Quantitative Analysis of Systemic Risk in Insurance

Corrigendum to “The stochastic behavior of electricity prices under scrutiny: Evidence from spot and futures markets” [Energy Economics, 144, April 2025, 108296]

Jean-François Bégin, Fabio Gómez, Katja Ignatieva, Han Li

2026-01-01

Constructing hierarchical time series through clustering: Is there an optimal way for forecasting?

B Zhang, A Panagiotelis, H Li

2025-07-01

Forecast reconciliation has attracted significant research interest in recent years, with most studies taking the hierarchy of tim..

The stochastic behavior of electricity prices under scrutiny: Evidence from spot and futures markets

JF Bégin, F Gómez, K Ignatieva, H Li

2025-04-01

This article proposes a stochastic volatility jump–diffusion model for pricing electricity derivative contracts. The main objectiv..

Boosting domain-specific models with shrinkage: An application in mortality forecasting

L Li, H Li, A Panagiotelis

2025-01-01

This paper extends the technique of gradient boosting with a focus on using domain-specific models instead of trees. The domain of..

Wildfire Loss Modeling: A Flexible Semiparametric Approach

N Raveendran, H Zhu, H Li, G Sofronov

2025-01-01

Wildfires have emerged as one of the most devastating natural disasters worldwide, which, in addition to a loss of life, results i..

Pricing extreme mortality risk in the wake of the COVID-19 pandemic

H Li, H Liu, Q Tang, Z Yuan

2023-01-01

In pricing extreme mortality risk, it is commonly assumed that interest rate and mortality rate are independent. However, the COVI..