman, S. (2004). Reply to discussion on "Efficient gain and loss amortization and optimal funding in pension plans". North American Actuarial Journal, 8(2), pp. 124-125. doi: /10.1080/10920277.2004.10596149

Owadally, M. I & Haberman, S. (2004). The treatment of assets in pension funding. ASTIN Bulletin: Journal of the International Actuarial Association, 34(2), pp. 425-433. doi: 10.2143/AST.34.2.505151

Ballotta, L. & Haberman, S. (2003). Valuation of guaranteed annuity conversion options. Insurance: Mathematics and Economics, 33(1), pp. 87-108. doi: 10.1016/S0167-6687(03)00146-X

Ballotta, L. & Haberman, S. (2003). Pricing of guaranteed annuity conversion options.. INSURANCE MATHEMATICS & ECONOMICS, 33(1), pp. 87-108.

Owadally, M. I & Haberman, S. (2003). Exponential smoothing methods in pension funding. IMA Journal of Management Mathematics, 14(2), pp. 129-143. doi: 10.1093/imaman/14.2.129

Haberman, S. & Vigna, E. (2002). Optimal investment strategies and risk measures in defined contribution pension schemes. Insurance: Mathematics and Economics, 31(1), pp. 35-69. doi: 10.1016/S0167-6687(02)00128-2

Haberman, S. & Zimbidis, A. (2002). An Investigation of the Pay-As-You-Go Financing Method Using a Contingency Fund and Optimal Control Techniques. North American Actuarial Journal, 6(2), pp. 60-75. doi: 10.1080/10920277.2002.10596044

Owadally, M. I & Haberman, S. (2001). Pension plan asset valuation. Pension Forum, 13(1), pp. 51-60.

Book Section

Shang, H.L. & Haberman, S. (2017). Grouped multivariate and functional time series forecasting: an application to annuity pricing. In: 2017 Living to 100 Monograph. . USA: Society of Actuaries.

Monograph

Haberman, S. & Piscopo, G. (2010). Surplus analysis for variable annuities with a GMDB option (Report No. Actuarial Research Paper No. 193). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Butt, Z. & Haberman, S. (2010). A comparative study of parametric mortality projection models (Report No. Actuarial Research Paper No. 196). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Ballotta, L. & Haberman, S. (2009). Investment Strategies and Risk Management for Participating Life Insurance Contracts. London: SSRN.

