City Research Online

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Asimit, A.V. ORCID: 0000-0002-7706-0066, Hu, J. & Xie, Y. (2019). Optimal Robust Insurance with a Finite Uncertainty Set. Insurance: Mathematics and Economics, 87, pp. 67-81. doi: 10.1016/j.insmatheco.2019.03.009

Asimit, A.V. ORCID: 0000-0002-7706-0066, Peng, L., Wang, R. & Yu, A.view all authors (2019). An efficient approach to quantile capital allocation and sensitivity analysis. Mathematical Finance, 29(4), pp. 1131-1156. doi: 10.1111/mafi.12211

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Bischofberger, S., Hiabu, M., Mammen, E. & Nielsen, J. P. ORCID: 0000-0002-2798-0817view all authors (2019). A comparison of in-sample forecasting methods. Computational Statistics and Data Analysis, 137, pp. 133-154. doi: 10.1016/j.csda.2019.02.009

Bryce, C. ORCID: 0000-0002-9856-7851 (2019). Risk and performance: Embedding risk management. Glasgow, UK: ACCA.

Bryce, C. ORCID: 0000-0002-9856-7851, Chmura, T., Webb, R. , Stiebale, J. & Cheevers, C.view all authors (2019). Internally Reporting Risk in Financial Services: An Empirical Analysis. Journal of Business Ethics, 156(2), pp. 493-512. doi: 10.1007/s10551-017-3530-6

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Chen, A., Haberman, S. & Thomas, S. (2019). Cumulative Prospect Theory and Deferred Annuities. Review of Behavioural Finance, 11(3), pp. 277-293. doi: 10.1108/rbf-10-2017-0102

Chen, A., Haberman, S. ORCID: 0000-0003-2269-9759 & Thomas, S. ORCID: 0000-0001-5438-4263 (2019). The implication of the hyperbolic discount model for annuitisation decisions. Journal of Pension Economics and Finance, 19(3), pp. 372-391. doi: 10.1017/s1474747218000343

Corsaro, S., Kyriakou, I. ORCID: 0000-0001-9592-596X, Marazzina, D. & Marino, Z.view all authors (2019). A general framework for pricing Asian options under stochastic volatility on parallel architectures. European Journal of Operational Research, 272(3), pp. 1082-1095. doi: 10.1016/j.ejor.2018.07.017

Cuthbertson, K., Kyriakou, I. ORCID: 0000-0001-9592-596X, Sermpinis, G. & Pantelous, A. A.view all authors (2019). Special issue of the International Journal of Finance and Economics innovations in finance, economics, risk management, and policy. International Journal of Finance & Economics, 24(4), pp. 1407-1408. doi: 10.1002/ijfe.1738

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D'Amato, V., di Lorenzo, E., Haberman, S. ORCID: 0000-0003-2269-9759 , Sibilllo, M. & Tizzano, R.view all authors (2019). Pension schemes versus real estate. Annals of Operations Research, 299(1-2), pp. 797-809. doi: 10.1007/s10479-019-03241-y

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England, P. D., Verrall, R. J. ORCID: 0000-0003-4098-9792 & Wüthrich, M. V. (2019). On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins. Insurance: Mathematics and Economics, 85, pp. 74-88. doi: 10.1016/j.insmatheco.2018.12.002

Espasandín-Domínguez, J., Cadarso-Suárez, C., Kneib, T. , Marra, G., Klein, N., Radice, R. ORCID: 0000-0002-6316-3961, Lado-Baleato, O., González Quintela, A & Gude, F.view all authors (2019). Assessing the relationship between markers of glycemic control through flexible copula regression models. Statistics in Medicine, 38(27), pp. 5161-5181. doi: 10.1002/sim.8358

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Fang, L., Cheng, J. & Su, F. (2019). Interconnectedness and Systemic Risk: A Comparative Study Based on Systemically Important Regions. Pacific-Basin Finance Journal, 54, pp. 147-158. doi: 10.1016/j.pacfin.2019.02.007

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Gerrard, R. J. G. ORCID: 0000-0002-8932-8752, Hiabu, M., Kyriakou, I. ORCID: 0000-0001-9592-596X & Nielsen, J. P. ORCID: 0000-0002-2798-0817view all authors (2019). Communication and personal selection of pension saver's financial risk. European Journal of Operational Research, 274(3), pp. 1102-1111. doi: 10.1016/j.ejor.2018.10.038

Giordano, G., Haberman, S. ORCID: 0000-0003-2269-9759 & Russolillo, M. (2019). Coherent modeling of mortality patterns for age-specific subgroups. Decisions in Economics and Finance, 42(1), pp. 189-204. doi: 10.1007/s10203-019-00245-y

Gomes, M., Radice, R., Camarena Brenes, J. & Marra, G.view all authors (2019). Copula selection models for non-Gaussian responses that are missing not at random. Statistics in Medicine, 38(3), pp. 480-496. doi: 10.1002/sim.7988

Guillen, M., Nielsen, J. P. ORCID: 0000-0002-2798-0817, Pérez-Marín, A. & Elpidorou, V.view all authors (2019). Can automobile insurance telematics predict the risk of near-miss events?. North American Actuarial Journal, 24(1), pp. 141-152. doi: 10.1080/10920277.2019.1627221

Guillén, M., Nielsen, J. P. ORCID: 0000-0002-2798-0817, Ayuso, M. & Perez-Marin, A. M.view all authors (2019). The use of telematics devices to improve automobile insurance rates. Risk Analysis, 39(3), pp. 662-672. doi: 10.1111/risa.13172

