Working Papers

2017

• Dang, O.,  M. Feng and M.R. H (2017) “Efficient Nested Simulation for Conditional Tail Expectation of Variable Annuities”
• Liu, Y. and Li, J.S.-H. (2017). A Strategy for Hedging Risks Associated with Period and Cohort Effects Using q-Forwards. To appear in Insurance: Mathematics and Economics
• Li, H. and Li, J.S.-H. (2017). Optimizing the Sample Period for Stochastic Mortality Models in the Presence of Varying Paces and Age-Patterns of Mortality Decline, Demography, 54(3), 1073-1095.
• Zhang, S. and Li, J.S.-H. (2017). Longevity Risk-Sharing Annuities: Partial Indexation in Mortality Experience. Asia-Pacific Journal of Risk and Insurance 11:1-30.
• Boyle, P. , J.S.-H Li, and Y. Mei (2017) “Improving Risk Sharing and Borrower Incentives in Mortgage Design”, working paper
• Tan, K.S., P. Wei, W. Wei and S. Zhuang. (2017) "Optimal dynamic reinsurance policies under Mean-CVaR - a generalized Denneberg's absolute deviation principle"
• Cui, H., K.S. Tan, F. Yang and C. Zhou (2017) "Asymptotic Analysis of Portfolio Diversification."
• Liu, K., and K.S. Tan (2017) "Real-time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach."
• Boonen, T., K.S. Tan and S. Zhuang. (2017) "Competition for optimal reinsurance contracts with multiple reinsurers."
• Guo, D., Phelim B., Weng, C., Wirjanto, T.S. (2017). When Does The 1/N Rule Work? Available on SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3111531
• Guo, D., Phelim B., Weng, C., Wirjanto, T.S. (2017). Eigen Portfolio Selection: A Robust Approach to Sharpe Ratio Maximization. Available on SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3070416
• Guo, D., Weng, C., Wirjanto, T.S. (2017). Improved global minimum variance portfolio via tail eigenvalues amplification. Available on SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2959808
• Shen, Z., Weng, C. (2017). Pricing bounds and bang-bang analysis of the Polaris variable annuities. Available on SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3056794
• Shen, Z., Liu, Y., Weng, C. (2017). "Nonparametric Inference for VaR, CTE and Expectile with high-order precision."  
• Zhang, J., Tan, K.S., Weng, C. (2017). "Optimal index insurance design." 
• Lin, H., Saunders, D., Weng, C. (2017). "Portfolio optimization with performance ratios,"  submitted
• Xue, X., Wei, P., Weng, C. (2017). "Derivatives trading for insurers." 
• Hardy, M., Saunders, D., and Zhu, X. (2017), "Valuation of a Bermudan DB Underpin Hybrid Pension Benefit," to appear in Scandinavian Actuarial Journal.
• Saunders, D., Tsui, L.K., and Iyengar, S. "Lower Tail Independence of Hitting Times of Two-Dimensional Diffusions",  to appear in Probability in the Engineering and Informational Sciences.
• Bhaduri, R., Djerroud, B., Meng, F., Saunders, D., Seco, L., and Shakourifar, M.  "Fixed-Income Returns from Hedge Funds with Negative Fee Structures: Valuation and Risk Analysis", to appear in Innovations in Insurance, Risk, and Asset Management
• Meng, F., Saunders, D., and Seco, L. (2017) "The Myth of Hedge Fund Fee Diversification."
• Wirjanto, T. S. and A. Zhu, (2017). Implied Volatility Surfaces During the Period of Global Financial Crisis. To appear in International Journal of Financial Engineering.
• Chen, L., A. W. Kolkiewicz and T. S. Wirjanto (2017). The Scaling Property of GARCH Models and Its Use for Capturing Volatility Dependence at Different Time Scales.
• Chan, P. L.(Danny) Chan and T. S. Wirjanto (2017). Pricing Asian Options with Matching by Moments.
• Ng, W. M. and T. S. Wirjanto (2017). Bias in the Estimate of a Mean-Reversion Parameter for a Fractional Ornstein-Uhlenbeck Process.
• Qiutong Wang and Tony S. Wirjanto (2017). Social Networks, Asset Allocation, and Portfolio Diversification.
• Y. H. (Michael) Cheng and T. S. Wirjanto (2017). Pricing Interest Rate Derivatives with Gram-Charlier Expansions.
• Sun, M, F. Tao and T. S. Wirjanto (2017). Discrete-time Portfolio Optimization with Transaction Costs for CRRA Investors..
• Sun, H., Weng, C., Zhang, Y. (2017).”Optimal multivariate quota-share reinsurance: A nonparametric mean-CVaR framework," Insurance: Mathematics and Economics. 72:197-214.

