Li, Johnny Siu-Hang; Liu, Yanxin Recent declines in life expectancy: implication on longevity risk hedging. (English) Zbl 1465.91095 Insur. Math. Econ. 99, 376-394 (2021). MSC: 91G05 60H30 35Q91 PDF BibTeX XML Cite \textit{J. S. H. Li} and \textit{Y. Liu}, Insur. Math. Econ. 99, 376--394 (2021; Zbl 1465.91095) Full Text: DOI OpenURL
Li, Johnny Siu-Hang; Li, Jackie; Balasooriya, Uditha; Zhou, Kenneth Q. Constructing out-of-the-money longevity hedges using parametric mortality indexes. (English) Zbl 1461.91250 N. Am. Actuar. J. 25, Suppl. 1, S341-S372 (2021). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{J. S. H. Li} et al., N. Am. Actuar. J. 25, S341--S372 (2021; Zbl 1461.91250) Full Text: DOI OpenURL
Liu, Yanxin; Li, Johnny Siu-Hang An efficient method for mitigating longevity value-at-risk. (English) Zbl 1465.91097 N. Am. Actuar. J. 25, Suppl. 1, S309-S340 (2021). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 PDF BibTeX XML Cite \textit{Y. Liu} and \textit{J. S. H. Li}, N. Am. Actuar. J. 25, S309--S340 (2021; Zbl 1465.91097) Full Text: DOI OpenURL
Zhou, Kenneth Q.; Li, Johnny Siu-Hang Longevity Greeks: what do insurers and capital market investors need to know? (English) Zbl 1465.91099 N. Am. Actuar. J. 25, Suppl. 1, S66-S96 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{K. Q. Zhou} and \textit{J. S. H. Li}, N. Am. Actuar. J. 25, S66--S96 (2021; Zbl 1465.91099) Full Text: DOI OpenURL
Li, Johnny Siu-Hang; Liu, Yanxin The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty. (English) Zbl 1446.91066 Insur. Math. Econ. 93, 1-26 (2020). MSC: 91G05 35K05 35Q92 PDF BibTeX XML Cite \textit{J. S. H. Li} and \textit{Y. Liu}, Insur. Math. Econ. 93, 1--26 (2020; Zbl 1446.91066) Full Text: DOI OpenURL
Mei, Yuchen; Boyle, Phelim; Li, Johnny Siu-Hang Improving risk sharing and borrower incentives in mortgage design. (English) Zbl 1429.91306 N. Am. Actuar. J. 23, No. 4, 485-511 (2019). MSC: 91G15 91G30 91B05 PDF BibTeX XML Cite \textit{Y. Mei} et al., N. Am. Actuar. J. 23, No. 4, 485--511 (2019; Zbl 1429.91306) Full Text: DOI OpenURL
Zhou, Kenneth Q.; Li, Johnny Siu-Hang Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk. (English) Zbl 1419.91390 Insur. Math. Econ. 84, 1-21 (2019). MSC: 91B30 PDF BibTeX XML Cite \textit{K. Q. Zhou} and \textit{J. S. H. Li}, Insur. Math. Econ. 84, 1--21 (2019; Zbl 1419.91390) Full Text: DOI OpenURL
Liu, Yanxin; Li, Johnny Siu-Hang A strategy for hedging risks associated with period and cohort effects using q-forwards. (English) Zbl 1398.91344 Insur. Math. Econ. 78, 267-285 (2018). MSC: 91B30 60H30 60H15 62P05 PDF BibTeX XML Cite \textit{Y. Liu} and \textit{J. S. H. Li}, Insur. Math. Econ. 78, 267--285 (2018; Zbl 1398.91344) Full Text: DOI Link OpenURL
Liu, Yanxin; Li, Johnny Siu-Hang The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk. (English) Zbl 1390.91198 ASTIN Bull. 47, No. 1, 79-151 (2017). MSC: 91B30 62P05 91D20 PDF BibTeX XML Cite \textit{Y. Liu} and \textit{J. S. H. Li}, ASTIN Bull. 47, No. 1, 79--151 (2017; Zbl 1390.91198) Full Text: DOI OpenURL
Liu, Yanxin; Li, Johnny Siu-Hang It’s all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk. (English) Zbl 1371.91103 Insur. Math. Econ. 70, 301-319 (2016). MSC: 91B30 62P05 91D20 PDF BibTeX XML Cite \textit{Y. Liu} and \textit{J. S. H. Li}, Insur. Math. Econ. 70, 301--319 (2016; Zbl 1371.91103) Full Text: DOI OpenURL
