City Research Online

Aeberhard, W., Cantoni, E., Marra, G. & Radice, R. ORCID: 0000-0002-6316-3961view all authors (2021). Robust Fitting for Generalized Additive Models for Location, Scale and Shape. Statistics and Computing, 31(1), article number 11. doi: 10.1007/s11222-020-09979-x

Asimit, A.V. ORCID: 0000-0002-7706-0066, Boonen, T. J., Chi, Y. & Chong, W. F.view all authors (2021). Risk Sharing with Multiple Indemnity Environments. European Journal of Operational Research, 295(2), pp. 587-603. doi: 10.1016/j.ejor.2021.03.012

Bacinello, A. R., Chen, A., Sehner, T. & Millossovich, P. ORCID: 0000-0001-8269-7507view all authors (2021). On the Market-Consistent Valuation of Participating Life Insurance Heterogeneous Contracts under Longevity Risk. Risks, 9(1), article number 20. doi: 10.3390/risks9010020

Blake, D. ORCID: 0000-0002-2453-2090, Cannon, E. & Wright, I. D. (2021). Quantifying Loss Aversion: Evidence from a UK Population Survey. Journal of Risk and Uncertainty, 63, pp. 27-57. doi: 10.1007/s11166-021-09356-7

Brignone, R., Kyriakou, I. ORCID: 0000-0001-9592-596X & Fusai, G. ORCID: 0000-0001-9215-2586 (2021). Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models. Insurance: Mathematics and Economics, 96, pp. 232-247. doi: 10.1016/j.insmatheco.2020.12.002

Cust, H., Jones, H., Powell-Jackson, T. , Lepine, A. & Radice, R. ORCID: 0000-0002-6316-3961view all authors (2021). Economic shocks and risky sexual behaviours in low- and middle-income countries: a systematic review of the literature. Journal of Development Effectiveness, 13(2), pp. 166-203. doi: 10.1080/19439342.2021.1928734

D'Amato, V., di Lorenzo, E., Haberman, S. ORCID: 0000-0003-2269-9759 , Sibilllo, M. & Tizzano, R.view all authors (2021). Pension schemes versus real estate. Annals of Operations Research, 299(1-2), pp. 797-809. doi: 10.1007/s10479-019-03241-y

Debon, A., Haberman, S. ORCID: 0000-0003-2269-9759, Montes, F. & Otranto, E.view all authors (2021). Do different models induce changes in mortality indicators? That is a key question for extending the Lee-Carter model.. International Journal of Environmental Research and Public Health, 18(4), article number 2204. doi: 10.3390/ijerph18042204

Gasimova, Khadija (2021). Essays on optimal reinsurance design, solvency analysis of deferred annuities and pension buyouts. (Unpublished Doctoral thesis, City, University of London)

Gomez-Valle, L., Kyriakou, I. ORCID: 0000-0001-9592-596X, Martinez-Rodriguez, J. & Nomikos, N. ORCID: 0000-0003-1621-2991view all authors (2021). Estimating risk-neutral freight rate dynamics: A nonparametric approach. The Journal of Futures Markets, 41(11), pp. 1824-1842. doi: 10.1002/fut.22244

Guan, Y., Tsanakas, A. ORCID: 0000-0003-4552-5532 & Wang, R. (2021). An impossibility theorem on capital allocation. .

Guillen, M., Nielsen, J. P. ORCID: 0000-0002-2798-0817 & Perez-Marin, A. M. (2021). Near-miss telematics in motor insurance. Journal Of Risk And Insurance, 88(3), pp. 569-589. doi: 10.1111/jori.12340

Hiabu, M., Mammen, E., Maria Dolores, M-M. & Nielsen, J. P. ORCID: 0000-0002-2798-0817view all authors (2021). Smooth backfitting of proportional hazards with multiplicative components. Journal of the American Statistical Association, 116(536), pp. 1983-1993. doi: 10.1080/01621459.2020.1753520

Hiabu, M., Nielsen, J. P. ORCID: 0000-0002-2798-0817 & Scheike, T. (2021). Non-Smooth Backfitting for Excess Risk Additive Regression Model with Two Survival Time-Scales. Biometrika, 108(2), pp. 491-506. doi: 10.1093/biomet/asaa058

Isakson, A., Krummaker, S. ORCID: 0000-0003-2471-8175, Martinez-Miranda, M. D. & Rickayzen, B. D. ORCID: 0000-0002-0433-0870view all authors (2021). Calendar Effect and In-Sample Forecasting Applied to Mesothelioma Mortality Data. Mathematics, 9(18), article number 2260. doi: 10.3390/math9182260

Kyriakou, I. ORCID: 0000-0001-9592-596X, Mousavi, P., Nielsen, J. P. & Scholz, M.view all authors (2021). 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, Mousavi, P., Nielsen, J. P. ORCID: 0000-0002-2798-0817 & Scholz, M.view all authors (2021). Short-term exuberance and long-term stability: A simultaneous optimization of stock return predictions for short and long horizons. Mathematics, 9(6), article number 620. doi: 10.3390/math9060620

Lopes, L R (2021). Predictive Models for Medical Costs in Private Healthcare. (Unpublished Doctoral thesis, City, University of London)

Lu, X., Qiao, Y., Zhu, R. ORCID: 0000-0002-9944-0369 , Wang, G., Ma, Z. & Xue, J-H.view all authors (2021). Generalisations of stochastic supervision models. Pattern Recognition, 109, article number 107575. doi: 10.1016/j.patcog.2020.107575

