Rui Zhou

Rui Zhou
University of Manitoba | UMN · Warren Centre for Actuarial Studies and Research

About

14
Publications
837
Reads
How we measure 'reads'
A 'read' is counted each time someone views a publication summary (such as the title, abstract, and list of authors), clicks on a figure, or views or downloads the full-text. Learn more
322
Citations
Citations since 2016
6 Research Items
267 Citations
20162017201820192020202120220204060
20162017201820192020202120220204060
20162017201820192020202120220204060
20162017201820192020202120220204060
Introduction
Skills and Expertise

Publications

Publications (14)
Article
Full-text available
Imported goods create value in destination countries but also create biosecurity risk. Although widely used in other domains of the economy, risk markets have not been created to manage losses that occur when exotic pests and diseases are introduced with traded goods. In this article we show that not all biosecurity risks are insurable. Losses aris...
Article
The goal of this article is to obtain an age/period/cohort (A/P/C) decomposition of historical U.S. mortality improvement. Two different routes to achieving this goal are considered. In the first route, the desired components are obtained by fitting an A/P/C model directly to historical mortality improvement rates. In the second route, an A/P/C mod...
Article
In this paper, we propose pricing temperature derivatives using a filtered historical simulation (FHS) approach that amalgamates model-based treatment of volatility and empirical innovation density. The FHS approach implicitly captures the risk premium with the entire risk-neutral model (except the innovation distribution), thereby providing signif...
Article
Purpose The purpose of this paper is to examine the reduction of crop yield uncertainty using rainfall index insurances. The insurance payouts are determined by a transparent rainfall index rather than actual crop yield of any producer, thereby circumventing problems of adverse selection and moral hazard. The authors consider insurances on rainfal...
Article
Multipopulation mortality models play an important role in longevity risk transfers involving more than one population. Most of the existing multi-population mortality models are built on the hypothesis of coherence, which assumes that there always exists a force that brings the mortality differential between any two populations back to a constant...
Article
Purpose – The application of weather derivatives in hedging crop yield risk is gaining more interest. However, the further development of weather derivatives – particularly exchange-traded – in the agricultural sector has been impeded by concerns over their hedging performance. The purpose of this paper is to develop a new framework to derive the o...
Article
The problem of longevity risk has recently received considerable attention. In this paper, we apply economic modeling methods to longevity risk securitization, which is now regarded by pension and insurance industries as a solution to the problem. Specifically, we model the trade of a longevity security as a two-player bargaining game, and use Nash...
Article
Pension plan sponsors and annuity providers can offload their longevity risk exposures by trading securities that are linked to broad-based mortality indexes. However, a hedge constructed in this way is subject to population basis risk, arising from the difference in mortality improvements between the hedger's population and the reference populatio...
Article
Two-population stochastic mortality models play an crucial role in the securitization of longevity risk. In particular, they allow us to quantify the population basis risk when longevity hedges are built from broad-based mortality indexes. In this paper, we propose and illustrate a systematic process for constructing a two-population mortality mode...
Article
Recently Cairns et al. introduced a general framework for modeling the dynamics of mortality rates of two related populations simultaneously. Their method ensures that the resulting forecasts do not diverge over the long run by modeling the difference in the stochastic factors between the two populations with a mean-reverting autoregressive process...
Article
Mortality dynamics are subject to jumps that are due to events such as wars and pandemics. Such jumps can have a significant impact on prices of securities that are designed for hedging catastrophic mortality risk, and therefore should be taken into account in modeling. Although several single-population mortality models with jump effects have been...
Article
In previous research on pricing mortality-linked securities, the no-arbitrage approach is often used. However, this approach, which takes market prices as given, is difficult to implement in today's embryonic market where there are few traded securities. In this article, we tackle the pricing problem from a different angle by considering methods th...
Article
Standardised mortality-linked securities are easier to analyse and more conducive to the development of liquidity. However, when a pension plan relies on standardised instruments to hedge its longevity risk exposure, it is inevitably subject to various forms of basis risk. In this paper, we use an economic pricing method to study the impact of popu...
Article
In December 2007, Goldman Sachs launched a product called QxX index swap, which is designed to allow market participants to hedge or gain exposure to longevity and mortality risks. In this paper, we offer a quantitative analysis of this brand new financial innovation. First of all, we set up a risk-neutral framework to price QxX index swaps. This f...

Network

Cited By