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Number of items at this level: 504.

2024

Asimit, V. ORCID: 0000-0002-7706-0066, Badescu, A. & Zhou, F. ORCID: 0000-0002-9851-8312 (2024). Efficient and proper Generalised Linear Models with power link functions.

Asimit, V. ORCID: 0000-0002-7706-0066, Yuan, Z. & Zhou, F. (2024). Tail Similarity.

Bryce, C. ORCID: 0000-0002-9856-7851, Ashby, S. & Ring, P. (2024). Reconciling Risk as Threat and Opportunity: The Social Construction of Risk in Boardrooms. Risk Analysis, doi: 10.1111/risa.14275

Bryce, C. ORCID: 0000-0002-9856-7851 & Dowling, M. (2024). The road to olympic failure is paved in poor risk management. Safety Science, 169, article number 106331. doi: 10.1016/j.ssci.2023.106331

Cust, H., Lepine, A., Treibich, C. , Powell-Jackson, T., Radice, R. ORCID: 0000-0002-6316-3961 & Ndour, C. T. (2024). Trading HIV for Sheep: Risky sexual behaviour and the response of female sex workers to Tabaski in Senegal. Health Economics, 33(1), pp. 153-193. doi: 10.1002/hec.4756

Fang, L., Lanzolla, G. & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2024). Shared exposures or management fashions? Drivers of cross-industry convergence of textual risk disclosures. .

Jang, C., Clare, A. ORCID: 0000-0002-4180-6778 & Owadally, I. ORCID: 0000-0002-0830-3554 (2024). Liability-Driven Investment for Pension Funds: Stochastic Optimization with Real Assets. Risk Management,

2023

Asimit, V. ORCID: 0000-0002-7706-0066, Peng, L., Tunaru, R. & Zhou, F. ORCID: 0000-0002-9851-8312 (2023). Constructing Optimal Portfolios under Risk Budgeting.

Asimit, V. ORCID: 0000-0002-7706-0066 (2023). Modeling Risk for CVaR-Based Decisions in Risk Aggregation. Journal of Risk and Financial Management, 16(5), article number 266. doi: 10.3390/jrfm16050266

Bryce, C. ORCID: 0000-0002-9856-7851, El Khatib, R. & Vinny, A. (2023). Implications of telemedicine in care homes: considerations for the evolving risk landscape.

Carannante, M., D’Amato, V., Haberman, S. ORCID: 0000-0003-2269-9759 & Menzietti, M. (2023). Frailty-based Lee–Carter family of stochastic mortality models. Quality and Quantity, doi: 10.1007/s11135-023-01786-6

Carannante, M., D'Amato, V. & Haberman, S. ORCID: 0000-0003-2269-9759 (2023). Effect of Covid-19 frailty heterogeneity on the future evolution of mortality by stratified weighting. Journal of Demographic Economics, 89(3), pp. 513-532. doi: 10.1017/dem.2023.4

Debon, A., Haberman, S. ORCID: 0000-0003-2269-9759 & Piscopo, G. (2023). Multipopulation Mortality Analysis: bringing out the unobservable with Latent Clustering. Quality and Quantity, doi: 10.1007/s11135-023-01728-2

Devi Makam, Vaishno (2023). Sensitivity Analysis of Simulation Models using Divergence Minimisation. (Unpublished Doctoral thesis, City, University of London)

Dimitrova, D. S. ORCID: 0000-0003-3169-2735, Kaishev, V. K., Lattuada, A. & Verrall, R. J. ORCID: 0000-0003-4098-9792 (2023). Geometrically designed variable knot splines in generalized (non-)linear models. Applied Mathematics and Computation, 436, article number 127493. doi: 10.1016/j.amc.2022.127493

Dorn, F., Radice, R. ORCID: 0000-0002-6316-3961, Marra, G. & Kneib, T. (2023). A Bivariate Relative Poverty Line for Leisure Time and Income Poverty: Detecting Intersectional Differences Using Distributional Copulas. Review of Income and Wealth, doi: 10.1111/roiw.12635

El Khatib, R., Bassett, J., Bryce, C. ORCID: 0000-0002-9856-7851 & Ungaretti, A. (2023). The metaverse: Navigating the evolving risk landscape for retailers. Lockton’s Retail Practice,

Eletti, A. ORCID: 0000-0002-3390-8272, Marra, G. & Radice, R. ORCID: 0000-0002-6316-3961 (2023). A General Estimation Framework for Multi-State Markov Processes with Flexible Specification of the Transition Intensities.

Eletti, A., Marra, G. & Radice, R. ORCID: 0000-0002-6316-3961 (2023). A Spline-Based Framework for the Flexible Modelling of Continuously Observed Multistate Survival Processes. Statistical Modelling: An International Journal, 23(5-6), pp. 495-509. doi: 10.1177/1471082x231176120

England, R. (2023). Agent-Based Modelling in the Insurance Industry: An Exploration of Emergent Systemic Risk. (Unpublished Doctoral thesis, City, University of London)

Fang, L. (2023). Inter-industry convergence within financial services and its systemic implications. (Unpublished Doctoral thesis, City, University of London)

Haberman, S. ORCID: 0000-0003-2269-9759 (2023). A rejoinder to “Thirty years on: A review of the Lee-Carter method for forecasting mortality". International Journal of Forecasting, 39(3), pp. 1050-1052. doi: 10.1016/j.ijforecast.2023.01.006

Hsu, P-H., Kyriakou, I. ORCID: 0000-0001-9592-596X, Ma, T. & Sermpinis, G. (2023). Mutual Funds’ Conditional Performance Free of Data Snooping Bias. Journal of Financial and Quantitative Analysis,

Jeong, S. Y. (2023). Essays on networks, subjective survival beliefs and annuity markets. (Unpublished Doctoral thesis, City, University of London)

Kamiza, A. B., Touré, S. M., Zhou, F. ORCID: 0000-0002-9851-8312 , Soremekun, O., Cissé, C., Wélé, M., Touré, A. M., Nashiru, O., Corpas, M., Nyirenda, M., Crampin, A., Shaffer, J., Doumbia, S., Zeggini, E., Morris, A. P., Asimit, J. L., Chikowore, T. & Fatumo, S. (2023). Multi-trait discovery and fine-mapping of lipid loci in 125,000 individuals of African ancestry. Nature Communications, 14(1), article number 5403. doi: 10.1038/s41467-023-41271-0

Kyriakou, I. ORCID: 0000-0001-9592-596X, Brignone, R. & Fusai, G. ORCID: 0000-0001-9215-2586 (2023). Unified moment-based modelling of integrated stochastic processes. Operations Research, doi: 10.1287/opre.2022.2422

Li, X., Li, Y., Zheng, Y. , Zhu, R. ORCID: 0000-0002-9944-0369, Ma, Z., Xue, J-H. & Cao, J. (2023). ReNAP: Relation network with adaptiveprototypical learning for few-shot classification. Neurocomputing, 520, pp. 356-364. doi: 10.1016/j.neucom.2022.11.082

Lindholm, M., Richman, R., Tsanakas, A. ORCID: 0000-0003-4552-5532 & Wüthrich, M. V. (2023). A multi-task network approach for calculating discrimination-free insurance prices. European Actuarial Journal, doi: 10.1007/s13385-023-00367-z

Lindholm, M., Richman, R., Tsanakas, A. ORCID: 0000-0003-4552-5532 & Wüthrich, M. V. (2023). What is fair? Proxy discrimination vs. demographic disparities in insurance pricing. .

Liu, X., Song, Q., Wu, J. , Zhu, R. ORCID: 0000-0002-9944-0369, Ma, Z. & Xue, J. (2023). Locally-Enriched Cross-Reconstruction for Few-Shot Fine-Grained Image Classification. IEEE Transactions on Circuits and Systems for Video Technology, 33(12), pp. 7530-7540. doi: 10.1109/tcsvt.2023.3275382

Marra, G., Fasiolo, M., Radice, R. ORCID: 0000-0002-6316-3961 & Winkelmann, R. (2023). A Flexible Copula Regression Model with Bernoulli and Tweedie Margins for Estimating the Effect of Spending on Mental Health. Health Economics, 32(6), pp. 1305-1322. doi: 10.1002/hec.4668

Marra, G., Radice, R. ORCID: 0000-0002-6316-3961 & Zimmer, D. (2023). A Unifying Switching Regime Regression Framework with Applications in Health Economics. Econometric Reviews, doi: 10.1080/07474938.2023.2255438

Mayhew, L. ORCID: 0000-0002-0380-1757, Chan, M. S. & Cairns, A. J. G. (2023). The great health challenge – levelling up the UK. Geneva Papers on Risk and Insurance: Issues and Practice,

Mayhew, L. ORCID: 0000-0002-0380-1757 (2023). Counting the cost of inequality. Journal of Demographic Economics, 89(3), pp. 395-418. doi: 10.1017/dem.2023.12

Mayhew, L. ORCID: 0000-0002-0380-1757 & Algar, R. (2023). Marathon or sprint? Do elite-level athletes live longer than average?. London, UK: International Longevity Centre.

Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2023). Differential Sensitivity in Discontinuous Models. .

Tsiodra, M., Panda, S., Chronopoulos, M. ORCID: 0000-0002-3858-2021 & Panaousis, E. (2023). Cyber Risk Assessment and Optimization: A Small Business Case Study. IEEE Access, 11, pp. 44467-44481. doi: 10.1109/access.2023.3272670

Villegas, A., Bajekal, M., Haberman, S. ORCID: 0000-0003-2269-9759 & Zhou, L. (2023). Key Drivers of Long-Term Rates of Mortality Improvements in the United States: Period, Cohort, and Cause of Death Analysis, 1959–2016. North American Actuarial Journal, pp. 1-31. doi: 10.1080/10920277.2023.2167834

Wei, M., Kyriakou, I. ORCID: 0000-0001-9592-596X, Sermpinis, G. & Stasinakis, C. (2023). Cryptocurrencies and Lucky Factors: The value of technical and fundamental analysis. International Journal of Finance and Economics, doi: 10.1002/ijfe.2863

Zhang, X., Huang, F., Hui, F. & Haberman, S. ORCID: 0000-0003-2269-9759 (2023). Cause of death mortality forecasting using penalized adaptive tensor decompositions. Insurance: Mathematics and Economics, 111, pp. 193-213. doi: 10.1016/j.insmatheco.2023.05.003

Zhang, Z. (2023). Optimising Investment Decisions under Uncertainty: A Study of Risk, Subsidies, Competition, and Technological Learning. (Unpublished Doctoral thesis, City, University of London)

Zhang, Z., Chronopoulos, M. ORCID: 0000-0002-3858-2021, Dimitrova, D. S. ORCID: 0000-0003-3169-2735 & Kyriakou, I. ORCID: 0000-0001-9592-596X (2023). Risk assessment and optimal scheduling of serial projects. OR Spectrum, doi: 10.1007/s00291-023-00740-0

Zhu, R. ORCID: 0000-0002-9944-0369, Zhou, F., Yang, W. & Jing-Hao, X. (2023). Statistical hypothesis testing as a novel perspective of pooling for image quality assessment. Signal Processing: Image Communication, 114, article number 116942. doi: 10.1016/j.image.2023.116942