2016

• Kim, J.H.T. and Li, J.S.H. (2016). Risk-Neutral Valuation of the Non-Recourse Protection in Reverse Mortgages: A Case Study for South Korea. Emerging Markets Review, conditionally accepted.
• Zhu, W., K.S. Tan and C. Wang “Modeling Multi-country Longevity Risk with Mortality Dependence: A Leevy Subordinated Hierarchical Archimedean Copulas (LSHAC) Approach," to appear in Journal of Risk and Insurance.
• Zhang, J., Tan, K.S., Weng, C. (2016). "Optimal hedging with basis risk under mean-variance criterion," working paper
• Wu, H., Weng, C., Zeng, Y. "Time-consistent consumption and portfolio decisions with stochastic discount rate and varying utility functions," working paper
• Diao, L.,Weng, C. (2016). "Regression tree credibility model," working paper
• Chi, Y., X.S. Lin, and K.S. Tan (2016) “Optimal Reinsurance Under the Risk-Adjusted Value of an Insurer's Liability and an Economic Reinsurance Premium Principle", working paper
• Hardy, M., Saunders, D., and Zhang, S. (2016) “Updating Wilkie's Economic Scenario Generator for U.S. Applications," working paper.
• Men, Z., D. Mcleish, A.W. Kolkiewicz, and T.S. Wirjanto (2016) “Comparison of asymmetric stochastic volatility models under different correlation structures" Journal Of Applied Statistics Published online: 05 Jul 2016.
• Men, Z., T.S. Wirjanto and A.W. Kolkiewicz, and (2016) “Sampling-based Inference of Time Deformation Models with Heavy Tail Distributions”, Communications in Statistics - Simulation and Computation, 45: 3128–3148.  
• Liu, Y. and Li, J.S.H. (2016). “Its all in the Hidden States: A Hedging Method with an Explicit Measure of Population Basis Risk." Insurance: Mathematics and Economics. 70:301-319
• Memartoluie, A., Saunders, D., and Wirjanto, T. (2016) “Wrong-Way Risk Bounds in Counterparty Credit Risk Management", updated working paper
• Hofert, M., Memartoluie, A., Saunders, D., and Wirjanto, T. (2016) “Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm", working paper
• Zhou, K.Q. and Li, J.S.H. (2016). “Dynamic Longevity Hedging in the Presence of Population Basis Risk: A Feasibility Analysis from Technical and Economic Perspectives." Journal of Risk and Insurance. DOI:10.1111/jori.12158
• Boonen, T., K.S. Tan and S. Zhuang. (2016) “The role of a representative reinsurer in optimal reinsurance", Insurance: Mathematics and Economics. 70:196{204.
• Boyle Phelim P., Shui Feng,  David Melkuev, Shuai Yang   and Johnew Zhang (2016).   “Short Positions and Principal Component Portfolios”, working paper
• Zhao, H.,Weng, C., Shen, Y., Zeng, Y., (2016). "Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models." Science China Mathematics. Doi:10.1007/s11425-015-0542-7
• Zhuang, S.C., T.J. Boonen, K.S. Tan and Z.Q. Xu. (2016) “Optimal insurance in the presence of reinsurance," Scandinavian Actuarial Journal, DOI: 10.1080/03461238.2016.1184710. Published online on 26 May 2016.
• Tan, C.I., Li, J, Li, J.S.H. and Balasooriya, U. (2016) “Stochastic Modelling of the Hybrid Survival Curve." Journal of Population Research 33(4):307-331
• Chen, X., and Saunders, D., and Chadam, J., 2015, “Analysis of an Optimal Stopping Problem Arising in Hedge Fund Investing", working paper.
• Wirjanto, T.S., A.W. Kolkiewicz, and Z. Men (2016) “Bayesian Analysis of a Threshold Stochastic Volatility Model" Journal of Forecasting, 35:462-476.
• Zhu, W., C.Wang, and K.S. Tan. (2016) “Levy Subordinated Hierarchical Archimedean Copula: Theory and Application," Journal of Banking and Finance. 69:20-36.
• Wang Z. and J.S.H. Li (2016) “A DCC-GARCH multi-population mortality model and its applications to pricing catastrophic mortality bonds”, Finance Research Letters 16:103-111.
• Bernard, Carole, Phelim P. Boyle and Jit Seng Chen (2016). "Power Options in Executive Compensation," Journal of Derivatives, 23(3), 9-20.
• Liu, Y. and Li, J.S.H. (2016). “The Locally-Linear Cairns-Blake-Dowd Model: A Note on Delta-Nuga Hedging of Longevity Risk." to appear in ASTIN Bulletin.
• Zhuang, S., Weng, C., Tan, K.S., Assa, H., (2016) “Marginal indemnification function formulation for optimal reinsurance." Insurance: Mathematics and Economics, 67:65-76.
• Zhu, X., Hardy, M., and Saunders, D., 2016, "Liability Driven Dynamic Hedging Strategies for Cash Balance Pension Plans", working paper
• Lin, H., Saunders, D., and Weng, C. (2016) “Optimal Investment Strategy for Participating Insurance Contracts", working paper
• Zhu, X., Hardy, M., and Saunders, D. (2016) “Liability Driven Dynamic Hedging Strategies for Cash Balance Pension Plans", working paper 
• Rosen, D., and Saunders, D. (2016) “Regress under Stress: A Simple Least-Squares Method for Integrating Economic Scenarios with Risk Simulations", Journal of Risk Management in Financial Institutions, 9(4), 121.
• Djerroud, B., Saunders, D., Seco, L., and Shakourifar, M. (2016) “Pricing Shared-Loss Hedge Fund Fee Structures", 19 pages, forthcoming in Challenges in Derivatives Markets, edited by L. Seco and R. Zagst.  
• Chen, X., and Saunders, D., and Chadam, J. (2016) “Analysis of an Optimal Stopping Problem Arising in Hedge Fund Investing", working paper
• MacKay, A., Boyle, P., Hardy, M., and Saunders, D. (2016) “Variable Payout Annuities: How Optimal are Optimal Solutions?", working paper

