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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), 154. doi: 10.3390/risks10080154

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, 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,

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, 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, doi: 10.1007/s13385-022-00318-0

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, 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), 2.

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

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, doi: 10.1007/s13385-022-00304-6

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. .

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, doi: 10.1007/s10618-022-00841-4

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, 107550. doi: 10.1016/j.csda.2022.107550

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, doi: 10.1111/rssc.12559

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,

Spreeuw, J. ORCID: 0000-0002-5838-9085 (2022). The Copula Derived from the SAHARA Utility Function. Risks, 10(7), 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), 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, doi: 10.1017/asb.2022.12

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, doi: 10.1109/ACCESS.2022.3158936

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, 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), 20.. doi: 10.3390/risks9010020

Barigou, K., Bignozzi, V. & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2021). Insurance valuation: A two-step generalised regression approach. Astin Bulletin: The Journal of the ASTIN and AFIR Sections of the International Actuarial Association, pp. 1-35. doi: 10.1017/asb.2021.31

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), 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, 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), 2260. doi: 10.3390/math9182260

Jang, C., Clare, A. ORCID: 0000-0002-4180-6778 & Owadally, I. ORCID: 0000-0002-0830-3554 (2021). Glide paths for a retirement plan with deferred annuities. Journal of Pension Economics and Finance, doi: 10.1017/S1474747221000251

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), 620.. doi: 10.3390/math9060620

Lindholm, M., Richman, R., Tsanakas, A. ORCID: 0000-0003-4552-5532 & Wüthrich, M. V. (2021). Discrimination-free insurance pricing. Astin Bulletin: The Journal of the ASTIN and AFIR Sections of the International Actuarial Association, doi: 10.1017/asb.2021.23

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, 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. .

Millossovich, P. ORCID: 0000-0001-8269-7507, Tsanakas, A. ORCID: 0000-0003-4552-5532 & Wang, R. (2021). A theory of multivariate stress testing. .

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), 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, 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, 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, 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, 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, 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, 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), 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. .

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

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), 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, 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), 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,

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.

Bryce, C. ORCID: 0000-0002-9856-7851, Dowling, M. & Lucey, B. (2020). The Journal Quality Perception Gap. Research Policy, 49(5), 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, 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, 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, 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, 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, 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), 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, 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, 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, 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, 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, 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, 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), 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, 104757.. doi: 10.1016/j.eneco.2020.104757

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, 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, 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, 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, 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, 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,

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, 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,

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, 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, 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, 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, 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, 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, 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, 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, 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, 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, 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), 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, 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, 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, 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, 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, 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. & 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. ORCID: 0000-0002-7706-0066, 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, 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, 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), 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, 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), 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, 19, 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(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, 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), 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), 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, 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.

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

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

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, 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, 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), 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. .

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. (2017). Income Uncertainty and the Decision to Invest in Bulk Shipping. European Financial Management, doi: 10.1111/eufm.12132

Lee, Y. K., Mammen, E., Nielsen, J. P. & 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, 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, 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.

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(1), 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), 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, 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. & 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, 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), 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. 627-637. 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, 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, 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), 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), 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, 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.

Asanga, S., Asimit, A.V., Badescu, A. & Haberman, S. (2014). Portfolio Optimization under Solvency Constraints: A Dynamical Approach. North American Actuarial Journal, 18(3), pp. 394-416. doi: 10.1080/10920277.2014.910127

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), 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, 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-E4S917

D'Amato, V., Haberman, S., Piscopo, G. & Russolillo, M. (2014). Computational framework for longevity risk management. Computational Management Science, 11(1), 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, 510531. 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, 521074 - ?. 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, 240435.. doi: 10.1155/2014/240435

Kim, E-S. & Glass, C. (2014). Perfect periodic scheduling for three basic cycles. Journal of Scheduling, 17(1), pp. 47-55. 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), 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, 347043. 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(03), 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, 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, 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

Hatzopoulos, P. & Haberman, S. (2013). Common mortality modelling and coherent forecasts. An empirical analysis of worldwide mortality data. Insurance: Mathematics and Economics, 52(2), pp. 320-337. doi: 10.1016/j.insmatheco.2013.10.009

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, 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.

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), 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,

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.

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.

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(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), 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, 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. Paper presented at the 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.

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, 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),

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)

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

Kaishev, V. K., Dimitrova, D. S., Haberman, S. & Verrall, R. J. (2006). Geometrically Designed, Variable Knot Regression Splines: Asymptotics and Inference (Statistical Research Paper No. 28). Cass Business School, City University, London.

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.1539-6925.2005.00684.x

2004

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

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

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

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)

1997

Long, Robert James (1997). A structural analysis of Lloyd's of London. (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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