2022

Asimit, V. ORCID: 0000-0002-7706-0066, Kyriakou, I. ORCID: 0000-0001-9592-596X, Santoni, S. ORCID: 0000-0002-5928-3901 , Scognamiglio, S. & Zhu, R. ORCID: 0000-0002-9944-0369 (2022). Robust Classification via Support Vector Machines. Risks, 10(8), article number 154. doi: 10.3390/risks10080154

Barigou, K., Bignozzi, V. & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2022). Insurance valuation: A two-step generalised regression approach. Astin Bulletin: The Journal of the ASTIN and AFIR Sections of the International Actuarial Association, 52(1), pp. 211-245. doi: 10.1017/asb.2021.31

Carannante, M., D'Amato, V. & Haberman, S. ORCID: 0000-0003-2269-9759 (2022). COVID-19 accelerated mortality shocks and the impact on life insurance: the Italian situation’. Annals of Actuarial Science, 16(3), pp. 478-497. doi: 10.1017/s1748499522000094

Chen, A., Haberman, S. ORCID: 0000-0003-2269-9759 & Thomas, S. (2022). Adaptive retirement planning, sustainable withdrawals and deferred annuities. Journal of Retirement, 10(3), pp. 96-119. doi: 10.3905/jor.2022.1.118

Das, M. K., Tsai, H., Kyriakou, I. ORCID: 0000-0001-9592-596X & Fusai, G. ORCID: 0000-0001-9215-2586 (2022). Technical Note - On Matrix Exponential Differentiation with Application to Weighted Sum Distributions. Operations Research, 70(4), pp. 1984-1995. doi: 10.1287/opre.2021.2257

Djeundje, V. B., Haberman, S. ORCID: 0000-0003-2269-9759, Bajekal, M. & Lu, J. (2022). The slowdown in mortality improvement rates 2011–2017: a multi-country analysis. European Actuarial Journal, 12(2), pp. 839-878. doi: 10.1007/s13385-022-00318-0

Dunnell, K., Farager, R., Haberman, S. ORCID: 0000-0003-2269-9759 , Leon, D., Price, D. & Sloman, D. (2022). The current and future effects of climate change on health in the UK. Longevity Science Panel.

Eletti, A., Marra, G., Quaresma, M. , Radice, R. ORCID: 0000-0002-6316-3961 & Rubio, F. J. (2022). A Unifying Framework for Flexible Excess Hazard Modeling with Applications in Cancer Epidemiology. Journal of the Royal Statistical Society Series C: Applied Statistics, 71(4), pp. 1044-1062. doi: 10.1111/rssc.12566

England, R., Owadally, I. ORCID: 0000-0002-0830-3554 & Wright, D. ORCID: 0000-0002-0830-3554 (2022). An Agent-Based Model of Motor Insurance Customer Behaviour in the UK with Word of Mouth. Journal of Artificial Societies and Social Simulation, 25(2), article number 2. doi: 10.18564/jasss.4768

Filippou, P., Marra, G., Radice, R. ORCID: 0000-0002-6316-3961 & Zimmer, D. (2022). Estimating the Impact of Medical Care Usage on Work Absenteeism by a Trivariate Probit Model with Two Binary Endogenous Explanatory Variables. AStA: Advances in Statistical Analysis: A Journal of the German Statistical Society, 107(4), pp. 713-731. doi: 10.1007/s10182-022-00464-6

Gerrard, R. J. G. ORCID: 0000-0002-8932-8752, Kyriakou, I. ORCID: 0000-0001-9592-596X, Nielsen, J. P. ORCID: 0000-0001-6874-1268 & Vodička, P. (2022). On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging. European Journal of Operational Research, 307(2), pp. 948-962. doi: 10.1016/j.ejor.2022.10.003

Guan, Y., Tsanakas, A. ORCID: 0000-0003-4552-5532 & Wang, R. (2022). An impossibility theorem on capital allocation. Scandinavian Actuarial Journal, 2023(3), pp. 290-302. doi: 10.1080/03461238.2022.2094718

Jang, C., Clare, A. ORCID: 0000-0002-4180-6778 & Owadally, I. ORCID: 0000-0002-0830-3554 (2022). Glide paths for a retirement plan with deferred annuities. Journal of Pension Economics and Finance, 21(4), pp. 565-581. doi: 10.1017/S1474747221000251

Kyriakou, I. ORCID: 0000-0001-9592-596X & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2022). Efficient evaluation of alternative reinsurance strategies using control variates. European Actuarial Journal, 12(1), pp. 425-431. doi: 10.1007/s13385-022-00304-6

Lindholm, M., Richman, R., Tsanakas, A. ORCID: 0000-0003-4552-5532 & Wüthrich, M. V. (2022). Discrimination-free insurance pricing. Astin Bulletin: The Journal of the ASTIN and AFIR Sections of the International Actuarial Association, 52(1), pp. 55-89. doi: 10.1017/asb.2021.23

Lindholm, M., Richman, R., Tsanakas, A. ORCID: 0000-0003-4552-5532 & Wüthrich, M. V. (2022). A multi-task network approach for calculating discrimination-free insurance prices. .

Lindholm, M., Tsanakas, A. ORCID: 0000-0003-4552-5532, Richman, R. & Wüthrich, M. V. (2022). A Discussion of Discrimination and Fairness in Insurance Pricing. .

Mayhew, L. ORCID: 0000-0002-0380-1757 (2022). Future-proofing retirement living - Easing the care and housing crises. International Longevity Centre UK.

Merz, M., Richman, R., Tsanakas, A. ORCID: 0000-0003-4552-5532 & Wüthrich, M. (2022). Interpreting Deep Learning Models with Marginal Attribution by Conditioning on Quantiles. Data Mining and Knowledge Discovery, 36(4), pp. 1335-1370. doi: 10.1007/s10618-022-00841-4

Millossovich, P. ORCID: 0000-0001-8269-7507, Tsanakas, A. ORCID: 0000-0003-4552-5532 & Wang, R. (2022). A theory of multivariate stress testing. .

Petti, D., Eletti, A., Marra, G. & Radice, R. ORCID: 0000-0002-6316-3961 (2022). Copula Link-Based Additive Models for Bivariate Time-to-Event Outcomes with General Censoring Scheme. Computational Statistics and Data Analysis, 175, article number 107550. doi: 10.1016/j.csda.2022.107550

Pilbeam, K. ORCID: 0000-0002-5609-8620, Beckmann, J., Kyriakou, I. ORCID: 0000-0001-9592-596X & Liu, J. (2022). Celebrating the 27th anniversary of International Journal of Finance and Economics and shaping the future. International Journal of Finance and Economics, 28(1), pp. 5-8. doi: 10.1002/ijfe.2743

Ranjbar, S., Cantoni, E., Chavez-Demoulin, V. , Marra, G., Radice, R. ORCID: 0000-0002-6316-3961 & Jaton-Ogay, K. (2022). Modelling the Extremes of Seasonal Viruses and Hospital Congestion: The Example of Flu in a Swiss Hospital. Journal of the Royal Statistical Society Series C: Applied Statistics, 71(4), pp. 884-905. doi: 10.1111/rssc.12559

Ren, K., Guo, Z., Zhang, Z. , Zhu, R. ORCID: 0000-0002-9944-0369 & Li, X. (2022). Multi-Branch Network for Few-shot Learning. In: Proceedings of 2022 Asia-Pacific signal and Information Processing Association Annual Summit and Conference (APSIPA ASC). 2022 Asia-Pacific Signal and Information Processing Association Annual Summit and Conference (APSIPA ASC), 7-10 Nov 2022, Chiang Mai, Thailand. doi: 10.23919/APSIPAASC55919.2022.9980160

Shang, H.L., Haberman, S. ORCID: 0000-0003-2269-9759 & Xu, R. (2022). Multi-population modelling and forecasting life-table death counts. Insurance: Mathematics and Economics, 106, pp. 239-253. doi: 10.1016/j.insmatheco.2022.07.002

Spreeuw, J. ORCID: 0000-0002-5838-9085 (2022). The Copula Derived from the SAHARA Utility Function. Risks, 10(7), article number 133. doi: 10.3390/risks10070133

Spreeuw, J. ORCID: 0000-0002-5838-9085, Owadally, I. ORCID: 0000-0002-0830-3554 & Kashif, M. (2022). Projecting mortality rates using a Markov chain. Mathematics, 10(7), article number 1162. doi: 10.3390/math10071162

Tsanakas, A. ORCID: 0000-0003-4552-5532 & Zhu, R. ORCID: 0000-0002-9944-0369 (2022). Selecting bivariate copula models using image recognition. Astin Bulletin, 52(3), pp. 707-734. doi: 10.1017/asb.2022.12

Tsiodra, M. & Chronopoulos, M. ORCID: 0000-0002-3858-2021 (2022). A bi-level model for optimal capacity investment and subsidy design under risk aversion and uncertainty. Journal of the Operational Research Society, 73(8), pp. 1787-1799. doi: 10.1080/01605682.2021.1943021

Wang, Z., Liu, Y., Zhu, R. ORCID: 0000-0002-9944-0369 , Yang, W. & Liao, Q. (2022). Lightweight Single Image Super-Resolution With Similar Feature Fusion Block. IEEE ACCESS, 10, pp. 30974-30981. doi: 10.1109/access.2022.3158936

Zhao, J., Dong, K., Dong, X. , Shahbaz, M. & Kyriakou, I. ORCID: 0000-0001-9592-596X (2022). Is green growth affected by financial risks? New global evidence from asymmetric and heterogeneous analysis. Energy Economics, 113, article number 106234. doi: 10.1016/j.eneco.2022.106234

Zhou, F. ORCID: 0000-0002-9851-8312, Butterworth, A. S. & Asimit, J. L. (2022). Flashfm-ivis: interactive visualisation for fine-mapping of multiple quantitative traits. In: Human Heredity. 50th European Mathematical Genetics Meeting (EMGM) 2022, 21-22 Apr 2022, Cambridge, United Kingdom. doi: 10.1159/000524615

Zhou, F. ORCID: 0000-0002-9851-8312, Butterworth, A. S. & Asimit, J. L. (2022). Flashfm-ivis: interactive visualization for fine-mapping of multiple quantitative traits. Bioinformatics, 38(17), pp. 4238-4242. doi: 10.1093/bioinformatics/btac453

2021

Aeberhard, W., Cantoni, E., Marra, G. & Radice, R. ORCID: 0000-0002-6316-3961 (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. (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: 0000-0001-8269-7507 (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

Cust, H., Jones, H., Powell-Jackson, T. , Lepine, A. & Radice, R. ORCID: 0000-0002-6316-3961 (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

Debon, A., Haberman, S. ORCID: 0000-0003-2269-9759, Montes, F. & Otranto, E. (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: 0000-0003-1621-2991 (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

Isakson, A., Krummaker, S. ORCID: 0000-0003-2471-8175, Martinez-Miranda, M. D. & Rickayzen, B. D. ORCID: 0000-0002-0433-0870 (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. ORCID: 0000-0002-2798-0817 & Scholz, M. (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. (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., 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). 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. (2021). Interpreting Deep Learning Models with Marginal Attribution by Conditioning on Quantiles. .

