Edit Profile (opens in new tab) Li, Johnny Siu-Hang Compute Distance To: Compute Author ID: li.johnny-siu-hang Published as: Li, Johnny Siu-Hang; Li, J. S. H.; Li, Johnny S. H.; Li, Johnny S.-H. more...less Documents Indexed: 32 Publications since 2008 1 Contribution as Editor Co-Authors: 26 Co-Authors with 32 Joint Publications 253 Co-Co-Authors all top 5 Co-Authors 1 single-authored 8 Liu, Yanxin 5 Hardy, Mary Rosalyn 5 Ng, Andrew Cheuk-Yin 4 Chan, Wai-Sum 4 Li, Jackie 4 Zhou, Kenneth Q. 4 Zhou, Rui 3 Balasooriya, Uditha 3 Tan, Ken Seng 2 Tan, Chong It 1 Ahmadi, Seyed Saeed 1 Blake, David 1 Boyle, Phelim P. 1 Feng, Ben Mingbin 1 Graziani, George 1 Haid, Jennifer 1 Hall, R. Dale 1 Kailiang, Chen 1 Kaufhold, Kai 1 Liao, Jia 1 Luo, Ancheng 1 MacMinn, Richard D. 1 Mei, Yuchen 1 Pinzur, Laurence 1 Shang, Xiaoyu 1 Wang, Yujiao Serials 14 Insurance Mathematics & Economics 13 North American Actuarial Journal 3 ASTIN Bulletin 2 Mathematics and Computers in Simulation 1 Scandinavian Actuarial Journal Fields 32 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 18 Statistics (62-XX) 5 Probability theory and stochastic processes (60-XX) 2 Partial differential equations (35-XX) 1 General and overarching topics; collections (00-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 26 Publications have been cited 352 times in 196 Documents Cited by ▼ Year ▼ Measuring basis risk involved in longevity hedges. Zbl 1228.91042Li, Johnny Siu-Hang; Hardy, Mary R. 96 2011 Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach. Zbl 1203.91113Li, Johnny Siu-Hang; Hardy, Mary; Tan, Ken Seng 41 2009 Key q-duration: a framework for hedging longevity risk. Zbl 1277.91089Li, Johnny Siu-Hang; Luo, Ancheng 26 2012 A step-by-step guide to building two-population stochastic mortality models. Zbl 1348.91164Li, Johnny Siu-Hang; Zhou, Rui; Hardy, Mary 26 2015 Pricing longevity risk with the parametric bootstrap: a maximum entropy approach. Zbl 1231.91441Li, Johnny Siu-Hang 23 2010 Valuing variable annuity guarantees with the multivariate Esscher transform. Zbl 1228.91044Ng, Andrew Cheuk-Yin; Li, Johnny Siu-Hang 19 2011 Modeling period effects in multi-population mortality models: applications to Solvency II. Zbl 1412.91060Zhou, Rui; Wang, Yujiao; Kaufhold, Kai; Li, Johnny Siu-Hang; Tan, Ken Seng 17 2014 The CBD mortality indexes: modeling and applications. Zbl 1412.91037Chan, Wai-Sum; Li, Johnny Siu-Hang; Li, Jackie 15 2014 Parametric mortality indexes: from index construction to hedging strategies. Zbl 1306.91140Tan, Chong It; Li, Jackie; Li, Johnny Siu-Hang; Balasooriya, Uditha 10 2014 Optimal relativities and transition rules of a bonus-malus system. Zbl 1314.91146Tan, Chong It; Li, Jackie; Li, Johnny Siu-Hang; Balasooriya, Uditha 10 2015 The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk. Zbl 1390.91198Liu, Yanxin; Li, Johnny Siu-Hang 9 2017 Pricing and hedging variable annuity guarantees with multiasset stochastic investment models. Zbl 1412.91052Ng, Andrew Cheuk-Yin; Li, Johnny Siu-Hang 7 2013 A cautionary note on pricing longevity index swaps. Zbl 1286.91142Zhou, Rui; Li, Johnny Siu-Hang 7 2013 Coherent mortality forecasting with generalized linear models: a modified time-transformation approach. Zbl 1306.91067Ahmadi, Seyed Saeed; Li, Johnny Siu-Hang 7 2014 The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds. Zbl 1348.91171Liu, Yanxin; Li, Johnny Siu-Hang 6 2015 Time-simultaneous prediction bands: a new look at the uncertainty involved in forecasting mortality. Zbl 1218.91083Li, Johnny Siu-Hang; Chan, Wai-Sum 6 2011 It’s all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk. Zbl 1371.91103Liu, Yanxin; Li, Johnny Siu-Hang 5 2016 Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk. Zbl 1419.91390Zhou, Kenneth Q.; Li, Johnny Siu-Hang 4 2019 A strategy for hedging risks associated with period and cohort effects using