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Li, Johnny Siu-Hang

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Author ID: li.johnny-siu-hang Recent zbMATH articles by "Li, Johnny Siu-Hang"
Published as: Li, Johnny Siu-Hang; Li, J. S. H.; Li, Johnny S.-H.
Documents Indexed: 29 Publications since 2009

Publications by Year

Citations contained in zbMATH Open

25 Publications have been cited 304 times in 163 Documents Cited by Year
Measuring basis risk involved in longevity hedges. Zbl 1228.91042
Li, Johnny Siu-Hang; Hardy, Mary R.
82
2011
Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach. Zbl 1203.91113
Li, Johnny Siu-Hang; Hardy, Mary; Tan, Ken Seng
34
2009
Key q-duration: a framework for hedging longevity risk. Zbl 1277.91089
Li, Johnny Siu-Hang; Luo, Ancheng
25
2012
Pricing longevity risk with the parametric bootstrap: a maximum entropy approach. Zbl 1231.91441
Li, Johnny Siu-Hang
22
2010
A step-by-step guide to building two-population stochastic mortality models. Zbl 1348.91164
Li, Johnny Siu-Hang; Zhou, Rui; Hardy, Mary
21
2015
The CBD mortality indexes: modeling and applications. Zbl 1412.91037
Chan, Wai-Sum; Li, Johnny Siu-Hang; Li, Jackie
15
2014
Valuing variable annuity guarantees with the multivariate Esscher transform. Zbl 1228.91044
Ng, Andrew Cheuk-Yin; Li, Johnny Siu-Hang
14
2011
Modeling period effects in multi-population mortality models: applications to Solvency II. Zbl 1412.91060
Zhou, Rui; Wang, Yujiao; Kaufhold, Kai; Li, Johnny Siu-Hang; Tan, Ken Seng
13
2014
Parametric mortality indexes: from index construction to hedging strategies. Zbl 1306.91140
Tan, Chong It; Li, Jackie; Li, Johnny Siu-Hang; Balasooriya, Uditha
10
2014
The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk. Zbl 1390.91198
Liu, Yanxin; Li, Johnny Siu-Hang
9
2017
Optimal relativities and transition rules of a bonus-malus system. Zbl 1314.91146
Tan, Chong It; Li, Jackie; Li, Johnny Siu-Hang; Balasooriya, Uditha
8
2015
Coherent mortality forecasting with generalized linear models: a modified time-transformation approach. Zbl 1306.91067
Ahmadi, Seyed Saeed; Li, Johnny Siu-Hang
7
2014
A cautionary note on pricing longevity index swaps. Zbl 1286.91142
Zhou, Rui; Li, Johnny Siu-Hang
7
2013
Time-simultaneous prediction bands: a new look at the uncertainty involved in forecasting mortality. Zbl 1218.91083
Li, Johnny Siu-Hang; Chan, Wai-Sum
6
2011
Pricing and hedging variable annuity guarantees with multiasset stochastic investment models. Zbl 1412.91052
Ng, Andrew Cheuk-Yin; Li, Johnny Siu-Hang
5
2013
It’s all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk. Zbl 1371.91103
Liu, Yanxin; Li, Johnny Siu-Hang
5
2016
A strategy for hedging risks associated with period and cohort effects using q-forwards. Zbl 1398.91344
Liu, Yanxin; Li, Johnny Siu-Hang
4
2018
The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds. Zbl 1348.91171
Liu, Yanxin; Li, Johnny Siu-Hang
4
2015
Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk. Zbl 1419.91390
Zhou, Kenneth Q.; Li, Johnny Siu-Hang
3
2019
Longevity risk and capital markets: the 2012–2013 update. Zbl 1458.00030
Blake, David (ed.); MacMinn, Richard (ed.); Li, Johnny Siu-Hang (ed.); Hardy, Mary (ed.)
3
2014
Modeling old-age mortality risk for the populations of Australia and New Zealand: An extreme value approach. Zbl 1217.62177
Li, J. S. H.; Ng, A. C. Y.; Chan, W. S.
2
2011
An efficient method for mitigating longevity value-at-risk. Zbl 1465.91097
Liu, Yanxin; Li, Johnny Siu-Hang
2
2021
The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty. Zbl 1446.91066
Li, Johnny Siu-Hang; Liu, Yanxin
1
2020
Longevity Greeks: what do insurers and capital market investors need to know? Zbl 1465.91099
Zhou, Kenneth Q.; Li, Johnny Siu-Hang