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. (2021). Long-term Sustainable Investment for Retirement. Sustainability, 13(9), article number 5000. doi: 10.3390/su13095000

Owadally, I. ORCID: 0000-0002-0830-3554, Ram, R. & Regis, L. (2021). An analysis of the Dutch-style pension plans proposed by UK policy-makers. Journal of Social Policy, 51(2), pp. 325-345. doi: 10.1017/s0047279421000155

Pesenti, S. M., Bettini, A., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A. ORCID: 0000-0003-4552-5532 (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

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

Sendstad, L. H., Chronopoulos, M. & Hagspiel, V. (2021). Optimal Risk Adoption and Capacity Investment in Technological Innovations. IEEE Transactions on Engineering Management, 70(2), pp. 576-589. doi: 10.1109/tem.2021.3056142

Sogi, N., Zhu, R. ORCID: 0000-0002-9944-0369, Xue, J-H. & Fukui, K. (2021). Constrained mutual convex cone method for image set based recognition. Pattern Recognition, 121, article number 108190. doi: 10.1016/j.patcog.2021.108190

Spreeuw, J. ORCID: 0000-0002-5838-9085, Yanagisawa, Y., Sugino, A. , Thomas, R. & Williams, M. (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. .

2020

Asimit, A.V. ORCID: 0000-0002-7706-0066, Cheung, K. C., Chong, W. F. & Hu, J. (2020). Pareto-optimal insurance contracts with premium budget and minimum charge constraints. Insurance: Mathematics and Economics, 95, pp. 17-27. doi: 10.1016/j.insmatheco.2020.08.001

Asimit, V. ORCID: 0000-0002-7706-0066, Kyriakou, I. ORCID: 0000-0001-9592-596X & Nielsen, J. P. ORCID: 0000-0002-2798-0817 (2020). Special Issue “Machine Learning in Insurance”. Risks, 8(2), article number 54. doi: 10.3390/risks8020054

Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586, Kyriakou, I. ORCID: 0000-0001-9592-596X , Papapostolou, N. C. ORCID: 0000-0003-4529-1182 & Pouliasis, P. K. ORCID: 0000-0002-7389-3722 (2020). Risk management of climate impact for tourism operators: An empirical analysis on ski resorts. Tourism Management, 77, article number 104011. doi: 10.1016/j.tourman.2019.104011

Bartl, M. & Krummaker, S. ORCID: 0000-0003-2471-8175 (2020). Prediction of claims in export credit finance: a comparison of four machine learning techniques. Risks, 8(1), article number 22. doi: 10.3390/risks8010022

Boado-Penas, C., Godínez-Olivares, H., Haberman, S. ORCID: 0000-0003-2269-9759 & Serrano, P. (2020). Automatic Balancing Mechanisms for Mixed Pension Systems under Different Investment Strategies. European Journal of Finance, 26(2-3), pp. 277-294. doi: 10.1080/1351847x.2019.1647260

Boado-Penas, C., Haberman, S. ORCID: 0000-0003-2269-9759 & Naka, P. (2020). Fairness and Annuitisation Divisors for Notional Defined Contribution Pension Schemes. Journal of Pension Economics and Finance, 21(2), pp. 143-167. doi: 10.1017/s1474747220000311

Brignone, R., Kyriakou, I. ORCID: 0000-0001-9592-596X & Fusai, G. ORCID: 0000-0001-9215-2586 (2020). 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

Bryce, C. ORCID: 0000-0002-9856-7851, Dowling, M. & Lucey, B. (2020). The Journal Quality Perception Gap. Research Policy, 49(5), article number 103957. doi: 10.1016/j.respol.2020.103957

Bryce, C. ORCID: 0000-0002-9856-7851, Ring, P., Ashby, S. & Wardman, J. (2020). Resilience in the Face of Uncertainty: Early Lessons from the COVID-19 Pandemic. Journal of Risk Research, 23(7-8), pp. 880-887. doi: 10.1080/13669877.2020.1756379

Dettoni, R., Marra, G. & Radice, R. ORCID: 0000-0002-6316-3961 (2020). Generalized Link-Based Additive Survival Models with Informative Censoring. Journal of Computational and Graphical Statistics, 29(3), pp. 503-512. doi: 10.1080/10618600.2020.1724544

Dimitrova, D. S. ORCID: 0000-0003-3169-2735, Ignatov, Z., Kaishev, V. K. & Tan, S. (2020). On Double-Boundary Non-Crossing Probability for a Class of Compound Processes with Applications. European Journal of Operational Research, 282(2), pp. 602-613. doi: 10.1016/j.ejor.2019.09.058

Dong, Y., Huang, F., Yu, H. & Haberman, S. ORCID: 0000-0003-2269-9759 (2020). Multi-population mortality forecasting using tensor decomposition. Scandinavian Actuarial Journal, 2020(8), pp. 754-775. doi: 10.1080/03461238.2020.1740314

Gambaro, A. M., Kyriakou, I. ORCID: 0000-0001-9592-596X & Fusai, G. ORCID: 0000-0001-9215-2586 (2020). General lattice methods for arithmetic Asian options. European Journal of Operational Research, 282(3), pp. 1185-1199. doi: 10.1016/j.ejor.2019.10.026

Gerrard, R. J. G. ORCID: 0000-0002-8932-8752, Hiabu, M., Nielsen, J. P. ORCID: 0000-0002-2798-0817 & Vodička, P. (2020). Long-term real dynamic investment planning. Insurance: Mathematics and Economics, 92, pp. 90-103. doi: 10.1016/j.insmatheco.2020.03.002

Hiabu, M., Mammen, E., Maria Dolores, M-M. & Nielsen, J. P. ORCID: 0000-0002-2798-0817 (2020). 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. (2020). 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

Kyriakou, I. ORCID: 0000-0001-9592-596X, Mousavi, P., Nielsen, J. P. ORCID: 0000-0002-2798-0817 & Scholz, M. (2020). Longer-Term Forecasting of Excess Stock Returns—The Five-Year Case. Mathematics, 8(6), article number 927. doi: 10.3390/math8060927

Lee, Y. K., Mammen, E., Nielsen, J. P. ORCID: 0000-0002-2798-0817 & Park, B. U. (2020). Nonparametric regression with parametric help. Electronic Journal of Statistics, 14(2), pp. 3845-3868. doi: 10.1214/20-ejs1760

Marra, G., Farcomeni, A. & Radice, R. ORCID: 0000-0002-6316-3961 (2020). 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 (2020). Copula Link-Based Additive Models for Right-Censored Event Time Data. Journal of the American Statistical Association, 115(530), pp. 886-895. doi: 10.1080/01621459.2019.1593178

Marra, G., Radice, R. ORCID: 0000-0002-6316-3961 & Zimmer, D. (2020). Estimating the Binary Endogenous Effect of Insurance on Doctor Visits by Copula-Based Regression Additive Models. Journal of the Royal Statistical Society: Series C (Applied Statistics), 69(4), pp. 953-971. doi: 10.1111/rssc.12419

Mayhew, L. ORCID: 0000-0002-0380-1757 (2020). 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 (2020). Too Little, Too Late? Too Little, Too Late? Housing for an Housing for an ageing population ageing population (978-1-9997174-9-0). London, UK: CSFI: Centre for the Study of Financial Information.

Mayhew, L. ORCID: 0000-0002-0380-1757, Harper, G. & Villegas, A. M. (2020). An investigation into the impact of deprivation on demographic inequalities in adults. Annals of Actuarial Science, 14(2), pp. 358-383. doi: 10.1017/s1748499520000068

Mayhew, L. ORCID: 0000-0002-0380-1757 & Smith, D. ORCID: 0000-0001-6642-8884 (2020). The 100-year family Longer lives, fewer children. London: International Longevity Centre UK.

Nielsen, J. P. ORCID: 0000-0002-2798-0817, Mammen, E., Martiınez-Miranda, M. D. & Vogt, M. (2020). Calendar effect and in-sample forecasting. Insurance: Mathematics and Economics, 96, pp. 31-52. doi: 10.1016/j.insmatheco.2020.10.003

Sendstad, L. H. & Chronopoulos, M. ORCID: 0000-0002-3858-2021 (2020). Sequential investment in renewable energy technologies under policy uncertainty. Energy Policy, 137, article number 111152. doi: 10.1016/j.enpol.2019.111152

Shang, H.L. & Haberman, S. ORCID: 0000-0003-2269-9759 (2020). Forecasting multiple functional time series in a group structure: an application to mortality’. ASTIN Bulletin, 50(2), pp. 357-379. doi: 10.1017/asb.2020.3

Shang, H.L. & Haberman, S. ORCID: 0000-0003-2269-9759 (2020). Retiree Mortality Forecasting: A Partial Age-Range or a Full Age-Range Model?. Risks, 8(3), article number 69. doi: 10.3390/risks8030069

Tamvakis, M. ORCID: 0000-0002-5056-0159, Marchese, M., Kyriakou, I. ORCID: 0000-0001-9592-596X & Di Iorio, F. (2020). Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. Energy Economics, 88, article number 104757. doi: 10.2139/ssrn.3544242

Wang, K., Fang, L. & Cheng, J. (2020). Management of Commissions to Meet the Regulatory Requirements: Evidence from Property-Casualty Insurance in China. Geneva Papers on Risk and Insurance - Issues and Practice, 45(3), pp. 508-534. doi: 10.1057/s41288-020-00161-y

Zhu, R. ORCID: 0000-0002-9944-0369, Guo, Y. & Xue, J-H. (2020). Adjusting the imbalance ratio by the dimensionality of imbalanced data. Pattern Recognition Letters, 133, pp. 217-223. doi: 10.1016/j.patrec.2020.03.004

Zhu, R. ORCID: 0000-0002-9944-0369 & Wüthrich, M. V. (2020). Clustering driving styles via image processing. Annals of Actuarial Science, 15(2), pp. 1-15. doi: 10.1017/s1748499520000317

van den Berg, G., anys, L., Mammen, E. & Nielsen, J. P. ORCID: 0000-0002-2798-0817 (2020). 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

van der Wurp, H., Groll, A., Kneib, T. , Marra, G. & Radice, R. ORCID: 0000-0002-6316-3961 (2020). Generalised joint regression for count data with a focus on modelling football matches. Statistics and Computing, 30(5), pp. 1419-1432. doi: 10.1007/s11222-020-09953-7

van der Wurp, H., Groll, A., Kneib, T. , Marra, G. & Radice, R. ORCID: 0000-0002-6316-3961 (2020). Generalised joint regression for count data: a penalty extension for competitive settings. Statistics and Computing, 30(5), pp. 1419-1432. doi: 10.1007/s11222-020-09953-7

2019

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. (2019). An efficient approach to quantile capital allocation and sensitivity analysis. Mathematical Finance, 29(4), pp. 1131-1156. doi: 10.1111/mafi.12211

Bischofberger, S., Hiabu, M., Mammen, E. & Nielsen, J. P. ORCID: 0000-0002-2798-0817 (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. (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

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. (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. (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

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

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. (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

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

Gerrard, R. J. G. ORCID: 0000-0002-8932-8752, Hiabu, M., Kyriakou, I. ORCID: 0000-0001-9592-596X & Nielsen, J. P. ORCID: 0000-0002-2798-0817 (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. (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. (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. (2019). The use of telematics devices to improve automobile insurance rates. Risk Analysis, 39(3), pp. 662-672. doi: 10.1111/risa.13172

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. (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

Klein, N., Kneib, T., Marra, G. , Radice, R., Rokicki, S. R. & McGovern, M. (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. (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. (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

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

Mammen, E., Nielsen, J. P. ORCID: 0000-0002-2798-0817, Scholz, M. & Sperlich, S. (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

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. (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. (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

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

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

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

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

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

Zhu, R. ORCID: 0000-0002-9944-0369, Wang, Z., Sogi, N. , Fukui, K. & Xue, J-H. (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

2018

Ashby, S., Bryce, C. ORCID: 0000-0002-9856-7851 & Ring, P. (2018). Risk and the Strategic Role of Leadership. London, UK: ACCA.