Butt, Z. & Haberman, S. (2009). llc: a collection of R functions for fitting a class of Lee-Carter mortality models using iterative fitting algorithms (Report No. Actuarial Research Paper No. 190). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Haberman, S. & Piscopo, G. (2008). Mortality risk and the valuation of annuities with guaranteed minimum death benefit options: application to the Italian population (Report No. Actuarial Research Paper No. 187). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Renshaw, A. E. & Haberman, S. (2007). On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-Carter modelling (Report No. Actuarial Research Paper No. 181). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Kaishev, V. K., Dimitrova, D. S., Haberman, S. & Verrall, R. J. (2006). Geometrically designed, variable knot regression splines: variation diminish optimality of knots (Report No. Statistical Research Paper No. 29). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Kaishev, V. K., Dimitrova, D. S., Haberman, S. & Verrall, R. J. (2006). Geometrically designed, variable know regression splines: asymptotics and inference (Report No. Statistical Research Paper No. 28). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Ballotta, L., Esposito, G. & Haberman, S. (2006). Modelling the fair value of annuities contracts: the impact of interest rate risk and mortality risk (Report No. Actuarial Research Paper No. 176). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Emms, P., Haberman, S. & Savoulli, I. (2006). Optimal strategies for pricing general insurance (Report No. Actuarial Research Paper No. 171). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Emms, P. & Haberman, S. (2005). Asymptotic and numerical analysis of the optimal investment strategy for an insurer (Report No. Actuarial Research Paper No. 163). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Haberman, S. & Russolillo, M. (2005). Lee Carter mortality forecasting: application to the Italian population (Report No. Actuarial Research Paper No. 167). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Kaishev, V. K., Haberman, S. & Dimitrova, D. S. (2005). Modelling the joint distribution of competing risks survival times using copula functions (Report No. Actuarial Research Paper No. 164). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Renshaw, A. E. & Haberman, S. (2005). Mortality reduction factors incorporating cohort effects (Report No. Actuarial Research Paper No. 160). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Gerrard, R. J. G., Haberman, S. & Vigna, E. (2005). The management of de-cumulation risks in a defined contribution environment (Report No. Actuarial Research Paper No. 161). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Kaishev, V. K., Dimitrova, D. S., Haberman, S. & Verrall, R. J. (2004). Automatic, computer aided geometric design of free-knot, regression splines (Report No. Statistical Research Paper No. 24). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Renshaw, A. E. & Haberman, S. (2003). Lee-Carter mortality forecasting incorporating bivariate time series (Report No. Actuarial Research Paper No. 153). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Haberman, S., Ballotta, L. & Wang, N. (2003). Modelling and valuation of guarantees in with-profit and unitised with-profit life insurance contracts (Report No. Actuarial Research Paper No. 146). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Butt, Z. & Haberman, S. (2002). Application of frality-based mortality models to insurance data (Report No. Actuarial Research Paper No. 142). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Renshaw, A. E. & Haberman, S. (2002). Lee-Carter mortality forecasting, a parallel GLM approach, England & Wales mortality projections (Report No. Actuarial Research Paper No. 140). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Haberman, S., Butt, Z. & Rickayzen, B. D. (2001). Multiple state models, simulation and insurer insolvency (Report No. Actuarial Research Paper No. 136). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Renshaw, A. E. & Haberman, S. (2001). On the forecasting of mortality reduction factors (Report No. Actuarial Research Paper No. 135). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Owadally, M. I & Haberman, S. (2000). Asset valuation and amortization of asset gains and losses defined benefit pension plans (Report No. Actuarial Research Paper No. 132). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Owadally, M. I & Haberman, S. (2000). Asset valuation and the dynamics of pension funding with random investment returns (Report No. Actuarial Research Paper No. 131). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Owadally, M. I & Haberman, S. (2000). Efficient amortization of Actuarial gains/losses and optimal funding in pension plans (Report No. Actuarial Research Paper No. 133). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Renshaw, A. E. & Haberman, S. (2000). Modelling for mortality reduction factors (Report No. Actuarial Research Paper No. 127). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Velmachos, D. & Haberman, S. (1999). Moving average models for interest rates applications to life insurance mathematics (Report No. Actuarial Research Paper No. 119). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Renshaw, A. E. & Haberman, S. (1999). Observations on the proposed new mortality tables based on the 1991-94 experience for male permanent assurances (Report No. Actuarial Research Paper No. 118). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Renshaw, A. E. & Haberman, S. (1999). An empirical study of claim and sickness inception transition intensities (aspects of the UK permanent health insurance experience) (Report No. Actuarial Research Paper No. 121). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Megaloudi, C. & Haberman, S. (1998). Contribution and solvency risk in a defined benefit pension scheme (Report No. Actuarial Research Paper No. 114). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Renshaw, A. E. & Haberman, S. (1998). Modelling the recent time trends in UK permanent health insurance recovery, mortality and claim inception transition intensities (Report No. Actuarial Research Paper No. 113). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Yakoubov, Y. H. & Haberman, S. (1998). Review of actuarial applications of fuzzy set theory (Report No. Actuarial Research Paper No. 105). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Haberman, S. (1998). Stochastic modelling of pension scheme dynamics (Report No. Actuarial Research Paper No. 106). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Haberman, S. & Smith, D. (1997). Stochastic investment modelling and pension funding: a simulation based analysis (Report No. Actuarial Research Paper No. 102). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Haberman, S. (1996). Landmarks in the history of actuarial science (up to 1919) (Report No. Actuarial Research Paper No. 84). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Conference or Workshop Item

Chen, A., Haberman, S. & Thomas, S. (2017). Why the deferred annuity makes sense - an application of hyperbolic discounting to the annuity puzzle. Paper presented at the International Actuarial Association Life Colloquium, 23-24 Oct 2017, Barcelona, Spain.

Report

Millossovich, P., Haberman, S., Kaishev, V. K., Baxter, S., Gaches, A., Gunnlaugsson, S. & Sison, M. (2014). Longevity Basis Risk A methodology for assessing basis risk. Institute and Faculty of Actuaries (IFA) , Life and Longevity Markets Association (LLMA).

Kaishev, V. K., Dimitrova, D. S., Haberman, S. & Verrall, R. J. (2006). Geometrically Designed, Variable Knot Regression Splines: Asymptotics and Inference (Report No. Statistical Research Paper No. 28). Cass Business School, City University, London.

Other

Dimitrova, D. S., Kaishev, V. K. & Haberman, S. (2014). Research Excellence Framework (REF).

This list was generated on Wed Nov 22 06:14:46 2017 UTC.