2015

• Li, J.S.H., A.C.Y. Ng, W.S. Chan (2015) “Managing financial risk in Chinese stock markets: Option pricing and modeling under a multivariate threshold autoregression, International Review of Economics and Finance, 40:217-230

• Chan, W.S., Li, J.S.H., Zhou, K.Q. and Zhou, R. (2015). “Towards a Large and Liquid Longevity Market: A Graphical Population Basis Risk Metric.”Geneva Paper of Risk and Insurance: Issues and Practice.doi:10.1057/gpp.2015.9

• T. J. Boonen, K. S. Tan, S. C. Zhuang, "Price of Reinsurance Bargaining with Monetary Utility Functions (PDF)", working paper.

• C. Weng, S. Zhuang, "CDF Formulation for Solving an Optimal Reinsurance Problem (PDF)", working paper.

• S. C. Zhuang, C. Weng, K. S. Tan, H. Assa, "Marginal Indemnification Formulation for Optimal Reinsurance (PDF)", working paper.

• H. Suny, C. Weng, Y. Zhang, "Optimal Multivariate Quota-share Reinsurance: A Nonparametric Mean-CVaR Framework (PDF)", working paper

• X. Chen, Y. Chi, K. S. Tan, "The design of an optimal retrospective rating plan (PDF)", working paper

• T. J. Boonen, K. S. Tan, S. C. Zhuang, "Optimal Reinsurance with One Insurer and Multiple Reinsurers (PDF)", working paper.

• C. Bernard, C. Czado, “Conditional Quantiles and Tail Dependence (PDF)” 2015, Journal of Multivariate Analysis, 138C, 104-126.

• C. Bernard, M. Denuit, S. Vanduffel, “Value-at-Risk aggregation with partial dependence information.” 2015, working paper.

• C. Bernard and M. Kwak "Semi-static Hedging of Variable Annuities (PDF)," working paper.

• C. Bernard, L. Ruschendorf, S. Vanduffel, J. Yao "How robust is the VaR of credit risk portfolios? (PDF)" 2015, working paper.

• C. Bernard, L. Ruschendorf, S. Vanduffel, R. Wang “Risk bounds for factor models.” working paper under submission.

• C. Bernard, S. Vanduffel, “A new Approach to Assessing Model Risk in High Dimensions (PDF),” 2015, Journal of Banking and Finance, 58, 166-178.

• C. Bernard, S. Vanduffel “Quantiles of a mixture with applications to model risk assessment (PDF)”, under submission.

• A. Mackay, A. Augustiniak, C. Bernard, M. Hardy, “Risk Management of Policyholder Behavior in Equity-Linked Life Insurance (PDF),” 2015, Journal of Risk and Insurance, forthcoming

• K.S. Tan, D. Blake, R. MacMinn, Longevity Risk and Capital Markets: The 2013-14 Update,

  to appear in Insurance: Mathematics & Economics.