Asimit, A.V. ORCID: 0000-0002-7706-0066 & Li, J. (2018). Systemic risk: an asymptotic evaluation. ASTIN Bulletin, 48(2), pp. 673-698. doi: 10.1017/asb.2017.38

Asimit, A.V. & Boonen, T. J. (2018). Insurance with multiple insurers: A game-theoretic approach. European Journal of Operational Research, 267(2), pp. 778-790. doi: 10.1016/j.ejor.2017.12.026

Asimit, A.V., Gao, T., Hu, J. & Kim, E. (2018). Optimal Risk Transfer: A Numerical Optimisation Approach. North American Actuarial Journal, 22(3), pp. 341-364. doi: 10.1080/10920277.2017.1421472

Asimit, A.V. & Li, J. (2018). Measuring the Tail Risk: An Asymptotic Approach. Journal of Mathematical Analysis and Applications, 463(1), pp. 176-197. doi: 10.1016/j.jmaa.2018.03.019

Ayuso, M., Guillén, M. & Nielsen, J. P. (2018). Improving automobile insurance ratemaking using telematics: incorporating mileage and driver behaviour data. Transportation, 46(3), pp. 735-752. doi: 10.1007/s11116-018-9890-7

Bacinello, A. R., Chen, A. & Millossovich, P. ORCID: 0000-0001-8269-7507 (2018). The impact of longevity and investment risk on a portfolio of life insurance liabilities. European Actuarial Journal, 8(2), pp. 257-290. doi: 10.1007/s13385-018-0175-5

Bacinello, A. R., Millossovich, P. & Chen, A. (2018). Longevity impact on life insurers in low interest rate environment. The European Actuary, 18(2018), pp. 16-18.

Barakat, A., Ashby, S., Fenn, P. & Bryce, C. ORCID: 0000-0002-9856-7851 (2018). Operational Risk and Reputation in Financial Institutions: Does Media Tone Make a Difference?. Journal of Banking and Finance, 98, pp. 1-24. doi: 10.1016/j.jbankfin.2018.10.007

Bolance, C., Guillén, M., Nielsen, J. P. & Thuring, F. (2018). Exposure to risk and zero accident claims in automobile insurance. Risks, 6(1), article number 9. doi: 10.3390/risks6010009

Braumoeller, B. F., Marra, G., Radice, R. ORCID: 0000-0002-6316-3961 & Bradshaw, A. E. (2018). Flexible Causal Inference for Political Science. Political Analysis, 26(1), pp. 54-71. doi: 10.1017/pan.2017.29

Bryce, C. ORCID: 0000-0002-9856-7851, Dowling, M. & Lucey, B. (2018). To truly judge the quality of research, read it. Time Higher Education,

Chen, R. & Millossovich, P. (2018). Sex-specific mortality forecasting for UK countries: a coherent approach. European Actuarial Journal, 8(1), pp. 69-95. doi: 10.1007/s13385-017-0164-0

Chronopoulos, M., Panaousis, E. & Grossklags, J. (2018). An Options Approach to Cybersecurity Investment. IEEE Access, 6, pp. 12175-12186. doi: 10.1109/access.2017.2773366

D'Amato, V., di Lorenzo, E., Haberman, S. ORCID: 0000-0003-2269-9759 , Sagoo, P. & Sibillo, M. (2018). De-risking strategy: Longevity spread buy-in. Insurance Mathematics and Economics, 79, pp. 124-136. doi: 10.1016/j.insmatheco.2018.01.004

Dimitrova, D. S. ORCID: 0000-0003-3169-2735, Kaishev, V. K. & Ignatov, Z. G. (2018). Ruin and Deficit Under Claim Arrivals with the Order Statistics Property. Methodology and Computing in Applied Probability, doi: 10.1007/s11009-018-9669-5

Donnelly, C., Guillén, M., Nielsen, J. P. & Pérez-Marín, A. M. (2018). Implementing individual savings decisions for retirement with bounds on wealth. ASTIN Bulletin, 48(1), pp. 111-137. doi: 10.1017/asb.2017.34

Filippou, P., Kneib, T., Marra, G. & Radice, R. ORCID: 0000-0002-6316-3961 (2018). A trivariate additive regression model with arbitrary link functions and varying correlation matrix. Journal of Statistical Planning and Inference, 199, pp. 236-248. doi: 10.1016/j.jspi.2018.07.002

Gerrard, R. J. G. ORCID: 0000-0002-8932-8752, Hiabu, M., Kyriakou, I. ORCID: 0000-0001-9592-596X & Nielsen, J. P. ORCID: 0000-0002-2798-0817 (2018). Self-selection and risk sharing in a modern world of life-long annuities. British Actuarial Journal, 23, article number e30. doi: 10.1017/s135732171800020x

Gerrard, R. J. G. ORCID: 0000-0002-8932-8752, Hiabu, M., Kyriakou, I. ORCID: 0000-0001-9592-596X & Nielsen, J. P. ORCID: 0000-0002-2798-0817 (2018). Self-selection and risk sharing in a modern world of lifelong annuities - Abstract of the London Discussion. British Actuarial Journal, 23(e29), article number e29. doi: 10.1017/s1357321718000272

Gámiz Pérez, M. L., Martinez-Miranda, M. D. & Nielsen, J. P. ORCID: 0000-0002-2798-0817 (2018). Multiplicative local linear hazard estimation and best one-sided cross-validation. Journal of Machine Learning, 20, pp. 1-29.

Haberman, S. ORCID: 0000-0003-2269-9759 & Shang, H.L. (2018). Model confidence sets and forecast combination: an application to age-specific mortality. Genus, 74(1), article number 19. doi: 10.1186/s41118-018-0043-9

Hu, J. (2018). Theoretical and empirical study on optimal insurance and reinsurance design. (Unpublished Doctoral thesis, City, University of London)

Krummaker, S. ORCID: 0000-0003-2471-8175 & Thomann, C. (2018). Aspekte der Versicherung von Unternehmen. In: Schulenburg, J. (Ed.), Festschrift for Prof. dr. J.-Matthias Graf von der Schulenburg. (pp. 95-127). Karlsruhe: Verlag Versicherungswissenschaft.

Lee, Y. K., Mammen, E., Nielsen, J. P. ORCID: 0000-0002-2798-0817 & Park, B. P. (2018). In-sample forecasting: A brief review and new algorithms. ALEA - Latin American Journal of Probability and Mathematical Statistics, 15(2), pp. 875-895. doi: 10.30757/alea.v15-33

Margraf, C., Elpidorou, V. & Verrall, R. J. (2018). Claims reserving in the presence of excess-of-loss reinsurance using micro models based on aggregate data. Insurance: Mathematics and Economics, 80, pp. 54-65. doi: 10.1016/j.insmatheco.2018.03.001

Mayhew, L. (2018). The Dependency Trap - are we fit enough to face the future?. London: Centre for the Study of Financial Innovation (CSFI).

Mayhew, L., Smith, D. & Wright, I. D. (2018). 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

Millossovich, P., Villegas, A.M. & Kaishev, V. K. (2018). StMoMo: An R Package for Stochastic Mortality Modelling. Journal of Statistical Software, 84(3), pp. 1-38. doi: 10.18637/jss.v084.i03

Owadally, M. I ORCID: 0000-0002-0830-3554, Zhou, F. & Wright, I. D. (2018). The Insurance Industry as a Complex Social System: Competition, Cycles, and Crises. Journal of Artificial Societies and Social Simulation, 21(4), article number 2. doi: 10.18564/jasss.3819

Pesenti, S. M. (2018). Robustness and sensitivity of risk evaluations. (Unpublished Doctoral thesis, Cass Business School, City, University of London)

Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2018). Euler allocations in the presence of non-linear reinsurance: comment on Major (2018). Insurance: Mathematics and Economics, 83, pp. 29-31. doi: 10.1016/j.insmatheco.2018.09.001

Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2018). Euler allocations in the presence of non-linear reinsurance: comment on Major (2018). .

Pesenti, S. M., Millossovich, P. & Tsanakas, A. (2018). Reverse sensitivity testing: What does it take to break the model?. .

Pouliasis, P. K. ORCID: 0000-0002-7389-3722, Papapostolou, N. C. ORCID: 0000-0003-4529-1182, Kyriakou, I. ORCID: 0000-0001-9592-596X & Visvikis, I.D. (2018). Shipping equity risk behavior and portfolio management. Transportation Research Part A: Policy and Practice, 116, pp. 178-200. doi: 10.1016/j.tra.2018.06.016

Rickayzen, B. D. ORCID: 0000-0002-0433-0870, Klohn, F. & Karlsson, M. (2018). The Role of Heterogeneous Parameters for the Detection of Selection in Insurance Contracts. Insurance: Mathematics and Economics, 83, pp. 110-121. doi: 10.1016/j.insmatheco.2018.08.002

Tsanakas, A. & Cabantous, L. (2018). The Model Ajar: Building Rationality Infrastructures within Insurance Organizations. .

Wang, Z., Zhu, R. ORCID: 0000-0002-9944-0369, Fukui, K. & Xue, J-H. (2018). Cone-based joint sparse modelling for hyperspectral image classification. Signal Processing, 144, pp. 417-429. doi: 10.1016/j.sigpro.2017.11.001

Wojtys, M., Marra, G. & Radice, R. ORCID: 0000-0002-6316-3961 (2018). Copula based generalized additive models for location, scale and shape with non-random sample selection. Computational Statistics and Data Analysis, 127, pp. 1-14. doi: 10.1016/j.csda.2018.05.001

Zhu, R. ORCID: 0000-0002-9944-0369, Dong, M. & Xue, J-H. (2018). Learning distance to subspace for the nearest subspace methods in high-dimensional data classification. Information Sciences, 481, pp. 69-80. doi: 10.1016/j.ins.2018.12.061

Zhu, R. ORCID: 0000-0002-9944-0369, Wang, Z., Ma, Z. , Wang, G. & Xue, J-H. (2018). LRID: A new metric of multi-class imbalance degree based on likelihood-ratio test. Pattern Recognition Letters, 116, pp. 36-42. doi: 10.1016/j.patrec.2018.09.012

Zhu, R. ORCID: 0000-0002-9944-0369, Zhou, F. & Xue, J-H. (2018). MvSSIM: A quality assessment index for hyperspectral images. Neurocomputing, 272, pp. 250-257. doi: 10.1016/j.neucom.2017.06.073

Zhu, R. ORCID: 0000-0002-9944-0369, Zhou, F., Yang, W. & Xue, J-H. (2018). On Hypothesis Testing for Comparing Image Quality Assessment Metrics [Tips & Tricks]. IEEE Signal Processing Magazine, 35(4), pp. 133-136. doi: 10.1109/msp.2018.2829209

2017

Asimit, A.V., Bignozzi, V., Cheung, K. C. , Hu, J. & 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. & Lim, Z. (2017). Model risk: illuminating the black box. British Actuarial Journal, 23, article number e2. doi: 10.1017/s1357321717000150

Boonen, T. J., Tsanakas, A. & 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

Bräutigam, M., Guillén, M. & 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

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

Chen, A., Haberman, S. & 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.

