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 Boundary of the Market for Biosecurity Risk

Gary Stoneham, Susan Hester, Johnny Li, Rui Zhou, Atibhav Chaudhry

Journal article  |  2021  |  Risk Analysis: an international journal

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..

Components of Historical Mortality Improvement Volume 2 − Mortality Rate Modeling and Conclusions

Johnny Siu-Hang Li, Rui Zhou, Yanxin Liu

Report  |  2017

This volume of the report on the “Components of Historical Mortality Improvement” project documents the modeling work associated w..

Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization

JS-H Li, Wai-Sum Chan, Rui Zhou

Journal article  |  2017  |  Journal of Risk & Insurance

Multipopulation mortality models play an important role in longevity risk transfers involving more than one population. Most of th..

Components of Historical Mortality Improvement Volume 1 — Background and Mortality Improvement Rate Modeling

Johnny Siu-Hang Li, Rui Zhou, Yanxin Liu

Report  |  2017

This report documents the “Components of Historical Mortality Improvement” project commissioned by the Longevity Advisory Group (L..