2014

• Bernard, C., Denuit, M., and Vanduffel, S. "Measuring portfolio risk under partial dependence information (PDF)"
• Bernard, C., Ruschendorf, L., and Vanduffel, S. "Value-at-risk bounds with variance constraints (PDF)"
• Bernard, C. and Vanduffel, S. "A new approach to assessing model risk in high dimensions (PDF)"
• Han, D., C. Weng, and K.S. Tan "Vine Copula models with GLM and sparsity (PDF)," revised and resubmitted.
• Bernard, C., J. Chen, S. Vanduffel, "Rationalizing investors' choice (PDF)," under review.
• Bernard, C., Moraux, F., Ruschendorf, L., and Vanduffel, S. "Optimal payoffs under state-dependent preferences (PDF)"
• Bernard, C., C. Czado, "Conditional quantiles and tail dependence (PDF)," under review.
• Bernard, C., L. Ruschendorf, S. Vanduffel, J. Yao "How robust is the value-at-risk of credit risk portfolios? (PDF)", under review.
• Bernard, C. and Kwak, M. "Semi-static hedging of variable annuities (PDF)"
• Mackay, A., A. Augustiniak, C. Bernard, M. Hardy, "Risk management of policyholder behavior in equity-linked life insurance (PDF)," under review.
• Bernard, C., M. Kwak, "Dynamic preferences corresponding to popular investment strategies in pension funds (PDF)," to appear in Scandinavian Actuarial Journal.
• Memartoluie, A., Saunders, D., and Wirjanto, T., "Wrong-Way Risk Bounds in Counterparty Credit Risk Management (PDF)," under review.
• Men, Z., Wirjanto, T., and Kolkiewicz, A. "Multiscale stochastic volatility model with heavy tails and leverage effects (PDF)"
• Zhang, M., Kolkiewicz, A., Wirjanto, T., and Li, X. "The impacts of financial crisis on sovereign credit risk analysis in Asia and Europe (PDF)"
• Bernard, C., M.R. Hardy, A. MacKay, (2014) "State-dependent fees for variable annuity guarantees (PDF)," ASTIN Bulletin, 44(3), 559-585.
• Xu, D. and T.S. Wirjanto "On the computation of large portfolio’s VaRs under multivariate GARCH volatility (PDF)," under review. 
• Bernard, C., A. MacKay, M. Muehlbeyer, (2014) "Optimal surrender policy for variable annuity guarantees (PDF)," Insurance: Mathematics and Economics, 55, 116-128.
• Bernard, C., A. Mackay, "Reducing surrender incentives through fee structure in variable annuities (PDF)," book chapter, Forthcoming chapter in "Innovations in Quantitative Risk Management" edited by K. Glau, M. Scherer and R. Zagst.
• Cai, J. and C. Weng. "Optimal reinsurance with expectile (PDF)," under review.
• Weng, C (2014) "Discrete-time CPPI under transaction cost and regime switching (PDF)," under review.
• Boyle, P. (2014) "Positive weights on the efficient frontier (PDF)," under review.
• Bernard, C., X. Jiang and R. Wang (2014) "Risk aggregation with dependence uncertainty (PDF)", Insurance: Mathematics and Economics, 54:93-108.