Chronopoulos, M., Hagspiel, V. & 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. & 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. & Piscopo, G. (2017). The dependency premium based on a multifactor model for dependent mortality data. Communications in Statistics - Theory and Methods, 48(1), pp. 50-61. doi: 10.1080/03610926.2017.1366523

Debon, A., Chaves, L., Haberman, S. & 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. & Kaishev, V. K. (2017). On the First Crossing of Two Boundaries by an Order Statistics Risk Process. Risks, 5(3), article number 43. doi: 10.3390/risks5030043

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

Dimitrova, D. S., Kaishev, V. K. & Tan, S. (2017). Computing the Kolmogorov-Smirnov Distribution when the Underlying cdf is Purely Discrete, Mixed or Continuous (10.18637/jss.v095.i10). Foundation for Open Access Statistic, ISSN 1548-7660.

Filippou, P., Marra, G. & 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 & 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. & 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. & 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. & Nomikos, N. ORCID: 0000-0003-1621-2991 (2017). Income Uncertainty and the Decision to Invest in Bulk Shipping. European Financial Management, 24(3), pp. 387-417. doi: 10.1111/eufm.12132

Lee, Y. K., Mammen, E., Nielsen, J. P. & Park, B. U. (2017). Operational time and in-sample density forecasting. Annals of Statistics, 45(3), pp. 1312-1341. doi: 10.1214/16-aos1486

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

Marra, G. & 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. & 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. & 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 & 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, 42(3), pp. 500-529. doi: 10.1057/s41288-016-0041-0

Mayhew, L., Smith, D. & 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

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

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

Shang, H.L. & 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

Shang, H.L. & 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.

Villegas, A., Haberman, S., Kaishev, V. K. & 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. ORCID: 0000-0002-9944-0369, Fukui, K. & 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. & Xue, J-H. (2017). Building a discriminatively ordered subspace on the generating matrix to classify high-dimensional spectral data. Information Sciences, 382-38, pp. 1-14. doi: 10.1016/j.ins.2016.12.001

Zhu, R. ORCID: 0000-0002-9944-0369 & 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

2016

Aggarwal, A., Beck, M. B., Cann, M. , Ford, T., Georgescu, D., Morjaria, N., Smith, A., Taylor, Y., Tsanakas, A., Witts, L. & 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. & 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. & 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. & 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. & 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. & 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. & 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. & 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. & Tsanakas, A. (2016). Model uncertainty in risk capital measurement. Journal of Risk, 18(3), pp. 1-24. doi: 10.21314/j0r.2016.326

Bignozzi, V. & Tsanakas, A. (2016). Parameter uncertainty and residual estimation risk. Journal of Risk and Insurance, 83(4), pp. 949-978. doi: 10.1111/jori.12075

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.

Blyth, W., Bunn, D., Chronopoulos, M. & 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. & 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

Cannon, E. (2016). Independent Review of Retirement Income: Consultation. UK: Independent Review of Retirement Income.

Chronopoulos, M., Hagspiel, V. & 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. & 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. & 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. & 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. & 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. & 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. & 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. & 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. & Nielsen, J. P. (2016). The Link Between Classical Reserving and Granular Reserving Through Double Chain Ladder and its Extensions. British Actuarial Journal, 21(01), pp. 97-116. doi: 10.1017/s1357321715000288

Harper, G. & 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). In-sample forecasting: structured models and reserving. (Unpublished Doctoral thesis, City, University of London)

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. & Nielsen, J. P. (2016). In-Sample Forecasting with Local Linear Survival Densities. Biometrika, 103(4), pp. 843-859. doi: 10.1093/biomet/asw038

Ignatov, Z. G. & 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. & 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. & 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

Krummaker, S. ORCID: 0000-0003-2471-8175 (2016). Corporate Demand for Insurance: Empirical Evidence from Germany. .

Luciano, E., Spreeuw, J. & Vigna, E. (2016). Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities. Risks, 4(2), article number 16. doi: 10.3390/risks4020016

Martinez-Miranda, M. D., Nielsen, B. & Nielsen, J. P. (2016). A simple benchmark for mesothelioma projection for Great Britain. Occupational and Environmental Medicine, 73(8), pp. 561-563. doi: 10.1136/oemed-2015-103303

Mayhew, L. (2016). Means Testing Social Care in England. UK: International Longevity Centre.

Mayhew, L. & Smith, D. (2016). Decomposition of Life Expectancy at Older Ages and Prospects for Ageing Populations. In: Lombard, J., Stern, E. & Clarke, G. (Eds.), Applied Spatial Modelling and Planning. (pp. 172-188). Routledge.

Mayhew, L. & Smith, D. (2016). An investigation into inequalities in adult lifespan. UK: International Longevity Centre- UK.

Papapostolou, N. C., Pouliasis, P. K., Nomikos, N. ORCID: 0000-0003-1621-2991 & 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. & 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. & 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. & 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. & Nielsen, J. P. (2016). Nonparametric long term prediction of stock returns with generated bond yields. Insurance: Mathematics and Economics, 69(July 2), 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. & Radice, R. ORCID: 0000-0002-6316-3961 (2016). Copula Regression Spline Sample Selection Models: The R Package SemiParSampleSel. Journal of Statistical Software, 71(6), pp. 1-66. doi: 10.18637/jss.v071.i06

2015

Asimit, A.V., Badescu, A., Siu, T. K. & 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. & 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. & Hu, J. (2015). Optimal non-life reinsurance under Solvency II Regime. Insurance: Mathematics and Economics, 65, pp. 227-237. doi: 10.1016/j.insmatheco.2015.09.006

Asimit, A.V., Hashorva, E. & Kortschak, D. (2015). Aggregation of randomly weighted large risks. IMA Journal of Management Mathematics, 28(3), doi: 10.1093/imaman/dpv020

Boyer, M. M. & 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. & 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. & 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. & 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. & 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. & 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., Ignatov, Z. G. & 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.

Dimitrova, D. S., Kaishev, V. K. & 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. & Nielsen, J. P. (2015). Less is more: increasing retirement gains by using an upside terminal wealth constraint. Insurance: Mathematics and Economics, 64(Septem), pp. 259-267. doi: 10.1016/j.insmatheco.2015.06.003

Haslip, G. G. & 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. & 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. & Villegas, A. (2015). Global Polynomial Kernel Hazard Estimation. Revista Colombiana de Estadística, 38(2), pp. 399-411. doi: 10.15446/rce.v38n2.51668

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

Kim, E-S. & 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. & 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. & Martinez-Miranda, M. D. (2015). Local linear smoothing to estimate accelerated lifetime model with censoring and truncation. Applied Mathematical Modelling, 39(16), pp. 4630-4645. doi: 10.1016/j.apm.2015.03.063

Mammen, E., Martinez-Miranda, M. D. & 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. & 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

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

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

McGovern, M. E., Baernighausen, T., Marra, G. & 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. & Bärnighausen, T. (2015). Adjusting HIV prevalence estimates for non-participation: an application to demographic surveillance. Journal of the International AIDS Society, 18(1), article number 19954. doi: 10.7448/ias.18.1.19954

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

Verrall, R. J. & 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

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

Wang, R., Bignozzi, V. & 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 & 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

2014

Agbeko, T., Hiabu, M., Miranda, M. D. M. , Nielsen, J. P. & Verrall, R. J. (2014). Validating the double chain ladder stochastic claims reserving model. Variance: advancing the science of risk, 8(2), pp. 138-160.

Ashwell, M., Mayhew, L., Richardson, J. & Rickayzen, B. D. (2014). Waist-to-Height Ratio Is More Predictive of Years of Life Lost than Body Mass Index. PLoS One, 9(9), article number e103483. doi: 10.1371/journal.pone.0103483

Bacinello, A. R., Millossovich, P. & Montealegre, A. (2014). The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours. Scandiavian Actuarial Journal, 2016(5), pp. 446-465. doi: 10.1080/03461238.2014.954608

Butt, Z. (2014). A Study of Actuarial Models for Insurance Based Applications. (Unpublished Doctoral thesis, City, University of London)

Cowell, R., Graversen, T., Lauritzen, S. L. & Mortera, J. (2014). Analysis of forensic DNA mixtures with artefacts. Journal of the Royal Statistical Society. Series C: Applied Statistics, 64(1), pp. 1-48. doi: 10.1111/rssc.12071

Cowell, R. & Smith, J. Q. (2014). Causal discovery through MAP selection of stratified chain event graphs. Electronic Journal of Statistics, 8(1), pp. 965-997. doi: 10.1214/14-ejs917

D'Amato, V., Haberman, S., Piscopo, G. & Russolillo, M. (2014). Computational framework for longevity risk management. Computational Management Science, 11(1-2), pp. 111-137. doi: 10.1007/s10287-013-0178-2

D'Amato, V., Haberman, S., Piscopo, G. , Russolillo, M. & Trapani, L. (2014). Detecting Common Longevity Trends by a Multiple Population Approach. North American Actuarial Journal, 18(1), pp. 139-149. doi: 10.1080/10920277.2013.875884

Dimitrova, D. S., Kaishev, V. K. & Haberman, S. (2014). Improved estimation of mortality and life expectancy for each constituent country of the UK and beyond. Research Excellence Framework (REF).

Gerrard, R. J. G., Guillén, M., Nielsen, J. P. & Pérez-Marín, A. M. (2014). Long-run savings and investment strategy optimization. The Scientific World Journal, 2014, pp. 1-13. doi: 10.1155/2014/510531

Guillén, M., Jarner, S. F., Nielsen, J. P. & Pérez-Marín, A. M. (2014). Risk-adjusted impact of administrative costs on the distribution of terminal wealth for long-term investment. Scientific World Journal, 2014, pp. 1-12. doi: 10.1155/2014/521074

Haslip, G. G. & Kaishev, V. K. (2014). Lookback option pricing using the Fourier transform B-spline method. Quantitative Finance, 14(5), pp. 789-803. doi: 10.1080/14697688.2014.882010

Ieva, F., Marra, G., Paganoni, A. M. & Radice, R. ORCID: 0000-0002-6316-3961 (2014). A Semiparametric Bivariate Probit Model for Joint Modeling of Outcomes in STEMI Patients. Computational and Mathematical Methods in Medicine, 2014, pp. 1-7. doi: 10.1155/2014/240435

Kim, E-S. & Glass, C. (2014). Perfect periodic scheduling for three basic cycles. Journal of Scheduling, 17(1), pp. 47-65. doi: 10.1007/s10951-013-0331-3

Mammen, E., Martinez-Miranda, M. D., Nielsen, J. P. & Sperlich, S. (2014). Further theoretical and practical insight to the do-validated bandwidth selector. Journal of the Korean Statistical Society, 43(3), pp. 355-365. doi: 10.1016/j.jkss.2013.11.001

Marra, G., Radice, R. ORCID: 0000-0002-6316-3961 & Missiroli, S. (2014). Testing the hypothesis of absence of unobserved confounding in semiparametric bivariate probit models. Computational Statistics, 29(3-4), pp. 715-741. doi: 10.1007/s00180-013-0458-x

Martinez-Miranda, M. D., Nielsen, B. & Nielsen, J. P. (2014). Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality. Journal of the Royal Statistical Society. Series A: Statistics in Society, 178(1), pp. 29-55. doi: 10.1111/rssa.12051

Mayhew, L. & O'Leary, D. (2014). Unlocking the potential. UK: Demos.