q-forwards. Zbl 1398.91344Liu, Yanxin; Li, Johnny Siu-Hang 4 2018 Longevity risk and capital markets: the 2012–2013 update. Zbl 1458.00030 3 2014 Longevity Greeks: what do insurers and capital market investors need to know? Zbl 1465.91099Zhou, Kenneth Q.; Li, Johnny Siu-Hang 2 2021 An efficient method for mitigating longevity value-at-risk. Zbl 1465.91097Liu, Yanxin; Li, Johnny Siu-Hang 2 2021 Constructing out-of-the-money longevity hedges using parametric mortality indexes. Zbl 1461.91250Li, Johnny Siu-Hang; Li, Jackie; Balasooriya, Uditha; Zhou, Kenneth Q. 2 2021 Modeling old-age mortality risk for the populations of Australia and New Zealand: An extreme value approach. Zbl 1217.62177Li, J. S. H.; Ng, A. C. Y.; Chan, W. S. 2 2011 Drivers of mortality dynamics: identifying age/period/cohort components of historical U.S. mortality improvements. Zbl 1454.91199Li, Johnny S.-H.; Zhou, Rui; Liu, Yanxin; Graziani, George; Hall, R. Dale; Haid, Jennifer; Peterson, Andrew; Pinzur, Laurence 2 2020 The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty. Zbl 1446.91066Li, Johnny Siu-Hang; Liu, Yanxin 1 2020 Longevity Greeks: what do insurers and capital market investors need to know? Zbl 1465.91099Zhou, Kenneth Q.; Li, Johnny Siu-Hang 2 2021 An efficient method for mitigating longevity value-at-risk. Zbl 1465.91097Liu, Yanxin; Li, Johnny Siu-Hang 2 2021 Constructing out-of-the-money longevity hedges using parametric mortality indexes. Zbl 1461.91250Li, Johnny Siu-Hang; Li, Jackie; Balasooriya, Uditha; Zhou, Kenneth Q. 2 2021 Drivers of mortality dynamics: identifying age/period/cohort components of historical U.S. mortality improvements. Zbl 1454.91199Li, Johnny S.-H.; Zhou, Rui; Liu, Yanxin; Graziani, George; Hall, R. Dale; Haid, Jennifer; Peterson, Andrew; Pinzur, Laurence 2 2020 The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty. Zbl 1446.91066Li, 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 1419.91390Zhou, Kenneth Q.; Li, Johnny Siu-Hang 4 2019 A strategy for hedging risks associated with period and cohort effects using q-forwards. Zbl 1398.91344Liu, Yanxin; Li, Johnny Siu-Hang 4 2018 The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk. Zbl 1390.91198Liu, 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 1371.91103Liu, Yanxin; Li, Johnny Siu-Hang 5 2016 A step-by-step guide to building two-population stochastic mortality models. Zbl 1348.91164Li, Johnny Siu-Hang; Zhou, Rui; Hardy, Mary 26 2015 Optimal relativities and transition rules of a bonus-malus system. Zbl 1314.91146Tan, Chong It; Li, Jackie; Li, Johnny Siu-Hang; Balasooriya, Uditha 10 2015 The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds. Zbl 1348.91171Liu, Yanxin; Li, Johnny Siu-Hang 6 2015 Modeling period effects in multi-population mortality models: applications to Solvency II. Zbl 1412.91060Zhou, Rui; Wang, Yujiao; Kaufhold, Kai; Li, Johnny Siu-Hang; Tan, Ken Seng 17 2014 The CBD mortality indexes: modeling and applications. Zbl 1412.91037Chan, Wai-Sum; Li, Johnny Siu-Hang; Li, Jackie 15 2014 Parametric mortality indexes: from index construction to hedging strategies. Zbl 1306.91140Tan, 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 1306.91067Ahmadi, Seyed Saeed; Li, Johnny Siu-Hang 7 2014 Longevity risk and capital markets: the 2012–2013 update. Zbl 1458.00030 3 2014 Pricing and hedging variable annuity guarantees with multiasset stochastic investment models. Zbl 1412.91052Ng, Andrew Cheuk-Yin; Li, Johnny Siu-Hang 7 2013 A cautionary note on pricing longevity index swaps. Zbl 1286.91142Zhou, Rui; Li, Johnny Siu-Hang 7 2013 Key q-duration: a framework for hedging longevity risk. Zbl 1277.91089Li, Johnny Siu-Hang; Luo, Ancheng 26 2012 Measuring basis risk involved in longevity hedges. Zbl 1228.91042Li, Johnny Siu-Hang; Hardy, Mary R. 96 2011 Valuing variable annuity guarantees with the multivariate Esscher transform. Zbl 