City Research Online

Items where City Author is "Haberman, S."

Up a level
Export as [feed] RSS 2.0 [feed] RSS
Group by: Publication Type | No Grouping
Number of items: 97.

Article

Haberman, S. ORCID: 0000-0003-2269-9759 and Shang, H.L. (2018). Model confidence sets and forecast combination: an application to age-specific mortality. Genus,

D'Amato, V., di Lorenzo, E., Haberman, S. ORCID: 0000-0003-2269-9759, Sagoo, P. and Sibillo, M. (2018). De-risking strategy: Longevity spread buy-in. Insurance Mathematics and Economics, 79, pp. 124-136. doi: 10.1016/j.insmatheco.2018.01.004

Chen, A., Haberman, S. and Thomas, S. (2017). Cumulative Prospect Theory and Deferred Annuities. Review of Behavioural Finance,

D'Amato, V., Haberman, S. and Piscopo, G. (2017). The dependency premium based on a multifactor model for dependent mortality data. Communications in Statistics - Theory and Methods, doi: 10.1080/03610926.2017.1366523

Shang, H.L. and 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

Haberman, S., Ntamjokouen, A. and 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. and 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

Villegas, A., Haberman, S., Kaishev, V. K. and Millossovich, P. (2017). A comparative study of two population models for the assessment of basis risk in longevity hedges. ASTIN Bulletin, 47(3), pp. 631-679. doi: 10.1017/asb.2017.18

Kaishev, V. K., Dimitrova, D. S., Haberman, S. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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 and 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 and 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 and 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. and 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. and Haberman, S. (2003). Pricing of guaranteed annuity conversion options.. INSURANCE MATHEMATICS & ECONOMICS, 33(1), pp. 87-108.

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

Book Section

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

Butt, Z. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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 and 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 and 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 and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and 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. and Haberman, S. (2014). Research Excellence Framework (REF).

This list was generated on Sun Oct 21 04:31:48 2018 UTC.