Mayhew, L. & Smith, D. (2014). Personal Care Savings Bonds: A New Way of Saving Towards Social Care in Later Life. The Geneva Papers On Risk And Insurance: Issues And Practice, 39(4), pp. 668-692. doi: 10.1057/gpp.2014.30

Mayhew, L. & Smith, D. (2014). The UK Equity Bank - Towards income security in old age. The International Longevity Centre - UK (ILC-UK).

Millossovich, P., Haberman, S., Kaishev, V. K. , Baxter, S., Gaches, A., Gunnlaugsson, S. & Sison, M. (2014). Longevity Basis Risk A methodology for assessing basis risk. Institute and Faculty of Actuaries (IFA) , Life and Longevity Markets Association (LLMA).

Nielsen, B. & Nielsen, J. P. (2014). Identification and forecasting in mortality models. The Scientific World Journal, 2014, pp. 1-24. doi: 10.1155/2014/347043

Owadally, I. (2014). Tail risk in pension funds: An analysis using ARCH models and bilinear processes. Review of Quantitative Finance and Accounting, 43(2), pp. 301-331. doi: 10.1007/s11156-013-0373-9

Spreeuw, J. (2014). Archimedean copulas derived from utility functions. Insurance: Mathematics and Economics, 59, pp. 235-242. doi: 10.1016/j.insmatheco.2014.10.002

Villegas, A. & Haberman, S. (2014). On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England. North American Actuarial Journal, 18(1), pp. 168-193. doi: 10.1080/10920277.2013.866034

Webb, R., Watson, D., Ring, P. & Bryce, C. ORCID: 0000-0002-9856-7851 (2014). Pension Confusion, Uncertainty and Trust in Scotland: An Empirical Analysis. Journal of Social Policy, 43(3), pp. 595-613. doi: 10.1017/s0047279414000051

Zaks, Y. & Tsanakas, A. (2014). Optimal capital allocation in a hierarchical corporate structure. Insurance: Mathematics and Economics, 56(1), pp. 48-55. doi: 10.1016/j.insmatheco.2014.02.009

Zhao, Shouqi (2014). Dependent Risk Modelling and Ruin Probability: Numerical Computation and Applications. (Unpublished Doctoral thesis, City University London)

Zhu, R. ORCID: 0000-0002-9944-0369, Dong, M. & Xue, J-H. (2014). Spectral non-local restoration of hyperspectral images with low-rank property. IEEE Journal of Selected Topics in Applied Earth Observations and Remote Sensing, 8(6), pp. 3062-3067. doi: 10.1109/jstars.2014.2370062

2013

Asimit, A.V., Badescu, A. & Cheung, K. C. (2013). Optimal reinsurance in the presence of counterparty default risk. Insurance: Mathematics and Economics, 53(3), pp. 690-697. doi: 10.1016/j.insmatheco.2013.09.012

Asimit, A.V., Badescu, A. & Tsanakas, A. (2013). Optimal Risk Transfers in Insurance Groups. European Actuarial Journal, 3(1), pp. 159-190. doi: 10.1007/s13385-013-0068-6

Asimit, A.V., Badescu, A. & Verdonck, T. (2013). Optimal risk transfer under quantile-based risk measurers. Insurance: Mathematics and Economics, 53(1), pp. 252-265. doi: 10.1016/j.insmatheco.2013.05.005

Asimit, A.V., Vernic, R. & Zitikis, R. (2013). Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model. Risks, 1(1), pp. 14-33. doi: 10.3390/risks1010014

Bignozzi, V. & Tsanakas, A. (2013). Characterization and Construction of Sequentially Consistent Risk Measures. SSRN.

Brunovsky, P., Černý, A. & Winkler, M. (2013). A Singular Differential Equation Stemming from an Optimal Control Problem in Financial Economics. Applied Mathematics & Optimization, 68(2), pp. 255-274. doi: 10.1007/s00245-013-9205-5

Cowell, R. (2013). A simple greedy algorithm for reconstructing pedigrees. Theoretical Population Biology, 83(1), pp. 55-63. doi: 10.1016/j.tpb.2012.11.002

Dimitrova, D. S., Haberman, S. & Kaishev, V. K. (2013). Dependent competing risks: Cause elimination and its impact on survival. Insurance: Mathematics and Economics, 53(2), pp. 464-477. doi: 10.1016/j.insmatheco.2013.07.008

Gámiz Pérez, M. L., Janys, L., Martinez-Miranda, M. D. & Nielsen, J. P. (2013). Bandwidth selection in marker dependent kernel hazard estimation. Computational Statistics and Data Analysis, 68, pp. 155-169. doi: 10.1016/j.csda.2013.06.010

Gámiz Pérez, M. L., Martinez-Miranda, M. D. & Nielsen, J. P. (2013). Smoothing survival densities in practice. Computational Statistics and Data Analysis, 58(1), pp. 368-382. doi: 10.1016/j.csda.2012.09.011

Haberman, S., Denuit, M. & Renshaw, A. E. (2013). Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach for modelling and projecting mortality. European Actuarial Journal, 3(1), pp. 191-201. doi: 10.1007/s13385-013-0065-9

Haberman, S. & Renshaw, A. E. (2013). Modelling and projecting mortality improvement rates using a cohort perspective. Insurance: Mathematics and Economics, 53(1), pp. 150-168. doi: 10.1016/j.insmatheco.2013.04.006

Hatzopoulos, P. & Haberman, S. (2013). Common mortality modeling and coherent forecasts. An empirical analysis of worldwide mortality data. Insurance: Mathematics and Economics, 52(2), pp. 320-337. doi: 10.1016/j.insmatheco.2012.12.009

Kaishev, V. K. (2013). Lévy processes induced by Dirichlet (B-) splines: modelling multivariate asset price dynamics. Mathematical Finance, 23(2), pp. 217-247. doi: 10.1111/j.1467-9965.2011.00504.x

Kaishev, V. K., Nielsen, J. P. & Thuring, F. (2013). Optimal customer customer selection for cross-selling of financial services products. Expert Systems with Applications, 40(5), pp. 1748-1757. doi: 10.1016/j.eswa.2012.09.026

Marra, G & Radice, R. ORCID: 0000-0002-6316-3961 (2013). Estimation of a regression spline sample selection model. Computational Statistics & Data Analysis, 61, pp. 158-173. doi: 10.1016/j.csda.2012.12.010

Marra, G., Papageorgiou, G. & Radice, R. ORCID: 0000-0002-6316-3961 (2013). Estimation of a Semiparametric Recursive Bivariate Probit Model with Nonparametric Mixing. Australian & New Zealand Journal of Statistics, 55(3), pp. 321-342. doi: 10.1111/anzs.12043

Marra, G. & Radice, R. ORCID: 0000-0002-6316-3961 (2013). A penalized likelihood estimation approach to semiparametric sample selection binary response modeling. Electronic Journal of Statistics, 7(none), pp. 1432-1455. doi: 10.1214/13-ejs814

Martinez-Miranda, M. D., Nielsen, J. P., Sperlich, S. & Verrall, R. J. (2013). Continuous Chain Ladder: Reformulating and generalizing a classical insurance problem. Expert Systems with Applications, 40(14), pp. 5588-5603. doi: 10.1016/j.eswa.2013.04.006

Martinez-Miranda, M. D., Nielsen, J. P. & Verrall, R. J. (2013). Double Chain Ladder and Bornhuetter-Ferguson. North American Actuarial Journal, 17(2), pp. 101-113. doi: 10.1080/10920277.2013.793158

Mayhew, L. & Smith, D. (2013). A new method of projecting populations based on trends in life expectancy and survival. Population Studies: A Journal of Demography, 67(2), pp. 157-170. doi: 10.1080/00324728.2012.740500

Owadally, I. & Landsman, Z. (2013). A characterization of optimal portfolios under the tail mean-variance criterion. Insurance: Mathematics and Economics, 52(2), pp. 213-221. doi: 10.1016/j.insmatheco.2012.12.004

Spreeuw, J., Nielsen, J. P. & Jarner, S. F. (2013). A nonparametric visual test of mixed hazard models. SORT - Statistics and Operations Research Transactions, 37(2), pp. 153-174.

Spreeuw, J. & Owadally, M. I (2013). Investigating the broken-heart effect: a model for short-term dependence between the remaining lifetimes of joint lives. Annals of Actuarial Science, 7(2), pp. 236-257. doi: 10.1017/s1748499512000292

Tsanakas, A., Wuethrich, M. V. & Černý, A. (2013). Market value margin via mean-variance hedging. ASTIN Bulletin, 43(3), pp. 301-322. doi: 10.1017/asb.2013.18

2012

Bignozzi, Valeria (2012). Contributions to solvency risk measurement. (Unpublished Doctoral thesis, City University London)

Dhaene, J., Tsanakas, A., Valdez, E. A. & Vanduffel, S. (2012). Optimal Capital Allocation Principles. Journal of Risk and Insurance, 79(1), pp. 1-28. doi: 10.1111/j.1539-6975.2011.01408.x

England, P. D., Verrall, R. J. & Wüthrich, M. V. (2012). Bayesian Overdispersed Poisson Model and the Bornhuetter-Ferguson Claim Reserving Method. Annals of Actuarial Science, 6(2), pp. 258-283. doi: 10.1017/s1748499512000012

Harper, G. & Mayhew, L. (2012). Applications of Population Counts Based on Administrative Data at Local Level. Applied Spatial Analysis and Policy, 5(3), pp. 183-209. doi: 10.1007/s12061-011-9062-z

Harper, G. & Mayhew, L. (2012). Using Administrative Data to Count Local Populations. Applied Spatial Analysis and Policy, 5(2), pp. 97-122. doi: 10.1007/s12061-011-9063-y

Jarzabkowski, P., Bednarek, G., Burke, G. & Cabantous, L. (2012). Beyond Borders: Charting the Changing Global Reinsurance Landscape. Cass Business School, City University London.

Landsman, Z. & Tsanakas, A. (2012). Parameter Uncertainty in Exponential Family Tail Estimation. ASTIN Bulletin, 42(1), pp. 123-152. doi: 10.2143/AST.42.1.2160738

Martinez-Miranda, M. D., Nielsen, J. P. & Verrall, R. J. (2012). Double Chain Ladder. ASTIN Bulletin, 42(1), pp. 59-76. doi: 10.2143/AST.42.1.216071

Martinez-Miranda, M. D., Nielsen, J. P. & Wuethrich, M. V. (2012). Statistical modelling and forecasting of outstanding liabilities in non-life insurance. SORT, 36(2), pp. 195-218.

Mayhew, L. ORCID: 0000-0002-0380-1757 (2012). The UK Care Economy: Improving outcomes for carers. UK: Carers UK.

Owadally, I. (2012). An improved closed-form solution for the constrained minimization of the root of a quadratic functional. Journal of Computational and Applied Mathematics, 236(17), pp. 4428-4435. doi: 10.1016/j.cam.2012.04.014

Owadally, M. I (2012). How to get the most from your piggy bank. InBusiness, 17, p. 34.

