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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 QxX index swap, which is designed to allow market participants to hedge or gain ...- 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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Abstract from 2017 Living to 100 International Symposium
Abstract from 2017 Living to 100 International Symposium In this paper, we derive three important longevity Greeks on the basis of an extended version of the Lee-Carter model that incorporates ...- 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
Threshold Life Tables and Their Applications This presentation introduces the Threshold Life Table as a solution to the problem of modeling mortality for extreme ages. This method is based on ...- 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
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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 for Projecting Mortality Improvements at Advanced Ages In this paper, we investigate the ...- 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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Testing Deterministic versus Stochastic Trends in the Lee-Carter Mortality Indexes and Its Implications for Projecting Mortality Improvements at Advanced Ages Abstract
Testing Deterministic versus Stochastic Trends in the Lee-Carter Mortality Indexes and Its Implications for Projecting Mortality Improvements at Advanced Ages Abstract In this paper, we ...- Authors: Wai Chan, Siu-Hang Li, SIU HUNG CHEUNG
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Experience Studies & Data>Mortality; Global Perspectives; Modeling & Statistical Methods>Deterministic models; Modeling & Statistical Methods>Stochastic models
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Longevity Greeks: What Insurers and Capital Market Investors Should Know About?
Longevity Greeks: What Insurers and Capital Market Investors Should Know About? In this paper, we derive three important longevity Greeks on the basis of an extended version of the Lee-Carter ...- 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