Johnny Li

Professor - Munich Re Chair

Johnny Li
Contact Information:
Johnny Li

Munich Re Chair

Research interests

Professor Li's research interests encompass the fields of stochastic mortality modeling, longevity risk securitization and financial risk management. In particular, he focuses on the technical issues entailed in the development of markets for longevity risk transfers, the measurement of uncertainty involved in estimating future mortality, and the demographic and financial risks associated with products such as reverse mortgages. He also works in the area of actuarial applications in law courts.Mortality assumptions are crucial to many areas of actuarial practice. In recent years, people have been living longer than they were expected to, and this has resulted in huge financial losses in annuity and pension portfolios. Thus actuaries are more concerned than ever before with the levels of uncertainty involved in mortality forecasts. Professor Li has developed a range of stochastic methodologies that incorporate factors such as individual differences, trend changes and exogenous interventions. His models have been applied to data sets, and have been proven to give more realistic measures of uncertainty.

Securitization is increasingly seen as a solution to the problem of mortality-related risks. In 2010, the Life and Longevity Markets Association (LLMA) was established to promote the development of a liquid traded market in longevity and mortality related risk. Professor Li has studied the technical issues involved in the development of such a market. He has contributed a framework for quantifying population basis risk, the risk arising from the difference between the mortality of the hedger’s population and the population to which the hedging instrument is linked. This work won the Annual Prize for the Best Paper Published in the North American Actuarial Journal in 2011. Professor Li also worked on developing tradable mortality indexes. His paper on parametric mortality index construction has won the 2014 SCOR Actuarial Award in Asia.

Professor Li has also investigated a class of contracts called reverse mortgages. In a typical reverse-mortgage contract, the homeowner receives a loan in the form of a lump sum or an annuity. The loan is rolled up with interest until the homeowner dies or moves into long-term care. At that time, the house is sold and the proceeds are used to repay the loan and interest. However, the loan repayment cannot exceed the house sale proceeds. This restriction is called the non-recourse clause or the no-negative-equity-guarantee. A major problem in pricing this guarantee is that the time at which the guarantee is exercised is dependent on the mortality and morbidity of the homeowner. By synthesizing financial engineering techniques and stochastic mortality processes, Professor Li has developed a method to price the guarantee, and to manage the financial and demographic risks associated with the guarantee.

Professor Li has strong ties with legal professionals. His collaborative work with the Department of Professional Legal Education at The University of Hong Kong has resulted in two books (published by Sweet and Maxwell Asia, a Division of Thompson Reuters) about the use actuarial methods in personal injury litigation.


Johnny Li is a Professor of Actuarial Science at the University of Waterloo. He holds a Ph.D. degree in Actuarial Science from the University of Waterloo and is a Fellow of the Society of Actuaries (FSA). He also received B.Sc. and M.Phil. degrees from the University of Hong Kong. He is a Co-Editor of the North American Actuarial Journal (2012-present) and was a member of the board of directors of the Asia-Pacific Risk and Insurance Association (2011-2015).

Professor Li's research interests encompass the fields of stochastic mortality modeling, longevity risk securitization, reverse mortgages, and actuarial applications in law courts. He publishes frequently in journals such as the Journal of Risk and Insurance, Insurance: Mathematics and Economics, the Geneva Paper of Insurance: Issues and Practice, and the North American Actuarial Journal.

Professor Li has made significant research contribution to the area of longevity risk. Part of his paper "Developing Mortality Improvement Formulas: The Canadian Insured Lives Case Study" is used in the Canadian Institute of Actuaries (CIA) Guidance Material #210065. His research in this area has brought him several awards, including the SCOR Actuarial Award in Asia, the Annual Prize for the Best Paper Published in the North American Actuarial Journal, the Asia-Pacific Risk and Insurance Association Harold D. Skipper Best Paper Award, the Society of Actuaries Edward A. Lew Award, and the Actuarial Society of Hong Kong Best Paper Award. He was a co-chair of the Eighth International Longevity Risk and Capital Markets Solutions Conference.

Professor Li is also committed to teaching topics on longevity risk. He developed a new graduate course called "Managing Longevity Risk" at the University of Waterloo, and offered a short-course on longevity risk modeling for practitioners in Europe.

Selected publications

  • Li, J.S.-H., Zhou, K.Q., Zhu, X., Chan, W.S. and Chan, F.W.H. (2019). A Bayesian Approach to Developing a Stochastic Mortality Model for China. Journal of the Royal Statistical Society Series A, 182(4), 1523-1560.
  • Zhou, K.Q. and Li, J.S.-H. (2019). Delta Hedging Longevity Risk under the M7-M5 Two-Population Model: The Impact of Cohort Effect and Population Basis Risk. Insurance: Mathematics and Economics, 84, 1-21.
  • Zhou, R., Pai, J. and Li, J.S.-H. (2019). Pricing Temperature Derivatives with a Filtered Historical Simulation Approach. European Journal of Finance, 25, 1462-1484.
  • Mei, Y., Boyle, P. and Li., J.S.-H. (2019). Improving Risk Sharing and Borrower Incentives in Mortgage Design. North American Actuarial Journal, 23, 485-511.
  • Liu, Y. and Li, J.S.-H. (2019). An Efficient Method for Mitigating Longevity Value-at-Risk. North American Actuarial Journal, DOI: 10.1080/10920277.2019.1658607.
  • Li, J.S.-H., Li, J., Balasooriya, U. and Zhou, K.Q. (2019). Constructing Out-of-the-Money Longevity Hedges Using Parametric Mortality Indexes. North American Actuarial Journal, DOI: 10.1080/10920277.2019.1650285.
  • Zhou, K.Q. and Li, J.S.-H. (2019). Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know? North American Actuarial Journal, DOI: 10.1080/10920277.2019.1650283.
  • Kwong, K.S., Chan, W.S. and Li., J.S.-H. (2019). Actuarial Modeling and Analysis of the Hong Kong Life Annuity Scheme. Asia-Pacific Journal of Risk and Insurance,
  • Li, J., Tickle, L., Tan, C.I., and Li., J.S.-H. (2019). Assessing Basis Risk in Index-Based Longevity Swap Transactions. Annals of Actuarial Science, 13(1), 166-197.