1228.91044Ng, Andrew Cheuk-Yin; Li, Johnny Siu-Hang 19 2011 Time-simultaneous prediction bands: a new look at the uncertainty involved in forecasting mortality. Zbl 1218.91083Li, 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 1217.62177Li, J. S. H.; Ng, A. C. Y.; Chan, W. S. 2 2011 Pricing longevity risk with the parametric bootstrap: a maximum entropy approach. Zbl 1231.91441Li, Johnny Siu-Hang 23 2010 Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach. Zbl 1203.91113Li, Johnny Siu-Hang; Hardy, Mary; Tan, Ken Seng 41 2009 all cited Publications top 5 cited Publications all top 5 Cited by 291 Authors 20 Li, Johnny Siu-Hang 18 Tsai, Cary Chi-Liang 12 Blake, David 11 Li, Jackie 10 Lin, Tzuling 9 Haberman, Steven 7 Liu, Yanxin 7 Tan, Ken Seng 6 Cairns, Andrew J. G. 6 MacMinn, Richard D. 5 Hunt, Andrew 5 Wang, Chou-Wen 5 Zhou, Kenneth Q. 4 Ahn, Jae Youn 4 Hardy, Mary Rosalyn 4 Li, Hong 4 Regis, Luca 4 Sherris, Michael 4 Shi, Yanlin 4 Yang, Sharon S. 4 Zhou, Rui 3 Balasooriya, Uditha 3 Dowd, Kevin 3 Gan, Guojun 3 Godin, Frédéric 3 Huang, Hong-Chih 3 Jarner, Søren Fiig 3 Jevtić, Petar 3 Millossovich, Pietro 3 Oh, Rosy 3 Tan, Chong It 3 Villegas, Andrés M. 3 Weng, Chengguo 3 Ziveyi, Jonathan 2 Arnold, Séverine 2 Börger, Matthias 2 Bozikas, Apostolos 2 Bravo, Jorge Miguel 2 Chang, Le 2 Chen, An 2 Coughlan, Guy D. 2 D’Amato, Valeria 2 de Jong, Piet 2 Debón, Ana 2 El Karoui, Nicole 2 Feng, Runhuan 2 Forster, Jonathan J. 2 Freimann, Arne 2 Huang, Huaxiong 2 Jallbjørn, Snorre 2 Kim, Joseph Hyun Tae 2 Kleinow, Torsten 2 Kung, Ko-Lun 2 Lee, Hangsuck 2 Li, Cuixiang 2 Li, Wenhan 2 Lin, X. Sheldon 2 Lin, Yijia 2 Liu, Lixia 2 Loisel, Stéphane 2 Lu, Yang 2 Lv, Guiwen 2 McCarthy, David G. 2 Montes, Francisco 2 Park, Sojung Carol 2 Peng, Liang 2 Piscopo, Gabriella 2 Pitselis, Georgios 2 Pitt, David H. 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 Tsai, Chenghsien Jason 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 Zhu, Wenjun 1 Afonso, Lourdes B. 1 Ahmadi, Seyed Saeed 1 Albrecher, Hansjörg 1 Antonio, Katrien 1 Arató, N. Miklós 1 Aro, Helena 1 Augustyniak, Maciej 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 S. ...and 191 more Authors all top 5 Cited in 23 Serials 82 Insurance Mathematics & Economics 40 North American Actuarial Journal 22 ASTIN Bulletin 21 Scandinavian Actuarial Journal 7 European Actuarial Journal 3 Communications in Statistics. Theory and Methods 2 Discrete Dynamics in Nature and Society 2 Advances in Difference Equations 2 Journal of the Korean Statistical Society 1 Journal of Applied Probability 1 Journal of Computational and Applied Mathematics 1 Statistics 1 Communications in Statistics. Simulation and Computation 1 European Journal of Operational Research 1 Journal of Inequalities and Applications 1 Journal of Applied Statistics 1 Communications de la Faculté des Sciences de l’Université d’Ankara. Séries A1. Mathematics and Statistics 1 Probability in the Engineering and Informational Sciences 1 Quantitative Finance 1 Entropy 1 Journal of Forecasting 1 Mathematics and Financial Economics 1 AStA. Advances in Statistical Analysis all top 5 Cited in 17 Fields 190 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 103 Statistics (62-XX) 27 Probability theory and stochastic processes (60-XX) 5 General and overarching topics; collections (00-XX) 4 Systems theory; control (93-XX) 3 Calculus of variations and optimal control; optimization (49-XX) 3 Computer science (68-XX) 3 Biology and other natural sciences (92-XX) 2 Partial differential equations (35-XX) 2 Geophysics (86-XX) 2 Operations research, mathematical programming (90-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Ordinary differential equations (34-XX) 1 Integral transforms, operational calculus (44-XX) 1 Integral equations (45-XX) 1 Operator theory (47-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year