Sturdy, P., Bremner, S., Harper, G. , Mayhew, L., Eldridge, S., Eversley, J., Sheikh, A., Hunter, S., Boomla, K., Feder, G., Prescott, K. & Griffiths, C. (2012). Impact of asthma on educational attainment in a socioeconomically deprived population: a study linking health, education and social care datasets. PLoS One, 7(11), article number e43977. doi: 10.1371/journal.pone.0043977

Thuring, Fredrik (2012). Multivariate credibility with application to cross-selling financial services products. (Unpublished Doctoral thesis, City University London)

Tsanakas, A. (2012). Modelling: The elephant in the room. The Actuary, 2012(Septem),

Verrall, R. J., Hossjer, O. & Bjorkwall, S. (2012). Modelling Claims Run-off with Reversible Jump Markov Chain Monte Carlo Methods. ASTIN Bulletin, 42(1), pp. 35-58. doi: 10.2143/AST.42.1.2160711

Verrall, R. J. & Wüthrich, M. V. (2012). Reversible jump Markov chain Monte Carlo method for parameter reduction in claims reserving. North American Actuarial Journal, 16(2), pp. 240-259. doi: 10.1080/10920277.2012.10590639

2011

Asimit, A.V., Furman, E., Tang, Q. & Vernic, R. (2011). Asymptotics for risk capital allocations based on Conditional Tail Expectation. Insurance: Mathematics and Economics, 49(3), pp. 310-324. doi: 10.1016/j.insmatheco.2011.05.002

Biffis, E. & Millossovich, P. (2011). Optimal Insurance with Counterparty Default Risk. SSRN.

Bjorkwall, S., Hossjer, O., Ohlsson, E. & Verrall, R. J. (2011). A generalized linear model with smoothing effects for claims reserving. Insurance: Mathematics and Economics, 49(1), pp. 27-37. doi: 10.1016/j.insmatheco.2011.01.012

Cowell, R., Lauritzen, S. L. & Mortera, J. (2011). Probabilistic expert systems for handling artifacts in complex DNA mixtures. Forensic Science International: Genetics, 5(3), pp. 202-209. doi: 10.1016/j.fsigen.2010.03.008

D'Amato, V., di Lorenzo, E., Haberman, S. , Russolillo, M. & Sibillo, M. (2011). The Poisson Log-Bilinear Lee-Carter Model: Applications Of efficient bootstrap methods to annuity analyses. North American Actuarial Journal, 15(2), pp. 315-333. doi: 10.1080/10920277.2011.10597623

Gavranovic, Nedim (2011). Optimal asset allocation and annuitisation in a defined contribution pension scheme. (Unpublished Doctoral thesis, City University London)

Haberman, S., Khalaf-Allah, M.A.E. & Verrall, R. J. (2011). Entropy, longevity and the cost of annuities. Insurance: Mathematics and Economics, 48(2), pp. 197-204. doi: 10.1016/j.insmatheco.2010.10.005

Ignatov, Z. G. & Kaishev, V. K. (2011). Finite Time Non-Ruin Probability Formulae for Erlang Claim Interarrivals and Continuous Interdependent Claim Severities. Stochastics: An International Journal of Probability and Stochastic Processes, 84(4), pp. 461-485. doi: 10.1080/17442508.2011.615932

Mammen, E., Martinez-Miranda, M. D., Nielsen, J. P. & Sperlich, S. (2011). Do-Validation for Kernel Density Estimation. Journal of the American Statistical Association, 106(494), pp. 651-660. doi: 10.1198/jasa.2011.tm08687

Mammen, E., Nielsen, J. P. & Fitzenberger, B. (2011). Generalized linear time series regression. Biometrika, 98(4), pp. 1007-1014. doi: 10.1093/biomet/asr044

Martinez-Miranda, M. D., Nielsen, B., Nielsen, J. P. & Verrall, R. J. (2011). Cash flow simulation for a model of outstanding liabilities based on claim amounts and claim numbers. ASTIN Bulletin, 41(1), pp. 107-129. doi: 10.2143/AST.41.1.2084388

Owadally, I., Haberman, S. & Gomez, D. (2011). A Savings Plan with Targeted Contributions. Journal of Risk and Insurance, 80(4), pp. 975-1000. doi: 10.1111/j.1539-6975.2012.01485.x

Piscopo, G. & Haberman, S. (2011). The valuation of guaranteed lifelong withdrawal benefit options in variable annuity contracts and the impact of mortality risk. North American Actuarial Journal, 15(1), pp. 59-76. doi: 10.1080/10920277.2011.10597609

Russolillo, M., Giordano, G. & Haberman, S. (2011). Extending the Lee Carter Model: a Three-way Decomposition. Scandinavian Actuarial Journal, 2011(2), pp. 96-117. doi: 10.1080/03461231003611933

Sithole, T., Haberman, S. & Verrall, R. J. (2011). Second international comparative study of mortality tables for pension fund retirees. British Actuarial Journal, 17(3), pp. 650-671. doi: 10.1017/s1357321712000207

Verrall, R. J. & Haberman, S. (2011). Automated Graduation using Bayesian Trans-dimensional Models. Annals of Actuarial Science, 5(2), pp. 231-251. doi: 10.1017/s1748499511000248

Wuethrich, M. V., Embrechts, P. & Tsanakas, A. (2011). Risk margin for a non-life insurance run-off. Statistics & Risk Modeling, 28(4), pp. 299-317. doi: 10.1524/strm.2011.1096

2010

Asimit, A.V. & Badescu, A. (2010). Extremes on the discounted aggregate claims in a time dependent risk model. Scandinavian Actuarial Journal, 2010(2), pp. 93-104. doi: 10.1080/03461230802700897

Asimit, A.V., Furman, E. & Vernic, R. (2010). On a multivariate Pareto distribution. Insurance: Mathematics and Economics, 46(2), pp. 308-316. doi: 10.1016/j.insmatheco.2009.11.004

Asimit, A.V., Li, D. & Peng, L. (2010). Pitfalls in using Weibull tailed distributions. Journal of Statistical Planning and Inference, 140(7), pp. 2018-2024. doi: 10.1016/j.jspi.2010.01.039

Bacinello, A.R., Olivieri, A., Millossovich, P. & Pitacco, E. (2010). Variable Annuities: Risk Identification and Risk Assessment (CAREFIN Research Paper No. 14/2010). Milan, Italy: BAFFI CAREFIN, Bocconi University.

Dimitrova, D. S. & Kaishev, V. K. (2010). Optimal joint survival reinsurance: An efficient frontier approach. INSURANCE MATHEMATICS & ECONOMICS, 47(1), pp. 27-35. doi: 10.1016/j.insmatheco.2010.03.006

Gerrard, R. J. G. & Tsanakas, A. (2010). Failure Probability Under Parameter Uncertainty. Risk Analysis, 31(5), pp. 727-744. doi: 10.1111/j.1539-6924.2010.01549.x

Haslip, G. G. & Kaishev, V. K. (2010). Pricing of reinsurance contracts in the presence of catastrophe bonds. ASTIN Bulletin, 40(1), pp. 307-329. doi: 10.2143/ast.40.1.2049231

Jarzabkowski, P., Smets, M. & Spee, A. P. (2010). Trading risks: The value of relationships, models and face-to-face interaction in the global reinsurance market. Aston University.

Kyriakou, I. ORCID: 0000-0001-9592-596X (2010). Efficient valuation of exotic derivatives with path-dependence and early exercise features. (Unpublished Doctoral thesis, City University London)

Liu, H. & Verrall, R. J. (2010). Bootstrap Estimation of the Predictive Distributions of Reserves Using Paid and Incurred Claims. Variance, 4(2), pp. 121-135.

Mayhew, L., Karlsson, M. & Rickayzen, B. D. (2010). The Role of Private Finance in Paying for Long Term Care. Economic Journal, 120(548), F478-F504. doi: 10.1111/j.1468-0297.2010.02388.x

Spreeuw, J. (2010). Relationships Between Archimedean Copulas and Morgenstern Utility Functions. In: Lecture Notes in Statistics: Proceedings of the Workshop Held in Warsaw, 25-26 September 2009. Copula Theory and Its Applications, 25-26 September 2009, Warsaw.

Verrall, R. J. & Liu, H. (2010). Bootstrap Estimation of the Predictive Distributions of Reserves using Paid and Incurred Claims. Paper presented at the ASTIN Colloquium 2008, 13-16 Jul 2008, Manchester, UK.

Verrall, R. J., Nielsen, J. P. & Jessen, A. H. (2010). Prediction of RBNS and IBNR claims using claim amounts and claim counts. ASTIN Bulletin, 40(2), pp. 871-887. doi: 10.2143/AST.40.2.2061139

2009

Cowell, R. (2009). Efficient maximum likelihood pedigree reconstruction. Theoretical Population Biology, 76(4), pp. 285-291. doi: 10.1016/j.tpb.2009.09.002

Cowell, R. (2009). Validation of an STR peak area model. Forensic Science International: Genetics, 3(3), pp. 193-199. doi: 10.1016/j.fsigen.2009.01.006

Haberman, S. & Renshaw, A. E. (2009). On age-period-cohort parametric mortality rate projections. Insurance: Mathematics and Economics, 45(2), pp. 255-270. doi: 10.1016/j.insmatheco.2009.07.006

Kaishev, V. K. & Dimitrova, D. S. (2009). Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options.. Management Science, 55(3), pp. 483-496. doi: 10.1287/mnsc.1080.0953

Linton, O., Nielsen, J. P. & Nielsen, S.F. (2009). Non-parametric regression with a latent time series. ECONOMETRICS JOURNAL, 12(2), pp. 187-207. doi: 10.1111/j.1368-423x.2009.00278.x

Liu, H. & Verrall, R. J. (2009). A Bootstrap Estimate of the Predictive Distribution of Outstanding Claims for the Schnieper Model. ASTIN Bulletin, 39(2), pp. 677-689. doi: 10.2143/ast.39.2.2044653

Mayhew, L. (2009). Increasing longevity and the economic value of healthy ageing and working longer. UK: Pensions Institute.

Mayhew, L. (2009). On the effectiveness of care co-ordination services aimed at preventing hospital admissions and emergency attendances. Health Care Management Science, 12(3), pp. 269-284. doi: 10.1007/s10729-008-9092-5

Mayhew, L., Richardson, J. & Rickayzen, B. D. (2009). A study into the detrimental effects of obesity on life in the UK. Institute and Faculty of Actuaries.

Miranda, M. D. M., Nielsen, J. P. & Sperlich, S. (2009). One Sided Crossvalidation for Density Estimation. In: Gregoriou, G.N. (Ed.), Operational Risk Towards Basel III: Best Practices and Issues in Modeling, Management and Regulation. (pp. 177-196). New Jersey: John Wiley and Sons.

