Items where Schools and Departments is "Actuarial Science & Insurance" and Year is 2016
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Article
Aggarwal, A., Beck, M. B., Cann, M., Ford, T., Georgescu, D., Morjaria, N., Smith, A., Taylor, Y., Tsanakas, A., Witts, L. and Ye, I. (2016). Model risk – daring to open up the black box. British Actuarial Journal, 21(2), pp. 229-296. doi: 10.1017/S1357321715000276
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
Asimit, A.V., Furman, E. and Vernic, R. (2016). Statistical Inference for a New Class of Multivariate Pareto Distributions. Communications in Statistics: Simulation and Computation, 45(2), pp. 456-471. doi: 10.1080/03610918.2013.861627
Asimit, A.V. and Gerrard, R. J. G. (2016). On the worst and least possible asymptotic dependence. Journal of Multivariate Analysis, 144, pp. 218-234. doi: 10.1016/j.jmva.2015.11.004
Asimit, A.V., Gerrard, R. J. G., Yanxi, H. and Peng, L. (2016). Tail Dependence Measure for Examining Financial Extreme Co-movements. Journal of Econometrics, 194(2), pp. 330-348. doi: 10.1016/j.jeconom.2016.05.011
Asimit, A.V. and Li, J. (2016). Extremes for coherent risk measures. Insurance: Mathematics and Economics, 71, pp. 332-341. doi: 10.1016/j.insmatheco.2016.10.003
Asimit, A.V., Vernic, R. and Zitikis, R. (2016). Background Risk Models and Stepwise Portfolio Construction. Methodology and Computing in Applied Probability, 18(3), pp. 805-827. doi: 10.1007/s11009-015-9458-3
Biffis, E., Blake, D., Pitotti, L. and Sun, A. (2016). The Cost of Counterparty Risk and Collateralization in Longevity Swaps. Journal Of Risk And Insurance, 83(2), pp. 387-419. doi: 10.1111/jori.12055
Bignozzi, V. and Tsanakas, A. (2016). Model uncertainty in risk capital measurement. Journal of Risk, 18(3), pp. 1-24.
Bignozzi, V. and Tsanakas, A. (2016). Parameter uncertainty and residual estimation risk. Journal of Risk and Insurance, 83(4), pp. 949-978. doi: 10.1111/jori.12075
Blyth, W., Bunn, D., Chronopoulos, M. and Munoz, J. (2016). Systematic analysis of the evolution of electricity and carbon markets under deep decarbonization. Journal of Energy Markets, 9(3), pp. 59-94. doi: 10.21314/JEM.2016.150
Bryce, C. ORCID: 0000-0002-9856-7851, Webb, R., Cheevers, C., Ring, P. and Clark, G. (2016). Should the insurance industry be banking on risk escalation for solvency II?. International Review of Financial Analysis, 46, pp. 131-139. doi: 10.1016/j.irfa.2016.04.014
Chronopoulos, M., Hagspiel, V. and Fleten, S-K. (2016). Stepwise Green Investment under Policy Uncertainty. Energy Journal, 37(4), pp. 87-108. doi: 10.5547/01956574.37.4.mchr
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
Dimitrova, D. S., Kaishev, V. K. and Zhao, S. (2016). On the evaluation of finite-time ruin probabilities in a dependent risk model. Applied Mathematics and Computation, 275, pp. 268-286. doi: 10.1016/j.amc.2015.11.082
Fusai, G. and Kyriakou, I. (2016). General optimized lower and upper bounds for discrete and continuous arithmetic Asian options. Mathematics of Operations Research, 41(2), pp. 531-559. doi: 10.1287/moor.2015.0739
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
González-Manteiga, W., Martinez-Miranda, M. D. and Van Keilegom, I. (2016). Goodness-of-fit test in parametric mixed effects models based on estimation of the error distribution. Biometrika, 103(1), pp. 133-146. doi: 10.1093/biomet/asv061
Gámiz Pérez, M. L., Mammen, E., Miranda, M. D. M. and Nielsen, J. P. (2016). Double one-sided cross-validation of local linear hazards. Journal of the Royal Statistical Society: Series B, 78(4), pp. 755-779. doi: 10.1111/rssb.12133
Haibu, M., Margraf, C., Miranda, M. D. M. and Nielsen, J. P. (2016). Cash flow generalisations of non-life insurance expert systems estimating outstanding liabilities. Expert Systems with Applications, 45, pp. 400-409. doi: 10.1016/j.eswa.2015.09.021
Haibu, M., Margraf, C., Miranda, M. D. M. and Nielsen, J. P. (2016). The Link Between Classical Reserving and Granular Reserving Through Double Chain Ladder and its Extensions. British Actuarial Journal, 21(1), pp. 97-116. doi: 10.1017/S1357321715000288
