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A Summary of IFRS Convergence: The Role of Stochastic Mortality Models in the Disclosure of Longevity Risk for Defined Benefit Plans
A Summary of IFRS Convergence: The Role of Stochastic Mortality Models in the Disclosure of Longevity ... Longevity Risk for Defined Benefit Plans Traditional pension mathematics assumes that mortality rates are fixed ...- Authors: Siu-Hang Li, Yosuke Fujisawa
- Date: Jan 2010
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Pensions & Retirement>Pension accounting
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Longevity Greeks: What Insurers and Capital Market Investors Should Know About?
three important longevity Greeks on the basis of an extended version of the Lee-Carter model that incorporates ... incorporates stochastic volatility. Hedging;Longevity risk;Stochastic models 6442477636 7/31/2017 12:00:00 ...- Authors: Kenneth Zhou, Siu-Hang Li
- Date: Jul 2017
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Demography>Longevity; Modeling & Statistical Methods>Stochastic models; Pensions & Retirement>Risk management
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Abstract from 2017 Living to 100 International Symposium
three important longevity Greeks on the basis of an extended version of the Lee-Carter model that incorporates ... stochastic volatility. Stochastic models;Longevity risk;Hedging 6442477414 7/11/2017 12:00:00 AM ...- Authors: Kenneth Zhou, Siu-Hang Li
- Date: Jul 2017
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Demography>Longevity; Modeling & Statistical Methods>Stochastic models; Pensions & Retirement>Risk management
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Threshold Life Tables and Their Applications
presentation introduces the Threshold Life Table as a solution to the problem of modeling mortality for ... extreme ages. This method is based on extreme value theory, and it avoids the need to extrapolate beyond an ...- Authors: Siu-Hang Li
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Topics: Modeling & Statistical Methods>Stochastic models