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Hillier, J. K., Saville, G., Smith, M. J. , Scott, A. J., Raven, E. K., Gascoigne, J., Slater, L., Quinn, N., Tsanakas, A. ORCID: 0000-0003-4552-5532, Souch, C., Leckebusch, G. C., Macdonald, N., Loxton, J., Wilebore, R., Collins, A., MacKechnie, C., Tweddle, J., Milner, A. M., Moller, S., Dove, M., Langford, H. & Craig, J.view all authors (2019). Demystifying academics to enhance university-business collaborations in environmental science. Geoscience Communication, 2(1), pp. 1-23. doi: 10.5194/gc-2-1-2019

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Klein, N., Kneib, T., Marra, G. , Radice, R., Rokicki, S. R. & McGovern, M.view all authors (2019). Mixed Binary-Continuous Copula Regression Models with Application to Adverse Birth Outcomes. Statistics in Medicine, 38(3), pp. 413-436. doi: 10.1002/sim.7985

Krummaker, S. ORCID: 0000-0003-2471-8175 (2019). Firm's Demand for Insurance: An Explorative Approach. Risk Management and Insurance Review, 22(3), pp. 279-301. doi: 10.1111/rmir.12128

Kyriakou, I. ORCID: 0000-0001-9592-596X, Mousavi, P., Nielsen, J. P. & Scholz, M.view all authors (2019). Forecasting benchmarks of long-term stock returns via machine learning. Annals of Operations Research, 297(1-2), pp. 221-240. doi: 10.1007/s10479-019-03338-4

Kyriakou, I. ORCID: 0000-0001-9592-596X, Pantelous, A. A., Sermpinis, G. & Zenios, S. A.view all authors (2019). Preface: application of operations research to financial markets. Annals of Operations Research, 282(1-2), pp. 1-2. doi: 10.1007/s10479-019-03400-1

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Lee, Y. K., Mammen, E., Nielsen, J. P. ORCID: 0000-0002-2798-0817 & Park, B. U.view all authors (2019). Generalised additive dependency inflated models including aggregated covariates. Electronic Journal of Statistics, 13(1), pp. 67-93. doi: 10.1214/18-ejs1515

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Mammen, E., Nielsen, J. P. ORCID: 0000-0002-2798-0817, Scholz, M. & Sperlich, S.view all authors (2019). Conditional variance forecasts for long-term stock returns. Risks, 7(4), article number 113. doi: 10.3390/risks7040113

Mayhew, L. ORCID: 0000-0002-0380-1757 (2019). The Last-Time Buyer: housing and finance for an ageing society (130). London, UK: CSFI.

Mayhew, L. ORCID: 0000-0002-0380-1757 & Smith, D. ORCID: 0000-0001-6642-8884 (2019). An investigation into inequalities in adult lifespan. North American Actuarial Journal, 25(sup1), S545-S565. doi: 10.1080/10920277.2019.1671874

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Owadally, M. I ORCID: 0000-0002-0830-3554, Kashif, M. & Menoncin, F. (2019). Optimal portfolio and spending rules for endowment funds. Review of Quantitative Finance and Accounting, 55(2), pp. 671-693. doi: 10.1007/s11156-019-00856-x

Owadally, M. I ORCID: 0000-0002-0830-3554, Zhou, F., Otunba, R. , Lin, J. & Wright, I. D.view all authors (2019). Time Series Data Mining with an Application to the Measurement of Underwriting Cycles. North American Actuarial Journal, 23(3), pp. 469-484. doi: 10.1080/10920277.2019.1570468

Owadally, M. I ORCID: 0000-0002-0830-3554, Zhou, F., Otunba, R. , Lin, J. & Wright, I. D.view all authors (2019). An agent-based system with temporal data mining for monitoring financial stability on insurance markets. Expert Systems with Applications, 123, pp. 270-282. doi: 10.1016/j.eswa.2019.01.049

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Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2019). Reverse sensitivity testing: What does it take to break the model?. European Journal of Operational Research, 274(2), pp. 654-670. doi: 10.1016/j.ejor.2018.10.003

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Rickayzen, B. D., Mayhew, L. & Smith, D. (2019). Flexible and affordable methods of paying for long-term care insurance. North American Actuarial Journal, 25(sup1), S196-S214. doi: 10.1080/10920277.2019.1651657

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Shang, H.L. & Haberman, S. ORCID: 0000-0003-2269-9759 (2019). Forecasting age distribution of death counts: An application to annuity pricing. Annals of Actuarial Science, 14(1), pp. 150-169. doi: 10.1017/s1748499519000101

Simper, R., Dadoukis, A. & Bryce, C. ORCID: 0000-0002-9856-7851 (2019). European bank loan loss provisioning and efficient technological innovative progress. International Review of Financial Analysis, 63, pp. 119-130. doi: 10.1016/j.irfa.2019.03.001

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Tan, S. (2019). Boundary–crossing probabilities for stochastic processes and their applications. (Unpublished Doctoral thesis, City, University of London)

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Yang, W., Zhou, F., Zhu, R. ORCID: 0000-0002-9944-0369 , Fukui, K., Wang, G. & Xue, J-H.view all authors (2019). Deep learning for image super-resolution. Neurocomputing, 398, pp. 291-292. doi: 10.1016/j.neucom.2019.09.091

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Zhu, R. ORCID: 0000-0002-9944-0369, Wang, Z., Sogi, N. , Fukui, K. & Xue, J-H.view all authors (2019). A Novel Separating Hyperplane Classification Framework to Unify Nearest-class-model Methods for High-dimensional Data. IEEE Transactions on Neural Networks and Learning Systems, 31(10), pp. 3866-3876. doi: 10.1109/tnnls.2019.2946967