City Research Online

Article

Asimit, A.V., Bignozzi, V., Cheung, K. C., Hu, J. and Kim, E. (2017). Robust and Pareto Optimality of Insurance Contract. European Journal of Operational Research, 262(2), pp. 720-732. doi: 10.1016/j.ejor.2017.04.029

Black, R., Tsanakas, A., Smith, A., Beck, M. B., Maclugash, I. D., Grewal, J., Witts, L., Morjaria, N., Green, R. and Lim, Z. (2017). Model risk: illuminating the black box. British Actuarial Journal, doi: 10.1017/S1357321717000150

Boonen, T. J., Tsanakas, A. and Wuethrich, M. V. (2017). Capital allocation for portfolios with non-linear risk aggregation. Insurance: Mathematics and Economics, 72, pp. 95-106. doi: 10.1016/j.insmatheco.2016.11.003

Bryce, C. ORCID: 0000-0002-9856-7851, Chmura, T., Webb, R., Stiebale, J. and Cheevers, C. (2017). Internally Reporting Risk in Financial Services: An Empirical Analysis. Journal of Business Ethics, doi: 10.1007/s10551-017-3530-6

Bräutigam, M., Guillén, M. and Nielsen, J. P. (2017). Facing Up to Longevity with Old Actuarial Methods: A Comparison of Pooled Funds and Income Tontines. Geneva Papers on Risk and Insurance: Issues and Practice, 42(3), pp. 406-422. doi: 10.1057/s41288-017-0056-1

Chronopoulos, M., Hagspiel, V. and Fleten, S-K. (2017). Stepwise investment and capacity sizing under uncertainty. OR Spectrum, 39(2), pp. 447-472. doi: 10.1007/s00291-016-0460-0

Chronopoulos, M. and Lumbreras, S. (2017). Optimal regime switching under risk aversion and uncertainty. European Journal of Operational Research, 256(2), pp. 543-555. doi: 10.1016/j.ejor.2016.06.027

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

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

Dimitrova, D. S., Ignatov, Z. G. and Kaishev, V. K. (2017). On the First Crossing of Two Boundaries by an Order Statistics Risk Process. Risks, 5(3), 43.. doi: 10.3390/risks5030043

Filippou, P., Marra, G. and Radice, R. ORCID: 0000-0002-6316-3961 (2017). Penalized likelihood estimation of a trivariate additive probit model. Biostatistics, 18(3), pp. 569-585. doi: 10.1093/biostatistics/kxx008

Gonzalez-Manteiga, W, Borrajo, MI and Martinez-Miranda, M. D. (2017). Bandwidth selection for kernel density estimation with length-biased data. Journal of Nonparametric Statistics, 29(3), pp. 636-668. doi: 10.1080/10485252.2017.1339309

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.

Kenny, T., Barnfield, J., Daly, L., Dunn, A., Passey, D., Rickayzen, B. D. and Teow, A. (2017). The future of social care funding: who pays?. British Actuarial Journal, 22(1), pp. 10-44. doi: 10.1017/S135732171600012X

Kyriakou, I., Pouliasis, P. K., Papapostolou, N. C. and Nomikos, N. (2017). Income Uncertainty and the Decision to Invest in Bulk Shipping. European Financial Management, doi: 10.1111/eufm.12132

Lee, Y. K., Mammen, E., Nielsen, J. P. and Park, B. U. (2017). Operational time and in-sample density forecasting. Annals of Statistics, 45(3), pp. 1312-1341. doi: 10.1214/16-AOS1486

Marra, G. and Radice, R. ORCID: 0000-0002-6316-3961 (2017). Bivariate copula additive models for location, scale and shape. Computational Statistics & Data Analysis, 112, pp. 99-113. doi: 10.1016/j.csda.2017.03.004

Marra, G. and Radice, R. ORCID: 0000-0002-6316-3961 (2017). A joint regression modeling framework for analyzing bivariate binary data in R. Dependence Modeling, 5(1), pp. 268-294. doi: 10.1515/demo-2017-0016

Marra, G., Radice, R. ORCID: 0000-0002-6316-3961, Bärnighausen, T., Wood, S. N. and McGovern, M. E. (2017). A Simultaneous Equation Approach to Estimating HIV Prevalence With Nonignorable Missing Responses. Journal of the American Statistical Association, 112(518), pp. 484-496. doi: 10.1080/01621459.2016.1224713

Marra, G., Radice, R. ORCID: 0000-0002-6316-3961 and Filippou, P. (2017). Regression spline bivariate probit models: A practical approach to testing for exogeneity. Communications in Statistics - Simulation and Computation, 46(3), pp. 2283-2298. doi: 10.1080/03610918.2015.1041974

Mayhew, L. (2017). Means Testing Adult Social Care in England. The Geneva Papers on Risk and Insurance - Issues and Practice, doi: 10.1057/s41288-016-0041-0

Mayhew, L., Smith, D. and O’Leary, D. (2017). Paying for Care Costs in Later Life Using the Value in People’s Homes. The Geneva Papers on Risk and Insurance - Issues and Practice, 42(1), pp. 129-151. doi: 10.1057/gpp.2015.34

Mayhew, L., Smith, D. and Wright, I. D. (2017). The effect of longevity drift and investment volatility on income sufficiency in retirement. Insurance: Mathematics and Economics, 78, pp. 201-211. doi: 10.1016/j.insmatheco.2017.09.013

Rickayzen, B. D., Mayhew, L. and Smith, D. (2017). Flexible and affordable methods of paying for long-term care insurance. North American Actuarial Journal,

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

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

Wang, Z., Zhu, R., Fukui, K. and Xue, J-H. (2017). Matched Shrunken Cone Detector (MSCD): Bayesian Derivations and Case Studies for Hyperspectral Target Detection. IEEE Transactions on Image Processing, 26(11), pp. 5447-5461. doi: 10.1109/TIP.2017.2740621

Zhu, R. ORCID: 0000-0002-9944-0369, Fukui, K. and Xue, J-H. (2017). Building a discriminatively ordered subspace on the generating matrix to classify high-dimensional spectral data. Information Sciences, 382, pp. 1-14. doi: 10.1016/j.ins.2016.12.001

Zhu, R. ORCID: 0000-0002-9944-0369 and Xue, J-H. (2017). On the orthogonal distance to class subspaces for high-dimensional data classification. Information Sciences, 417, pp. 262-273. doi: 10.1016/j.ins.2017.07.019

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

Asimit, A.V. and Li, J. (2017). Systemic Risk: An Asymptotic Evaluation. .

Dimitrova, D. S., Kaishev, V. K., Lattuada, L. and Verrall, R. J. (2017). Geometrically Designed Variable Knot Splines in Generalized (Non-)Linear Models. .

Dimitrova, D. S., Kaishev, V. K. and Tan, S. (2017). Computing the Kolmogorov-Smirnov Distribution when the Underlying cdf is Purely Discrete, Mixed or Continuous. .

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.

Thesis

Chen, A. (2017). The impact of behavioral factors on annuitisation decisions and decumulation strategies. (Unpublished Doctoral thesis, City, University of London)

Margraf, C. (2017). On the use of micro models for claims reversing based on aggregate data. (Unpublished Doctoral thesis, City, University of London)

Schumacher, R. (2017). Improving the capacity of radio spectrum: exploration of the acyclic orientations of a graph. (Unpublished Doctoral thesis, City, University of London)

Report

Rickayzen, B. D., Smith, D. and Mayhew, L. (2017). Flexible and affordable methods of paying for long term care insurance. International Longevity Centre – UK (ILC-UK)/Cass Business School.