1
2021
Constructing out-of-the-money longevity hedges using parametric mortality indexes. Zbl 1461.91250
Li, Johnny Siu-Hang; Li, Jackie; Balasooriya, Uditha; Zhou, Kenneth Q.
1
2021
An efficient method for mitigating longevity value-at-risk. Zbl 1465.91097
Liu, Yanxin; Li, Johnny Siu-Hang
2
2021
Longevity Greeks: what do insurers and capital market investors need to know? Zbl 1465.91099
Zhou, Kenneth Q.; Li, Johnny Siu-Hang
1
2021
Constructing out-of-the-money longevity hedges using parametric mortality indexes. Zbl 1461.91250
Li, Johnny Siu-Hang; Li, Jackie; Balasooriya, Uditha; Zhou, Kenneth Q.
1
2021
The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty. Zbl 1446.91066
Li, Johnny Siu-Hang; Liu, Yanxin
1
2020
Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk. Zbl 1419.91390
Zhou, Kenneth Q.; Li, Johnny Siu-Hang
3
2019
A strategy for hedging risks associated with period and cohort effects using q-forwards. Zbl 1398.91344
Liu, Yanxin; Li, Johnny Siu-Hang
4
2018
The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk. Zbl 1390.91198
Liu, Yanxin; Li, Johnny Siu-Hang
9
2017
It’s all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk. Zbl 1371.91103
Liu, Yanxin; Li, Johnny Siu-Hang
5
2016
A step-by-step guide to building two-population stochastic mortality models. Zbl 1348.91164
Li, Johnny Siu-Hang; Zhou, Rui; Hardy, Mary
21
2015
Optimal relativities and transition rules of a bonus-malus system. Zbl 1314.91146
Tan, Chong It; Li, Jackie; Li, Johnny Siu-Hang; Balasooriya, Uditha
8
2015
The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds. Zbl 1348.91171
Liu, Yanxin; Li, Johnny Siu-Hang
4
2015
The CBD mortality indexes: modeling and applications. Zbl 1412.91037
Chan, Wai-Sum; Li, Johnny Siu-Hang; Li, Jackie
15
2014
Modeling period effects in multi-population mortality models: applications to Solvency II. Zbl 1412.91060
Zhou, Rui; Wang, Yujiao; Kaufhold, Kai; Li, Johnny Siu-Hang; Tan, Ken Seng
13
2014
Parametric mortality indexes: from index construction to hedging strategies. Zbl 1306.91140
Tan, Chong It; Li, Jackie; Li, Johnny Siu-Hang; Balasooriya, Uditha
10
2014
Coherent mortality forecasting with generalized linear models: a modified time-transformation approach. Zbl 1306.91067
Ahmadi, Seyed Saeed; Li, Johnny Siu-Hang
7
2014
Longevity risk and capital markets: the 2012–2013 update. Zbl 1458.00030
Blake, David; MacMinn, Richard; Li, Johnny Siu-Hang; Hardy, Mary
3
2014
A cautionary note on pricing longevity index swaps. Zbl 1286.91142
Zhou, Rui; Li, Johnny Siu-Hang
7
2013
Pricing and hedging variable annuity guarantees with multiasset stochastic investment models. Zbl 1412.91052
Ng, Andrew Cheuk-Yin; Li, Johnny Siu-Hang
5
2013
Key q-duration: a framework for hedging longevity risk. Zbl 1277.91089
Li, Johnny Siu-Hang; Luo, Ancheng
25
2012
Measuring basis risk involved in longevity hedges. Zbl 1228.91042
Li, Johnny Siu-Hang; Hardy, Mary R.
82
2011
Valuing variable annuity guarantees with the multivariate Esscher transform. Zbl 1228.91044
Ng, Andrew Cheuk-Yin; Li, Johnny Siu-Hang
14
2011
Time-simultaneous prediction bands: a new look at the uncertainty involved in forecasting mortality. Zbl 1218.91083
Li, Johnny Siu-Hang; Chan, Wai-Sum
6
2011
Modeling old-age mortality risk for the populations of Australia and New Zealand: An extreme value approach. Zbl 1217.62177
Li, J. S. H.; Ng, A. C. Y.; Chan, W. S.
2
2011
Pricing longevity risk with the parametric bootstrap: a maximum entropy approach. Zbl 1231.91441
Li, Johnny Siu-Hang
22
2010
Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach. Zbl 1203.91113
Li, Johnny Siu-Hang; Hardy, Mary; Tan, Ken Seng
34
2009
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Cited by 244 Authors

