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Securitization of longevity risk using percentile tranching

Kim, Changki; Choi, Yangho - In: The journal of risk and insurance : the journal of the … 78 (2011) 4, pp. 885-905

Persistent link: https://www.econbiz.de/10009407884

On the multidimensional extension of countermonotonicity and its applications

Lee, Woojoo; Ahn, Jae Youn - In: Insurance / Mathematics & economics 56 (2014), pp. 68-79

Persistent link: https://www.econbiz.de/10010385029

The Poisson random effect model for experience ratemaking : limitations and alternative solutions

Lee, Woojoo; Kim, Jeonghwan; Ahn, Jae Youn - In: Insurance / Mathematics & economics 91 (2020), pp. 26-36

Persistent link: https://www.econbiz.de/10012241976

On copula-based collective risk models : from elliptical copulas to vine copulas

Oh, Rosy; Ahn, Jae Youn; Lee, Woojoo - In: Scandinavian actuarial journal 2021 (2021) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10012484027

Securitization of Longevity Risks Using Percentile Tranche Methods

Kim, Changki; Choi, Yangho - 2009

As a solution to the longevity risks in annuity business we consider securitizations which transfer the risks to the financial markets. We apply the classical Lee-Carter model to generate the future stochastic survival distribution. We show a method to design the survivor bonds using the...

Persistent link: https://www.econbiz.de/10014210251

A simple Bayesian state-space approach to the collective risk models

Ahn, Jae Youn; Jeong, Himchan; Lu, Yang - In: Scandinavian actuarial journal 2023 (2023) 5, pp. 509-529

Persistent link: https://www.econbiz.de/10014336618

Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure

Ahn, Jae Youn; Shyamalkumar, Nariankadu D. - In: Insurance / Mathematics & economics 55 (2014), pp. 78-90

Persistent link: https://www.econbiz.de/10010366204

A multi-year microlevel collective risk model

Oh, Rosy; Jeong, Himchan; Ahn, Jae Youn; Valdez, Emiliano - In: Insurance / Mathematics & economics 100 (2021), pp. 309-328

Persistent link: https://www.econbiz.de/10012622396

Bonus-Malus premiums under the dependent frequency-severity modeling

Oh, Rosy; Shi, Peng; Ahn, Jae Youn - In: Scandinavian actuarial journal 2020 (2020) 3, pp. 172-195

Persistent link: https://www.econbiz.de/10012195040

Does hunger for bonuses drive the dependence between claim frequency and severity?

Park, Sojung Carol; Kim, Joseph H. T.; Ahn, Jae Youn - In: Insurance / Mathematics & economics 83 (2018), pp. 32-46

Persistent link: https://www.econbiz.de/10011944094