2013

• Li, J.S.H., R. Zhou, and M.R. Hardy (2013). "A step-by-step guide to building two population stochastic mortality models (PDF)", under review.
• Bernard, C., A. MacKay and M. Muehlbeyer (2013) "Optimal surrender policy for variable annuity guarantees (PDF)", under review.
• Bernard, C., L. Ruschendorf, and S. Vandorf (2013) "Value-at-risk bounds with variance constraints (PDF)," under review.
• Bernard, C. and M. Kwak (post doc at University of Waterloo), "Dynamic preferences for popular investment strategies in pension funds (PDF)", working paper.
• Bernard, C., M. Hardy, A. MacKay, "State-dependent fees for variable annuity guarantees (PDF)", working paper.
• Cong, J. and K.S. Tan (2013). "Optimal VaR-based risk management with reinsurance (PDF)," under review.
• Chan, W.S., Li, J.S.H. and Li, J. (2013). "The CBD mortality indexes: modeling and applications (PDF)". North American Actuarial Journal, under review.
• Zhou, R., Wang, Y., Kaufhold, K., Li, J.S.H. and Tan, K.S. (2013) "Modeling mortality of multiple populations with vector error correction models: applications to solvency II (PDF)". North American Actuarial Journal, under review. 
• Zhou, R., J.S.H. Li and K.S. Tan (2013) "Modeling trades in the life market as Nash bargaining problems: methodology and insights (PDF)", under review.
• Hardy, X., Saunders, D., and Zhu, X., 2013, "Market consistent valuation of cash balance liabilities (PDF)", 25 pages.
• Chengguo Weng, Hanhui Xie, 2013. "Discrete-time constant proportion portfolio insurance under proportional trading cost", working papers.
• Lin, Y., K.S. Tan, R. Tian and J. Yu (2013) "Downside risk management of a defined benefit plan considering longevity basis risk (PDF)", working paper.
• Tan, K.S. and C. Weng. (2013) "Empirical-based approach to optimal reinsurance (PDF)", working paper.
• Chi, Y. and K.S. Tan. (2013) "Optimal reinsurance with general premium principles (PDF)", working paper. 
• Bernard, C., N. McGuillivray, Y. Liu, J. Zhang, (2013) "Bounds on capital requirements for bivariate risk with given marginals and partial information on the dependence (PDF)", Dependence Modelling, 1, 37-53.    
• Redekop, J. and T. S. Wirjanto (2013). "Exploring a two-state Markov-Switching model for option pricing", working paper.
• Xu, D. and T. S. Wirjanto (2013). "Risk measures under stochastic volatility model with mixture-of-normal error distributions," working paper.
• Cheng, Y-H. and T. S. Wirjanto (2013). "Pricing financial derivatives by Gram-Charlier expansions", working paper.
• Choi, Y, and T. S. Wirjanto (2013) "A simple model of the nominal term structure of interest rates", working paper.
• Huang, W., C. Weng, and Y. Zhang (2013). "Multivariate risk models under heavy-tailed risks (PDF)", Applied Stochastic Models in Business and Industry, in press.
• Zhang, Min (July), Adam W. Kolkiewicz, Tony S. Wirjanto and Xindan Li (2013). "The impacts of financial crisis on sovereign credit risk in Asia and Europe", working paper.
• Memartoluie, A., D. Saunders and T. S. Wirjanto (2013). "Worst-case copulas, mass transportation and wrong-way risk in counterparty credit risk management (PDF)", working paper.
• Tao, F. and T. S. Wirjanto (2013). "Discrete-time portfolio optimization with transaction costs", working paper.
• Jianfa Cong, Ken Seng Tan, Chengguo Weng (2013). "CVaR-based optimal partial hedging (PDF)", The Journal of Risk, to appear.
• Lysa Porth, Ken Seng Tan, Chengguo Weng (2013). "Optimal reinsurance analysis from a crop insurer's perspective (PDF)", Agricultural Finance Review, to appear.
• Cong, J. K.S. Tan and C. Weng. "VaR-based optimal partial hedging (PDF)", to appear in Astin Bulletin.
• C. Bernard, E. Brechmann, C. Czado (Technische Universitat Munchen, Germany) "Statistical assessments of systemic risk measures (PDF)", 2013, Chapter in the handbook on systemic risk edited by J.P. Fouque and J. Langsam. 
• C. Bernard, S. Vanduffel (Vrije Universiteit Brussels) "Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection (PDF)", to appear in European Journal of Operational Research, 2013.
• Zhou, R., J.S.H. Li and K.S. Tan "Pricing mortality risk: A two-population model with transitory jump effects (PDF)," to appear in Journal of Risk and Insurance.
• Zhou, R., J.S.H. Li and K.S. Tan "Economic pricing of mortality-linked securities: a Tâtonnement approach (PDF)", to appear in Journal of Risk and Insurance.
• Chengguo Weng (2013). "Constant proportion portfolio insurance under regime switching exponential Levy process (PDF)", to appear in Insurance: Mathematics and Economics
• Ng, A.C.Y. and Li, J.S.H. (2013) "Pricing and hedging variable annuity guarantees with multi-asset stochastic investment models (PDF)." North American Actuarial Journal, 17, 41-62.
• Yichun Chi, Chengguo Weng (2013). "Optimal reinsurance subject to Vajda condition (PDF)", Insurance: Mathematics and Economics 53 (1), 179-189.
• Saunders, D., Seco, L., Vogt, C., and Zagst, R. (2013). "A Fund of Hedge Funds under Regime Switching", Journal of Alternative Investments, 15(4), 8–23.