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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 ...- 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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Components of Historical Mortality Improvement Volume 2 − Mortality Rate Modeling and Conclusions
Route B encompasses the newer CMI method (the CMI-17 method), which is documented in the CMI Working Papers ... summarizes the CMI-17 method. Sections 2 and 3 implement and eval- uate the CMI-17 method the U.S. data ...- Authors: Society of Actuaries, Yanxin Liu, Rui Zhou, Siu-Hang Li
- Date: Oct 2017
- Competency: External Forces & Industry Knowledge
- Topics: Experience Studies & Data>Mortality
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A Cautionary Note on Pricing Longevity Index Swaps
A Cautionary Note on Pricing Longevity Index Swaps In December 2007, Goldman Sachs launched a product called ... qx,t1−qx,t = A1(t) + A2(t)x 1995 2000 2005 16.8 17 17.2 17.4 17.6 17.8 18 18.2 18.4 18.6 t ...- Authors: Siu-Hang Li, Rui Zhou
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models
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Longevity Greeks: What Insurers and Capital Market Investors Should Know About?
< 1, then ctf ,2 tends to a constant as t f →∞. 17 Proof. See Appendix D. Our estimated GARCH(1 ... tf2 )− G(Q)1 (xf2 , tf2 )G(Q)2 (xf1 , tf1 ) . (17) It is clear that u(G1,G2)(xf1 , t f 1 ) and u ...- 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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Components of Historical Mortality Improvement Volume 1 — Background and Mortality Improvement Rate Modeling
newer CMI method (thereafter referred to as the CMI-17 method), which is documented in the CMI Working Papers ... Data set (ii) (SSA, ages 20-95, years 1968-2014). 17 4.5 The Impact of Different Age Breakpoints on ...- Authors: Society of Actuaries, Siu-Hang Li, Rui Zhou, Yanxin Liu
- Date: Oct 2017
- Competency: External Forces & Industry Knowledge
- Topics: Experience Studies & Data>Mortality
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Report on Mortality Improvement Scales for Canadian Insured Lives
................................................ 17 3.1 The P-Splines Regression ................. ... ................................................ 17 3.2 The Lee-Carter Model.......................- Authors: Ken Seng Tan, Mary Hardy, Siu-Hang Li
- Date: May 2007
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Demography>Mortality - Demography; Experience Studies & Data>Mortality
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Testing Deterministic versus Stochastic Trends in the Lee-Carter Mortality Indexes and Its Implications for Projecting Mortality Improvements at Advanced Ages
Testing Deterministic versus Stochastic Trends in the Lee-Carter Mortality Indexes and Its Implications ... error, which would be especially important in 17 early years of forecast. Bell (1997) and Lee (2000) ...- Authors: Wai Chan, Siu-Hang Li, SIU HUNG CHEUNG
- Date: Jan 2008
- Topics: Experience Studies & Data>Mortality; Global Perspectives; Modeling & Statistical Methods>Deterministic models; Modeling & Statistical Methods>Stochastic models
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2005 Living to 100 and Beyond Monograph: The Lee-Carter Model for Forecasting Mortality Revisited
2005 Living ... time-series regression, , ^ ),( tt atjde += ω (17) where };LS,TC,IO,AO{=∈ Jj 0),( =tjd for all ... 195.77 Canada 2.6218 2.2318 156.29 134.84 17 TABLE 4 Interval Forecast of the Central Rate ...- Authors: Siu-Hang Li
- Date: Jan 2005
- Competency: External Forces & Industry Knowledge
- Topics: Demography