Harper, G. and Mayhew, L. (2016). Using Administrative Data to Count and Classify Households with Local Applications. Applied Spatial Analysis and Policy, 9(4), pp. 433-462. doi: 10.1007/s12061-015-9162-2
Hiabu, M. (2016). On the relationship between classical chain ladder and granular reserving. Scandinavian Actuarial Journal, 2017(8), pp. 708-729. doi: 10.1080/03461238.2016.1240709
Hiabu, M., Mammen, E., Martinez-Miranda, M. D. and Nielsen, J. P. (2016). In-Sample Forecasting with Local Linear Survival Densities. Biometrika, 101(4), pp. 843-859. doi: 10.1093/biomet/asw038
Ignatov, Z. G. and Kaishev, V. K. (2016). First crossing time, overshoot and Appell-Hessenberg type functions. Stochastics: An International Journal of Probability and Stochastic Processes, 88(8), pp. 1240-1260. doi: 10.1080/17442508.2016.1230613
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
Kreif, N., Gruber, S., Radice, R. ORCID: 0000-0002-6316-3961, Grieve, R. and Sekhon, J. S. (2016). Evaluating treatment effectiveness under model misspecification: A comparison of targeted maximum likelihood estimation with bias-corrected matching. Statistical Methods in Medical Research, 25(5), pp. 2315-2336. doi: 10.1177/0962280214521341
Luciano, E., Spreeuw, J. and Vigna, E. (2016). Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities. Risks, 4(2), 16-.. doi: 10.3390/risks4020016
Martinez-Miranda, M. D., Nielsen, B. and Nielsen, J. P. (2016). A simple benchmark for mesothelioma projection for Great Britain. Occupational and Environmental Medicine, 73, pp. 561-563. doi: 10.1136/oemed-2015-103303
Papapostolou, N. C., Pouliasis, P. K., Nomikos, N. and Kyriakou, I. (2016). Shipping Investor Sentiment and International Stock Return Predictability. Transportation Research Part E: Logistics and Transportation Review, 96, pp. 81-94. doi: 10.1016/j.tre.2016.10.006
Pesenti, S. M., Millossovich, P. and Tsanakas, A. (2016). Robustness Regions for Measures of Risk Aggregation. Dependence Modeling, 4(1), pp. 348-367. doi: 10.1515/demo-2016-0020
Radice, R. ORCID: 0000-0002-6316-3961, Marra, G. and Wojtys, M. (2016). Copula regression spline models for binary outcomes. Statistics and Computing, 26(5), pp. 981-995. doi: 10.1007/s11222-015-9581-6
Ring, P. J., Bryce, C. ORCID: 0000-0002-9856-7851, McKinney, R. and Webb, R. (2016). Taking notice of risk culture – the regulator’s approach. Journal of Risk Research, 19(3), pp. 364-387. doi: 10.1080/13669877.2014.983944
Scholz, M., Sperlich, S. and Nielsen, J. P. (2016). Nonparametric long term prediction of stock returns with generated bond yields. Insurance: Mathematics and Economics, 69, pp. 82-96. doi: 10.1016/j.insmatheco.2016.04.007
Tsanakas, A. (2016). Making a Market for Acts of God: The Practice of Risk-Trading in the Global Reinsurance Industry. Journal Of Risk And Insurance, 83(2), pp. 501-504. doi: 10.1111/jori.12160
Wojtys, M., Marra, G. and Radice, R. ORCID: 0000-0002-6316-3961 (2016). Copula Regression Spline Sample Selection Models: The R Package SemiParSampleSel. Journal of Statistical Software, 71(6), doi: 10.18637/jss.v071.i06
Book Section
Mayhew, L. and Smith, D. (2016). Decomposition of Life Expectancy at Older Ages and Prospects for Ageing Populations. In: Lombard, J., Stern, E. and Clarke, G. (Eds.), Applied Spatial Modelling and Planning. (pp. 172-188). Routledge. ISBN 9781138925700
Monograph
Mayhew, L. (2016). Means Testing Social Care in England. UK: International Longevity Centre.
Mayhew, L. and Smith, D. (2016). An investigation into inequalities in adult lifespan. UK: International Longevity Centre- UK.
Thesis
Hiabu, M. (2016). In-sample forecasting: structured models and reserving. (Unpublished Doctoral thesis, City, University of London)
Report
Blake, D. (2016). Independent Review of Retirement Income Report: We Need a National Narrative: Building a Consensus around Retirement Income. UK: Independent Review of Retirement Income.
Cannon, E. (2016). Independent Review of Retirement Income: Consultation. UK: Independent Review of Retirement Income.