Liu, Yanxin; Li, Johnny Siu-Hang The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds. (English) Zbl 1348.91171 Insur. Math. Econ. 64, 135-150 (2015). MSC: 91B30 62P05 91D20 91G20 PDF BibTeX XML Cite \textit{Y. Liu} and \textit{J. S. H. Li}, Insur. Math. Econ. 64, 135--150 (2015; Zbl 1348.91171) Full Text: DOI OpenURL
Li, Johnny Siu-Hang; Zhou, Rui; Hardy, Mary A step-by-step guide to building two-population stochastic mortality models. (English) Zbl 1348.91164 Insur. Math. Econ. 63, 121-134 (2015). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{J. S. H. Li} et al., Insur. Math. Econ. 63, 121--134 (2015; Zbl 1348.91164) Full Text: DOI OpenURL
Zhou, Rui; Wang, Yujiao; Kaufhold, Kai; Li, Johnny Siu-Hang; Tan, Ken Seng Modeling period effects in multi-population mortality models: applications to Solvency II. (English) Zbl 1412.91060 N. Am. Actuar. J. 18, No. 1, 150-167 (2014). MSC: 91B30 62P05 62M20 PDF BibTeX XML Cite \textit{R. Zhou} et al., N. Am. Actuar. J. 18, No. 1, 150--167 (2014; Zbl 1412.91060) Full Text: DOI OpenURL
Blake, David (ed.); MacMinn, Richard (ed.); Li, Johnny Siu-Hang (ed.); Hardy, Mary (ed.) Longevity risk and capital markets: the 2012–2013 update. (English) Zbl 1458.00030 N. Am. Actuar. J. 18, No. 1, 1-13 (2014). MSC: 00B25 91-06 91G05 PDF BibTeX XML Cite \textit{D. Blake} (ed.) et al., N. Am. Actuar. J. 18, No. 1, 1--13 (2014; Zbl 1458.00030) Full Text: DOI OpenURL
Tan, Chong It; Li, Jackie; Li, Johnny Siu-Hang; Balasooriya, Uditha Parametric mortality indexes: from index construction to hedging strategies. (English) Zbl 1306.91140 Insur. Math. Econ. 59, 285-299 (2014). MSC: 91G20 91B30 91D20 91B82 62P05 PDF BibTeX XML Cite \textit{C. I. Tan} et al., Insur. Math. Econ. 59, 285--299 (2014; Zbl 1306.91140) Full Text: DOI OpenURL
Ahmadi, Seyed Saeed; Li, Johnny Siu-Hang Coherent mortality forecasting with generalized linear models: a modified time-transformation approach. (English) Zbl 1306.91067 Insur. Math. Econ. 59, 194-221 (2014). MSC: 91B30 62P05 62J12 91D20 PDF BibTeX XML Cite \textit{S. S. Ahmadi} and \textit{J. S. H. Li}, Insur. Math. Econ. 59, 194--221 (2014; Zbl 1306.91067) Full Text: DOI OpenURL
Ng, Andrew Cheuk-Yin; Li, Johnny Siu-Hang Pricing and hedging variable annuity guarantees with multiasset stochastic investment models. (English) Zbl 1412.91052 N. Am. Actuar. J. 17, No. 1, 41-62 (2013). MSC: 91B30 62P05 62M10 PDF BibTeX XML Cite \textit{A. C. Y. Ng} and \textit{J. S. H. Li}, N. Am. Actuar. J. 17, No. 1, 41--62 (2013; Zbl 1412.91052) Full Text: DOI OpenURL
Li, J. S. H.; Ng, A. C. Y.; Chan, W. S. Modeling old-age mortality risk for the populations of Australia and New Zealand: An extreme value approach. (English) Zbl 1217.62177 Math. Comput. Simul. 81, No. 7, 1325-1333 (2011). MSC: 62P10 91D20 62G32 PDF BibTeX XML Cite \textit{J. S. H. Li} et al., Math. Comput. Simul. 81, No. 7, 1325--1333 (2011; Zbl 1217.62177) Full Text: DOI OpenURL
Li, Johnny Siu-Hang; Hardy, Mary R.; Tan, Ken Seng Threshold life tables and their applications. (English) Zbl 1481.91175 N. Am. Actuar. J. 12, No. 2, 99-115 (2008). MSC: 91G05 60G70 91D20 PDF BibTeX XML Cite \textit{J. S. H. Li} et al., N. Am. Actuar. J. 12, No. 2, 99--115 (2008; Zbl 1481.91175) Full Text: DOI OpenURL