Spreeuw, J. & Karlsson, M. (2009). Time Deductibles as Screening Devices: Competitive Markets. Journal Of Risk And Insurance, 76(2), pp. 261-278. doi: 10.1111/j.1539-6975.2009.01298.x

Tsanakas, A. (2009). To split or not to split: capital allocation with convex risk measures. Insurance: Mathematics and Economics, 44(2), pp. 268-277. doi: 10.1016/j.insmatheco.2008.03.007

Černý, A. (2009). Characterization of the oblique projector U(VU)V-dagger with application to constrained least squares. Linear Algebra and its Applications, 431(9), pp. 1564-1570. doi: 10.1016/j.laa.2009.05.025

2008

Asimit, A.V. & Jones, B. (2008). Asymptotic tail probabilities for large claims reinsurance of a portfolio of dependent risks. ASTIN Bulletin, 38(1), pp. 147-159. doi: 10.2143/ast.38.1.2030407

Asimit, A.V. & Jones, B. (2008). Dependence and the asymptotic behavior of large claims reinsurance. Insurance: Mathematics and Economics, 43(3), pp. 407-411. doi: 10.1016/j.insmatheco.2008.08.007

Butt, Z., Haberman, S., Verrall, R. J. & Wass, V. (2008). Calculating compensation for loss of future earnings: estimating and using work life expectancy. Journal of the Royal Statistical Society: Series A (Statistics in Society), 171(4), pp. 763-805. doi: 10.1111/j.1467-985x.2007.00539.x

Delong, L., Gerrard, R. J. G. & Haberman, S. (2008). Mean-variance optimization problems for an accumulation phase in a defined benefit plan. Insurance: Mathematics and Economics, 42(1), pp. 107-118. doi: 10.1016/j.insmatheco.2007.01.005

Emms, P. & Haberman, S. (2008). Income drawdown schemes for a defined-contribution pension plan. Journal Of Risk And Insurance, 75(3), pp. 739-761. doi: 10.1111/j.1539-6975.2008.00282.x

Hyman, G. & Mayhew, L. ORCID: 0000-0002-0380-1757 (2008). Toll optimisation on river crossings serving large cities. Transportation Research Part A: Policy and Practice, 42(1), pp. 28-47. doi: 10.1016/j.tra.2007.06.011

Jho, J.H. (2008). Heavy tails and dependence with applications in insurance. (Unpublished Doctoral thesis, City, University of London)

Kaishev, V. K., Dimitrova, D. S. & Ignatov, Z. G. (2008). Operational risk and insurance: a ruin probabilistic reserving approach. JOURNAL OF OPERATIONAL RISK, 3(3), pp. 39-60. doi: 10.21314/jop.2008.047

Knight, R. A. (2008). Optimisation methods for staff scheduling and rostering: an employee-friendly approach. (Unpublished Doctoral thesis, City University London)

Kuang, D., Nielsen, B. & Nielsen, J. P. (2008). Identification of the age-period-cohort model and the extended chain-ladder model. Biometrika, 95(4), pp. 979-986. doi: 10.1093/biomet/asn026

Luciano, E., Spreeuw, J. & Vigna, E. (2008). Modelling stochastic mortality for dependent lives. Insurance: Mathematics and Economics, 43(2), pp. 234-244. doi: 10.1016/j.insmatheco.2008.06.005

Tsanakas, A. (2008). Risk measurement in the presence of background risk. Insurance: Mathematics and Economics, 42(2), pp. 520-528. doi: 10.1016/j.insmatheco.2007.01.015

2007

Asimit, A.V. & Jones, B. (2007). Extreme behavior of bivariate elliptical distributions. Insurance: Mathematics and Economics, 41(1), pp. 53-61. doi: 10.1016/j.insmatheco.2006.09.002

Asimit, A.V. & Jones, B. (2007). Extreme behavior of multivariate phase-type distributions. Insurance: Mathematics and Economics, 41(2), pp. 223-233. doi: 10.1016/j.insmatheco.2006.10.016

Basse, T., Friedrich, M., Krampen, B. & Krummaker, S. ORCID: 0000-0003-2471-8175 (2007). Strategisches Asset-Liability Management in der Versicherungswirtschaft — Ein Ansatz zur integrierten Bilanzstrukturoptimierung. Zeitschrift für die gesamte Versicherungswissenschaft, 96(4), pp. 617-648. doi: 10.1007/bf03353552

Dimitrova, D. S. (2007). Dependent risk modelling in (re)insurance and ruin. (Unpublished Doctoral thesis, City University London)

Khalaf-Allah, M.A.E. (2007). Stochastic analysis of longevity and investment risk in the context of life annuities. (Unpublished Doctoral thesis, City University London)

Rickayzen, B. D. (2007). Some actuarial aspects of health insurance. (Unpublished Doctoral thesis, City, University of London)

Tsanakas, A. (2007). Risk measures and economic capital for (re)insurers. In: Everitt, B. & Melnick, E. (Eds.), Encyclopedia of Quantitative Risk Analysis and Assessment. . Wiley.

2006

Gerrard, R. J. G., Haberman, S. & Vigna, E. (2006). The Management of Decumulation Risks in a Defined Contribution Pension Plan. North American Actuarial Journal, 10(1), pp. 84-110. doi: 10.1080/10920277.2006.10596241

Khalil, D. (2006). Dynamic pension funding models. (Unpublished Doctoral thesis, City University London)

Landsman, Z. & Tsanakas, A. (2006). Stochastic ordering of bivariate elliptical distributions. Statistics and Probability Letters, 76(5), pp. 488-494. doi: 10.1016/j.spl.2005.08.016

Tsanakas, A. & Christofides, N. (2006). Risk exchange with distorted probabilities. Astin Bulletin, 36(1), pp. 219-243. doi: 10.2143/ast.36.1.2014150

2005

Tsanakas, A. & Desli, E. (2005). Measurement and Pricing of Risk in Insurance Markets. Risk Analysis, 25(6), pp. 1653-1668. doi: 10.1111/j.1539-6924.2005.00684.x

2004

Berketis, N. G. (2004). Risk-sharing relationships between shipowners and insurers. (Unpublished Doctoral thesis, City, University of London)

Hyman, G. & Mayhew, L. ORCID: 0000-0002-0380-1757 (2004). Advances in travel geometry and urban modelling. Geojournal, 59(3), pp. 191-207. doi: 10.1023/b:gejo.0000026689.48422.96

Mayhew, L. (2004). The Public-Private Split in Health Care Systems. In: MacKellar, L., Andriouchina, E. & Horlacher, D. (Eds.), Policy Pathways to Health in the Russian Federation. (pp. 55-65). Laxenburg, Austria: International Institute for Applied Systems Analysis.

Owadally, M. I & Haberman, S. (2004). Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans. North American Actuarial Journal, 8(1), pp. 21-36. doi: 10.1080/10920277.2004.10596126

Owadally, M. I & Haberman, S. (2004). Reply to discussion on "Efficient gain and loss amortization and optimal funding in pension plans". North American Actuarial Journal, 8(2), pp. 124-125. doi: 10.1080/10920277.2004.10596149

Owadally, M. I & Haberman, S. (2004). The treatment of assets in pension funding. ASTIN Bulletin: Journal of the International Actuarial Association, 34(2), pp. 425-433. doi: 10.2143/ast.34.2.505151

Tsanakas, A. (2004). Dynamic capital allocation with distortion risk measures. Insurance: Mathematics and Economics, 35(2), pp. 223-243. doi: 10.1016/j.insmatheco.2003.09.005

2003

Economou, M. (2003). Stochastic approach to pension funding, allowing for the pension accrual density function. (Unpublished Doctoral thesis, City, University of London)

Mayhew, L. & Carney, J.E. (2003). Evaluating a New Approach for Improving Care in an Accident and Emergency Department: The New Care Project. Cass Business School, City University London.

Owadally, M. I (2003). Pension funding and the actuarial assumption concerning investment returns. ASTIN Bulletin: Journal of the International Actuarial Association, 33(2), pp. 289-312. doi: 10.1017/s0515036100013477

Owadally, M. I & Haberman, S. (2003). Exponential smoothing methods in pension funding. IMA Journal of Management Mathematics, 14(2), pp. 129-143. doi: 10.1093/imaman/14.2.129

Tsanakas, A. & Barnett, C. (2003). Risk capital allocation and cooperative pricing of insurance liabilities. Insurance: Mathematics and Economics, 33(2), pp. 239-254. doi: 10.1016/s0167-6687(03)00137-9

Tsanakas, A. & Desli, E. (2003). Risk measures and theories of choice. British Actuarial Journal, 9(4), pp. 959-991. doi: 10.1017/s1357321700004414

2002

Haberman, S. & Vigna, E. (2002). Optimal investment strategies and risk measures in defined contribution pension schemes. Insurance: Mathematics and Economics, 31(1), pp. 35-69. doi: 10.1016/s0167-6687(02)00128-2

Haberman, S. & Zimbidis, A. (2002). An Investigation of the Pay-As-You-Go Financing Method Using a Contingency Fund and Optimal Control Techniques. North American Actuarial Journal, 6(2), pp. 60-75. doi: 10.1080/10920277.2002.10596044

Hyman, G. & Mayhew, L. ORCID: 0000-0002-0380-1757 (2002). Optimizing the benefits of urban road user charging. Transport Policy, 9(3), pp. 189-207. doi: 10.1016/s0967-070x(02)00012-4

2001

Dankyi, D. K. (2001). Analysis of Life Insurance Lapses and Utility-Maximization of Shareholders’ Expected Profit. (Unpublished Doctoral thesis, City, University of London)

Hyman, G. & Mayhew, L. ORCID: 0000-0002-0380-1757 (2001). Market area analysis under orbital-radial routing with applications to the study of airport location. Computers, Environment and Urban Systems, 25(2), pp. 195-222. doi: 10.1016/s0198-9715(00)00029-6

Mayhew, L. (2001). Japan's Longevity Revolution and the Implications for Health Care Finance and Long-term Care (Interim Report) (IR-01-010/February). International Institute for Applied Systems Analysis (IIASA).

Owadally, M. I & Haberman, S. (2001). Pension plan asset valuation. Pension Forum, 13(1), pp. 51-60.

2000

Alexandrou, G. A. (2000). Wealth and Earnings Implications of Corporate Divestments: An Empirical Analysis of Stock Returns and Analysts’ Forecasts of Earnings. (Unpublished Doctoral thesis, City, University of London)

Hyman, G. & Mayhew, L. ORCID: 0000-0002-0380-1757 (2000). The properties of route catchments in orbital - radial cities. Environment and Planning B: Planning and Design, 27(6), pp. 843-863. doi: 10.1068/b26102

Mayhew, L. (2000). Health and Elderly Care Expenditure in an Aging World (RR-00-21). International Institute for Applied Systems Analysis (IIASA).

Mayhew, L. ORCID: 0000-0002-0380-1757 (2000). Using Geometry to Evaluate Strategic Road Proposals in Orbital-Radial Cities. Urban Studies, 37(13), pp. 2515-2532. doi: 10.1080/00420980020080671

Nurullah, Mohamed (2000). Interface of insurance and banking in European countries. (Unpublished Doctoral thesis, City University, London)

1999

Jung, S. C. (1999). Scale and Scope Economies in the UK Life Assurance Industry. (Unpublished Doctoral thesis, City, University of London)

1998

Owadally, M. (1998). The Dynamics and Control of Pension Funding. (Unpublished Doctoral thesis, City, University of London)

1997

Long, Robert James (1997). A structural analysis of Lloyd's of London. (Unpublished Doctoral thesis, City, University of London)

1995

Ong, A. S. K. (1995). Asset allocation decision models in life insurance. (Unpublished Doctoral thesis, City, University of London)

1993

Eaglestone, F. N. (1993). An improved method of requesting insurance under UK construction contracts. (Unpublished Doctoral thesis, City, University of London)

England, P. D. (1993). Statistical modelling of excess mortality of medically impaired insured lives. (Unpublished Doctoral thesis, City, University of London)

Girardi, B. A. (1993). Bulk sampling: Some strategies for improving quality control in chemical industries. (Unpublished Doctoral thesis, City, University of London)

1983

Hyman, G. M. & Mayhew, L. ORCID: 0000-0002-0380-1757 (1983). On the Geometry of Emergency Service Medical Provision in Cities. Environment and Planning A: Economy and Space, 15(12), pp. 1669-1690. doi: 10.1068/a151669

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