City Research Online

Article

Asimit, A.V., Badescu, A., Siu, T. K. and Zinchenko, Y. (2015). Capital Requirements and Optimal Investment with Solvency Probability Constraints. IMA Journal of Management Mathematics, 26(4), pp. 345-375. doi: 10.1093/imaman/dpt029

Asimit, A.V. and Chen, Y. (2015). Asymptotic results for conditional measures of association of a random sum. Insurance: Mathematics and Economics, 60, pp. 11-18. doi: 10.1016/j.insmatheco.2014.10.012

Asimit, A.V., Chi, Y. and Hu, J. (2015). Optimal non-life reinsurance under Solvency II Regime. Insurance: Mathematics and Economics, 65, pp. 627-637. doi: 10.1016/j.insmatheco.2015.09.006

Asimit, A.V., Hashorva, E. and Kortschak, D. (2015). Aggregation of randomly weighted large risks. IMA Journal of Management Mathematics, doi: 10.1093/imaman/dpv020

Boyer, M. M. and Owadally, I. (2015). Underwriting Apophenia and Cryptids: Are Cycles Statistical Figments of our Imagination?. The Geneva Papers on Risk and Insurance - Issues and Practice, 40(2), pp. 232-255. doi: 10.1057/gpp.2014.12

Boyko, V., Dubrovina, N., Zamiatin, P., Gerrard, R. J. G., Gurov, A., Sushkov, S., Lazirskiy, V., Ivanova, Y. and Zamiatin, D. (2015). The Analysis of Injuries and Mortality Risks Level as a Result of Road Accident in Regions of the Central and Eastern Europe. International Journal of Managerial Studies and Research, 3(8), pp. 85-94.

Boyko, V., Dubrovina, N., Zamyatin, P., Gerrard, R. J. G., Savvi, S., Lazirskiy, V., Ghydetskyy, V., Sinelnikov, A., Zamiatin, D., Kolesnikova, O. and Shaprynskyy, E. (2015). Epidemiology and Forecast of the Prevalence of Esophageal Cancer in the Countries of Central and Eastern Europe. Procedia Economics and Finance, 24, pp. 93-100. doi: 10.1016/S2212-5671(15)00622-X

Bryce, C. ORCID: 0000-0002-9856-7851, Dadoukis, A., Hall, M., Nguyen, L. and Simper, R. (2015). An analysis of loan loss provisioning behaviour in Vietnamese banking. Finance Research Letters, 14, pp. 69-75. doi: 10.1016/j.frl.2015.05.014

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

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

Dimitrova, D. S., Kaishev, V. K. and Zhao, S. (2015). Modeling Finite-Time Failure Probabilities in Risk Analysis Applications. Risk Analysis, 35(10), pp. 1919-1939. doi: 10.1111/risa.12384

Donnelly, C., Gerrard, R. J. G., Montserrat, G. and Nielsen, J. P. (2015). Less is more: increasing retirement gains by using an upside terminal wealth constraint. Insurance: Mathematics and Economics, 64, pp. 259-267. doi: 10.1016/j.insmatheco.2015.06.003

Haslip, G. G. and Kaishev, V. K. (2015). A Novel Fourier Transform B-spline Method for Option Pricing. Journal of Computational Finance, 19(1), pp. 41-74.

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

Hiabu, M., Miranda, M. D. M., Nielsen, J. P., Spreeuw, J., Tanggaard, C. and Villegas, A. (2015). Global Polynomial Kernel Hazard Estimation. Revista Colombiana de Estadística, 38(2), pp. 399-411. doi: 10.15446/rce.v38n2.51668

Kim, E-S. and Glass, C. (2015). Perfect periodic scheduling for binary tree routing in wireless networks. European Journal of Operational Research, 247(2), pp. 389-400. doi: 10.1016/j.ejor.2015.05.031

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

López-Montoya, A.J., Gámiz-Pérez, M.L. and Martinez-Miranda, M. D. (2015). Local linear smoothing to estimate accelerated lifetime model with censoring and truncation. Applied Mathematical Modelling, 39(16), doi: 10.1016/j.apm.2015.03.063

Mammen, E., Martinez-Miranda, M. D. and Nielsen, J. P. (2015). In-Sample Forecasting Applied to Reserving and Mesothelioma Mortality. Insurance: Mathematics and Economics, 61, pp. 76-86. doi: 10.1016/j.insmatheco.2014.12.001

Martinez-Miranda, M. D., Nielsen, J. P., Verrall, R. J. and Wüthrich, M. V. (2015). Double chain ladder, claims development inflation and zero-claims. Scandinavian Actuarial Journal, 2015(5), pp. 383-405. doi: 10.1080/03461238.2013.823459

McGovern, M. E., Baernighausen, T., Marra, G. and Radice, R. ORCID: 0000-0002-6316-3961 (2015). On the Assumption of Bivariate Normality in Selection Models A Copula Approach Applied to Estimating HIV Prevalence. Epidemiology, 26(2), pp. 229-237. doi: 10.1097/EDE.0000000000000218

McGovern, M. E., Marra, G., Radice, R. ORCID: 0000-0002-6316-3961, Canning, D., Newell, M-L. and Bärnighausen, T. (2015). Adjusting HIV prevalence estimates for non-participation: an application to demographic surveillance. Journal of the International AIDS Society, 18(1), 19954.. doi: 10.7448/IAS.18.1.19954

Nielsen, J. P., Young, K., Mammen, E. and Byeong, U. P (2015). Asymptotics for In-Sample Density Forecasting. Annals of Statistics, 43(2), pp. 620-651. doi: 10.1214/14-AOS1288

Scholz, M., Nielsen, J. P. and Sperlich, S. (2015). Nonparametric Prediction of Stock Returns Based on Yearly Data: The Long-Term View. Insurance: Mathematics and Economics, 65, pp. 143-155. doi: 10.1016/j.insmatheco.2015.09.011

Verrall, R. J. and Wüthrich, M. V. (2015). Parameter Reduction in Log-normal Chain-ladder Models. European Actuarial Journal, 5(2), pp. 355-380. doi: 10.1007/s13385-015-0114-7

Wang, R., Bignozzi, V. and Tsanakas, A. (2015). How Superadditive Can a Risk Measure Be?. SIAM Journal on Financial Mathematics, 6(1), pp. 776-803. doi: 10.1137/140981046

Zanin, L., Radice, R. ORCID: 0000-0002-6316-3961 and Marra, G. (2015). Modelling the impact of women's education on fertility in Malawi. Journal of Population Economics, 28(1), pp. 89-111. doi: 10.1007/s00148-013-0502-8

Conference or Workshop Item

Dimitrova, D. S., Ignatov, Z. G. and Kaishev, V. K. (2015). Ruin and deficit at ruin under an extended order statistics risk process. Paper presented at the IME 2015, 24-26 Jun 2015, Liverpool, UK.

Thesis

Hunt, A. (2015). Mortality modelling and longevity risk management. (Unpublished Doctoral thesis, City University London)

Villegas Ramirez, Andres (2015). Mortality: modelling, socio-economic differences and basis risk. (Unpublished Doctoral thesis, City University London)

Report

Mayhew, L. and Smith, D. (2015). A jam-jar model of life expectancy and limits to life. International Longevity Centre - UK (ILC-UK).

Mayhew, L., Smith, D. and Wright, I. D. (2015). Pension pots and how to survive them. London: International Longevity Centre (ILC-UK).