Yanxin Liu

Yanxin Liu
University of Nebraska at Lincoln | NU · Department of Finance

Ph.D. of Actuarial Science

About

10
Publications
420
Reads
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123
Citations
Citations since 2016
8 Research Items
117 Citations
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2016201720182019202020212022010203040
2016201720182019202020212022010203040

Publications

Publications (10)
Article
An article published in the British Medical Journal in 2018 reveals that a number of developed countries have experienced a decline in life expectancy in recent years. Within the classical framework of stochastic mortality modeling, the observed decline in life expectancy may be attributed to noises around the fitted log-linear trends in age-specif...
Article
Recently, the actuarial professions in various countries have adopted an innovative two-dimensional approach to projecting future mortality. In contrast to the conventional approach, the two-dimensional approach permits mortality improvement rates to vary with not only age but also time. Despite being an important breakthrough, the currently used t...
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
Many of the existing index-based longevity hedging strategies focus on the reduction in variance. However, solvency capital requirements are typically based on the τ-year-ahead Value-at-Risk, with τ = 1 under Solvency II. Optimizing a longevity hedge using variance minimization is particularly inadequate when the cost of hedging is nonzero and mort...
Article
Recently, the topic of multipopulation mortality forecasting has gained considerable attention among researchers and end-users. One of the most popular multipopulation mortality models is the augmented common factor (ACF) model. In spite of its popularity, the ACF model is subject to the limitation of producing mortality forecasts with a jagged pat...
Article
The stochastic nature of future mortality arises from both period (time-related) and cohort (year-of-birth-related) effects. Existing index-based longevity hedging strategies mitigate the risk associated with period effects, but often overlook cohort effects. The negligence of cohort effects may lead to sub-optimal hedge effectiveness, if the liabi...
Article
Although longevity risk arises from both the variation surrounding the trend in future mortality and the uncertainty about the trend itself, the latter is often left unmodeled. In this paper, we address this problem by introducing the locally linear CBD model, in which the drifts that govern the expected mortality trend are allowed to follow a stoc...
Article
In this paper, we propose the generalized state-space hedging method for use when the populations associated with the hedging instruments and the liability being hedged are different. In this method, the hedging strategy is derived by first reformulating the assumed multi-population stochastic mortality model in a state-space representation, and th...
Article
To value catastrophic mortality bonds, a number of stochastic mortality models with transitory jump effects have been proposed. Rather than modeling the age pattern of jump effects explicitly, most of the existing models assume that the distributions of jump effects and general mortality improvements across ages are identical. Nevertheless, this as...
Article
Recently, there has been a wave of work on option pricing under GARCH-type models with non-normal innovations. However, many of the existing valuation results rely on the existence of the moment generating function of the innovations' distribution, thereby ruling out the use of heavy-tailed distributions such as Student's t and its variants, which...

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