Makam, V. D., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2021). Sensitivity analysis with χ2-divergences. Insurance: Mathematics and Economics, 100, pp. 372-383. doi: 10.1016/j.insmatheco.2021.06.007

Marra, G., Farcomeni, A. & Radice, R. ORCID: 0000-0002-6316-3961 (2021). Link-based survival additive models under mixed censoring to assess risks of hospital-acquired infections. Computational Statistics and Data Analysis, 155, article number 107092. doi: 10.1016/j.csda.2020.107092

Marra, G., Radice, R. ORCID: 0000-0002-6316-3961 & Zimmer, D. (2021). Did the ACA's Guaranteed Issue Provision Cause Adverse Selection into Nongroup Insurance? Analysis using a Copula-Based Hurdle Model. Health Economics, 30(9), pp. 2246-2263. doi: 10.1002/hec.4372

Mayhew, L. ORCID: 0000-0002-0380-1757 (2021). On the postponement of increases in state pension age through health improvement and active ageing. Applied Spatial Analysis and Policy, 14(2), pp. 315-336. doi: 10.1007/s12061-020-09359-y

Mayhew, L. ORCID: 0000-0002-0380-1757 & Smith, D. ORCID: 0000-0001-6642-8884 (2021). An investigation into inequalities in adult lifespan. North American Actuarial Journal, 25(sup1), S545-S565. doi: 10.1080/10920277.2019.1671874

Mayhew, L. ORCID: 0000-0002-0380-1757 (2021). The cost of inequality: Putting a price on health. London, UK: ILC UK.

Mayhew, L. ORCID: 0000-0002-0380-1757 (2021). The longevity of sporting legends. London, UK: ILC UK.

Merz, M., Richman, R., Tsanakas, A. ORCID: 0000-0003-4552-5532 & Wüthrich, M. V.view all authors (2021). Interpreting Deep Learning Models with Marginal Attribution by Conditioning on Quantiles. .

Nielsen, J. P. ORCID: 0000-0002-2798-0817, Mammen, E., Martiınez-Miranda, M. D. & Vogt, M.view all authors (2021). Calendar effect and in-sample forecasting. Insurance: Mathematics and Economics, 96, pp. 31-52. doi: 10.1016/j.insmatheco.2020.10.003

Owadally, I. ORCID: 0000-0002-0830-3554, Jang, C. ORCID: 0000-0002-1883-7971 & Clare, A. ORCID: 0000-0002-4180-6778 (2021). Optimal Investment for a Retirement Plan with Deferred Annuities. Insurance: Mathematics and Economics, 98, pp. 51-62. doi: 10.1016/j.insmatheco.2021.02.001

Owadally, I. ORCID: 0000-0002-0830-3554, Jang, C. & Clare, A. (2021). Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk. European Journal of Operational Research, 295(3), pp. 1132-1146. doi: 10.1016/j.ejor.2021.03.052

Owadally, I. ORCID: 0000-0002-0830-3554, Mwizere, J-R., Kalidas, N. , Murugesu, K. & Kashif, M.view all authors (2021). Long-term Sustainable Investment for Retirement. Sustainability, 13(9), article number 5000. doi: 10.3390/su13095000

Pesenti, S. M., Bettini, A., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A. ORCID: 0000-0003-4552-5532view all authors (2021). Scenario Weights for Importance Measurement (SWIM) – an R package for sensitivity analysis. Annals of Actuarial Science, 15(2), pp. 458-483. doi: 10.1017/s1748499521000130

Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2021). Cascade sensitivity measures. Risk Analysis: an international journal, 41(12), pp. 2392-2414. doi: 10.1111/risa.13758

Renshaw, A. E. & Haberman, S. ORCID: 0000-0003-2269-9759 (2021). Modelling and forecasting mortality improvement rates with random effects. European Actuarial Journal, 11(2), pp. 381-412. doi: 10.1007/s13385-021-00274-1

Rickayzen, B. D., Mayhew, L. & Smith, D. (2021). 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

Sendstad, L. H. & Chronopoulos, M. ORCID: 0000-0002-3858-2021 (2021). Strategic Technology Switching under Risk Aversion and Uncertainty. Journal of Economic Dynamics and Control, 126, article number 103918. doi: 10.1016/j.jedc.2020.103918

Spreeuw, J. ORCID: 0000-0002-5838-9085, Yanagisawa, Y., Sugino, A. , Thomas, R. & Williams, M.view all authors (2021). The effect of boosting polyphenol intake for women’s cancer survivors on arthralgia, mood and hot flushes - a pilot real World evaluation. Journal of Nursing and Women's Health, 5(1), article number 168. doi: 10.29011/2577-1450.100068

Tsanakas, A. ORCID: 0000-0003-4552-5532 & Zhu, R. ORCID: 0000-0002-9944-0369 (2021). Copula model selection using image recognition. .

Zhu, R. ORCID: 0000-0002-9944-0369 & Wüthrich, M. V. (2021). Clustering driving styles via image processing. Annals of Actuarial Science, 15(2), pp. 276-290. doi: 10.1017/s1748499520000317

van den Berg, G., anys, L., Mammen, E. & Nielsen, J. P. ORCID: 0000-0002-2798-0817view all authors (2021). A General Semiparametric Approach to Inference with Marker-Dependent Hazard Rate Models. Journal of Econometrics, 221(1), pp. 43-67. doi: 10.1016/j.jeconom.2019.05.025