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Asimit, V. ORCID: 0000-0002-7706-0066, Kyriakou, I.
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Robust Classification via Support Vector Machines.
Risks, 10(8),
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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,
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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.
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Technical Note - On Matrix Exponential Differentiation with Application to Weighted Sum Distributions.
Operations Research,
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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,
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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,
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England, R., Owadally, I. ORCID: 0000-0002-0830-3554 & Wright, D.
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An Agent-Based Model of Motor Insurance Customer Behaviour in the UK with Word of Mouth.
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An impossibility theorem on capital allocation.
Scandinavian Actuarial Journal,
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Kyriakou, I. ORCID: 0000-0001-9592-596X & Tsanakas, A.
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Efficient evaluation of alternative reinsurance strategies using control variates.
European Actuarial Journal,
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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.
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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,
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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,
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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,
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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),
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Spreeuw, J. ORCID: 0000-0002-5838-9085, Owadally, I.
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Projecting mortality rates using a Markov chain.
Mathematics, 10(7),
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Tsanakas, A. ORCID: 0000-0003-4552-5532 & Zhu, R.
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Selecting bivariate copula models using image recognition.
Astin Bulletin,
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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,
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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,
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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),
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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.
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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,
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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,
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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.
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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),
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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,
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Guan, Y., Tsanakas, A. ORCID: 0000-0003-4552-5532 & Wang, R. (2021).
An impossibility theorem on capital allocation.
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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),
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Isakson, A., Krummaker, S. ORCID: 0000-0003-2471-8175, Martinez-Miranda, M. D. & Rickayzen, B. D.
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Calendar Effect and In-Sample Forecasting Applied to Mesothelioma Mortality Data.
Mathematics, 9(18),
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Jang, C., Clare, A. ORCID: 0000-0002-4180-6778 & Owadally, I.
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Glide paths for a retirement plan with deferred annuities.
Journal of Pension Economics and Finance,
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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),
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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,
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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,
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Makam, V. D., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A.
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Sensitivity analysis with χ2-divergences.
Insurance: Mathematics and Economics, 100,
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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),
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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.
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Millossovich, P. ORCID: 0000-0001-8269-7507, Tsanakas, A.
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A theory of multivariate stress testing.
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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,
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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),
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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),
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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,
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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),
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Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A.
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Cascade sensitivity measures.
Risk Analysis: an international journal,
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Renshaw, A. E. & Haberman, S. ORCID: 0000-0003-2269-9759 (2021).
Modelling and forecasting mortality improvement rates with random effects.
European Actuarial Journal,
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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,
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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,
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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),
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Tsanakas, A. ORCID: 0000-0003-4552-5532 & Zhu, R.
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Copula model selection using image recognition.
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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,
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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,
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Asimit, V. ORCID: 0000-0002-7706-0066, Kyriakou, I.
ORCID: 0000-0001-9592-596X & Nielsen, J. P.
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Special Issue “Machine Learning in Insurance”.
Risks, 8(2),
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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.
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Risk management of climate impact for tourism operators: An empirical analysis on ski resorts.
Tourism Management, 77,
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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),
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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),
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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.
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Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models.
Insurance: Mathematics and Economics, 96,
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Bryce, C. ORCID: 0000-0002-9856-7851, Dowling, M. & Lucey, B. (2020).
The Journal Quality Perception Gap.
Research Policy, 49(5),
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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,
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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,
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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),
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Dong, Y., Huang, F., Yu, H. & Haberman, S. ORCID: 0000-0003-2269-9759 (2020).
Multi-population mortality forecasting using tensor decomposition.
Scandinavian Actuarial Journal,
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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),
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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,
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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,
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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,
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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),
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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),
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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,
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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,
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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),
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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,
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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,
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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,
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Sendstad, L. H. & Chronopoulos, M. ORCID: 0000-0002-3858-2021 (2020).
Sequential investment in renewable energy technologies under policy uncertainty.
Energy Policy, 137,
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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,
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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),
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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,
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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,
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Zhu, R. ORCID: 0000-0002-9944-0369 & Wüthrich, M. V. (2020).
Clustering driving styles via image processing.
Annals of Actuarial Science,
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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,
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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,
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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,
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Asimit, A.V. ORCID: 0000-0002-7706-0066, Hu, J. & Xie, Y. (2019).
Optimal Robust Insurance with a Finite Uncertainty Set.
Insurance: Mathematics and Economics, 87,
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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,
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