19 Li, Johnny Siu-Hang
16 Tsai, Cary Chi-Liang
12 Blake, David
9 Li, Jackie Ji
9 Lin, Tzuling
8 Haberman, Steven
7 Liu, Yanxin
6 Cairns, Andrew J. G.
5 Hunt, Andrew
5 MacMinn, Richard D.
5 Tan, Ken Seng
5 Wang, Chou-Wen
4 Hardy, Mary R.
4 Zhou, Rui
3 Ahn, Jae Youn
3 Balasooriya, Uditha
3 Dowd, Kevin
3 Millossovich, Pietro
3 Regis, Luca
3 Sherris, Michael
3 Tan, Chong It
3 Yang, Sharon S.
3 Zhou, Kenneth Q.
2 Arnold, Séverine
2 Börger, Matthias
2 Bravo, Jorge Miguel
2 Chen, An
2 Coughlan, Guy D.
2 D’Amato, Valeria
2 de Jong, Piet
2 Debón, Ana
2 El Karoui, Nicole
2 Forster, Jonathan J.
2 Gan, Guojun
2 Godin, Frédéric
2 Huang, Hong-Chih
2 Huang, Huaxiong
2 Jarner, Søren Fiig
2 Jevtić, Petar
2 Kleinow, Torsten
2 Lin, Yijia
2 Loisel, Stéphane
2 McCarthy, David G.
2 Montes, Francisco
2 Oh, Rosy
2 Park, Sojung Carol
2 Peng, Liang
2 Piscopo, Gabriella
2 Rach, Manuel
2 Russolillo, Maria
2 Smith, Peter W. F.
2 Tang, Sixian
2 Tian, Ruilin
2 Tickle, Leonie
2 Trapani, Lorenzo
2 Trottier, Denis-Alexandre
2 Villegas, Andrés M.
2 Wang, Jennifer L.
2 Wang, Po-Lin
2 Wu, Adelaide Di
2 Wu, Lan
2 Xu, Jianhui
2 Yang, Shuai
2 Yue, Jack C.
2 Ziveyi, Jonathan
1 Afonso, Lourdes B.
1 Ahmadi, Seyed Saeed
1 Antonio, Katrien
1 Arató, N. Miklós
1 Aro, Helena
1 Ayuso, Mercedes
1 Bahl, Raj Kumari
1 Bao, Zhenhua
1 Bardoutsos, Anastasios G.
1 Barrieu, Pauline M.
1 Bauer, Daniel J.
1 Bebbington, Mark
1 Biagini, Francesca
1 Bijak, Jakub
1 Bozikas, Apostolos
1 Bruszas, Sandy
1 Cai, Ru
1 Carbonneau, Alexandre
1 Cardoso, Rui M. R.
1 Chan, Kung-Sik
1 Chan, Wai-Sum
1 Chang, Le
1 Chen, Hua
1 Chen, Ree Yongqing
1 Cheng, Echo Sihan
1 Chiu, Mei Choi
1 Christiansen, Marcus Christian
1 Csaba Ágoston, Kolos
1 Da Fonseca, José
1 Dal, Luc
1 Danesi, Ivan Luciano
1 Dang, Ou
1 De Rosa, Clemente
1 Denuit, Michel M.
1 Dodd, Erengul
...and 144 more Authors

Citations by Year