Journal Articles:
Journal Articles:
- Coping with Longevity via Hedging: Fair Dynamic Valuation of Variable Annuities. Insurance: Mathematics and Economics, accpeted. (with Ze Chen, Runhuan Feng, and Tianyu Yang)
- Mitigating Wildfire Losses via Insurance-Linked Securities: Modeling and Risk Management Perspectives. Journal of Risk and Insurance. (with Jianxi Su) https://doi.org/10.1111/jori.12449
- Optimal Longevity Risk Transfer Under Asymmetric Information. Economic Modelling (Volume 120, March 2023, 106179). (with An Chen and Mark Benedikt Schultze) https://doi.org/10.1016/j.econmod.2022.106179
- Enhanced Agriculture Insurance with Climate Forecast. Sustainability, 2022, 14(17), 10617. (with Lanlan Li, Zhengqiao Liu, Jing-Yi Chen, and Yang-Che Wu)
- Collective Longevity Swap: a Novel Longevity Risk Transfer Solution and Its Economic Pricing. Journal of Economic Behavior and Organization, 201, 221-249. (with An Chen and Mark Benedikt Schultze)
- Assessing the Effectiveness of the Actuaries Climate Index for Estimating the Impact of Extreme Weather on Crop Yield and Insurance Applications. Sustainability, 2022, 14(11), 6916. (with Qimeng Pan and Lysa Porth)
- Robust information share measures with an application on the international crude oil markets. Journal of Futures Markets, 42(4), 555-579. (with Yanlin Shi)
- Coherent mortality forecasting for less developed countries. Risks, 9(9), 151. (with Yang Lu and Pintao Lyu)
- Robust Estimates of Insurance Misrepresentation through Kernel Quantile Regression Mixtures. Journal of Risk and Insurance, 88(3), 625 - 663. (with Qifan Song and Jianxi Su)
- Tail Index-Linked Annuity: A Longevity Risk Sharing Retirement Plan. Scandinavian Actuarial Journal, 2022(2), 139-164. (with An Chen and Mark Benedikt Schultze)
- A New Unique Information Share Measure with Applications on Cross-listed Chinese Banks. Journal of Banking and Finance, 2021(128), 106 - 141. (with Yanlin Shi)
- Forecasting Mortality with International Linkages: a Global Vector-Autoregression Approach. Insurance: Mathematics and Economics, 2021(100), 59 - 75. (with Yanlin Shi)
- Mortality Forecasting with an Age-Coherent Sparse VAR Model. Risks 9(2), 35. (with Yanlin Shi)
- Gompertz Law Revisited: Forecasting Mortality with a Multi-factor Exponential Model. Insurance: Mathematics and Economics, 2021(99), 268 - 281. (with Ken Seng Tan, Shripad Tuljapurka, and Wenjun Zhu)
- Improved Index Insurance Design and Yield Estimation using a Dynamic Factor Forecasting Approach. Insurance: Mathematics and Economics 2021(96), 208 - 221. (with Lysa Porth, Ken Seng Tan, and Wenjun Zhu)
- Dynamic Bayesian Ratemaking: A Markov Chain Approximation Approach. North American Actuarial Journal, 25(2), 186 – 205. (with Yang Lu and Wenjun Zhu)
- A Forecast Reconciliation Approach to Cause-of-Death Mortality Modeling. Insurance: Mathematics and Economics, 2019 (86), 122 - 133. (with Han Li, Anastasios Panagiotelis, and Yang Lu)
- Modeling Cause-of-Death Mortality Using Hierarchical Archimedean Copula. Scandinavian Actuarial Journal, 2019(3), 247 - 272. (with Yang Lu)
- A Bayesian Non-parametric Model for Small Population Mortality. Scandinavian Actuarial Journal, 2018(7), 605 - 628. (with Yang Lu)
- Dynamic hedging of longevity risk: the effect of trading frequency. ASTIN Bulletin, 48(1), 197 - 232.
- Modeling and forecasting mortality with economic growth: a multi-population approach. Demography, 54(5), 1921 - 1946. (with Tim J. Boonen)
- Optimizing the Lee-Carter Approach in the presence of structural changes in the time- and age-patterns of mortality improvements. Demography, 54(3), 1073 - 1095. (with Johnny S.H. Li)
- Coherent Forecasting of Mortality Rates: A Sparse Vector-Autoregression Approach. ASTIN Bulletin - The Journal of the International Actuarial Association, 47(2), 563-600. (with Yang Lu)
- Robust Mean-Variance Hedging of Longevity Risk. Journal of Risk and Insurance , 84, 459– 475. (with Anja De Waegenaere and Bertrand Melenberg)
- The Choice of Sample Size for Mortality Forecasting: A Bayesian Learning Approach. Insurance: Mathematics and Economics (with Anja De Waegenaere and Bertrand Melenberg)
Research grants
As Principal Investigator:
As Co-investigator:
As Principal Investigator:
- Climate change and property and casualty insurance: a risk managementperspective. SSHRC Insight Development Grant, 2022 - 2024 (69,623 CAD)
- On a Composite Spatial-Temporal Analysis of Insurance Losses due to Natural Catastrophes Project. The Canadian Institute of Actuaries, 2021 - 2022 (18,700 CAD). (with Jianxi Su)
- Interpretable Random Forests for Risk-informed Modeling in Healthcare Management. Society of Actuaries, 2021 Individual Grant (13,000 USD). (with Qifan Song and Jianxi Su)
- Spatial-Temporal Modeling of Wildfire Losses with Applications in Insurance-Linked Securities Pricing. Casualty Actuarial Society, 2021 (18,000 USD). (with Jianxi Su)
- Stochastic Mortality Modeling and Longevity Risk Management in Multiple-population Context. Nserc Discovery Grants --- Individual, 2020 - 2025 (127,500 CAD).
- Transformation Forests for Auto Insurance Risk Modeling. The Canadian Institute of Actuaries, 2020 - 2021 (16,500 CAD). (with Yang Lu)
- Managing longevity risk in multiple population contexts. University of Manitoba, 2018 - 2021 (75,000 CAD).
- Modeling and Forecasting Chinese Population Dynamics in a Multi-population Context. The Society of Actuaries, 2018 (10,000 USD). (with Yang Lu and Pintao Lyu)
- Institutional Education Grant. The Society of Actuaries, 2018 (5,000 USD) and 2019 (7,500 USD).
- Mortality Forecasting and Longevity Risk Management. Nankai University, 2017 (10,000 CNY).
As Co-investigator:
- Dynamic Bayesian Ratemaking: A Markov Chain Approximation Approach (PI: Yang Lu). The 2018 Individual Grants of the Society of Actuaries, 2018 (17,500 USD).
- Managing Longevity Risk (PI: Anja De Waegenaere). The Netherlands Organization for Scientific Research, 2012 - 2015.