Rui Zhou

Modelling Mortality Dependence: An Application of Dynamic Vine Copula

Rui Zhou, Min Ji

Journal article  |  2021  |  Insurance: Mathematics and Economics

Vine copula, constructed from bivariate copulas, provides great exibility in modelling complex high-dimensional dependence. When a..

The Role of Longevity Annuities in Di erent Socioeconomic Classes: A Canadian Case Study

Rui Zhou, Johnny Li, Kenneth Zhou

Report  |  2021

Spatial-Temporal Modelling of Wind Speed - A Vine Copula Based Approach

Giovani Gracianti, Rui Zhou, Johnny Li

Journal article  |  2021

A Multi-parameter-level Model for Simulating Future Mortality Scenarios with COVID-alike Effects

Rui Zhou, Johnny Li

Journal article  |  2021

The Boundary of the Market for Biosecurity Risk

Gary Stoneham, Susan M Hester, Johnny Siu-Hang Li, Rui Zhou, Atibhav Chaudhry

Journal article  |  2020  |  RISK ANALYSIS

Imported goods create value in destination countries but also create biosecurity risk. Although widely used in other domains of th..

Drivers of Mortality Dynamics: Identifying Age/Period/Cohort Components of Historical U.S. Mortality Improvements

JS-H Li, R Zhou, Y Liu, G Graziani, D Hall, J Haid, A Peterson, L Pinzur

Journal article  |  2020  |  North American Actuarial Journal

The goal of this paper is to obtain an Age/Period/Cohort (A/P/C) decomposition of historical U.S. mortality improvement. Two diffe..

Pricing temperature derivatives with a filtered historical simulation approach

R Zhou, JSH Li, J Pai

Journal article  |  2019  |  European Journal of Finance

In this paper, we propose pricing temperature derivatives using a filtered historical simulation (FHS) approach that amalgamates m..

MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS

Rui Zhou

Journal article  |  2019  |  ASTIN Bulletin

We propose a two-regime Markov switching copula to depict the evolution of mortality dependence. One regime represents periods of ..

A General Semi-Markov Model for Coupled Lifetimes

Min Ji, R Zhou

Journal article  |  2019  |  North American Actuarial Journal

Joint-life annuities with a high last survivor benefit play an important role in the optimal annuity portfolio for a retired coupl..

Evaluating effectiveness of rainfall index insurance

Rui Zhou, JS-H Li, Jeffrey Pai

Journal article  |  2018  |  Agricultural Finance Review

Purpose The purpose of this paper is to examine the reduction of crop yield uncertainty using rainfall index insurances. The insur..