Andrés M Villegas
Andrés M Villegas
Senior Lecturer, School of Risk and Actuarial Studies, UNSW Sydney
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StMoMo: an R package for stochastic mortality modelling
AM Villegas, VK Kaishev, P Millossovich
Journal of Statistical Software, 2018
On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England
AM Villegas, S Haberman
North American Actuarial Journal 18 (1), 168-193, 2014
Robustness and convergence in the Lee–Carter model with cohort effects
A Hunt, AM Villegas
Insurance: Mathematics and Economics 64, 186-202, 2015
Longevity Basis Risk: A methodology for assessing basis risk
S Haberman, VK Kaishev, P Millossovich, AM Villegas, S Baxter, ...
Institute and Faculty of Actuaries Sessional Research Paper. URL http://www …, 2014
A comparative study of two-population models for the assessment of basis risk in longevity hedges
AM Villegas, S Haberman, VK Kaishev, P Millossovich
ASTIN Bulletin: The Journal of the IAA 47 (3), 631-679, 2017
NDC schemes and heterogeneity in longevity: Proposals for redesign
R Holzmann, R Holzmann
World Bank, 2019
Mind the Gap: A Study of Cause-Specific Mortality by Socioeconomic Circumstances
DH Alai, S Arnold, M Bajekal, AM Villegas
North American Actuarial Journal 22 (2), 161-181, 2018
Computing bounds on the expected payoff of alternative risk transfer products
AM Villegas, AL Medaglia, LF Zuluaga
Insurance: Mathematics and Economics 51 (2), 271-281, 2012
Mortality: Modelling, socio-economic differences and basis risk
AM Villegas
PhD thesis, Cass Business School, 2015
Numerical performance of some Wong-Zakai type approximations for stochastic differential equations
J Londoño, AM Villegas
International Journal of Pure and Applied Mathematics 107 (2), 301-315, 2016
An investigation into the impact of deprivation on demographic inequalities in adults
L Mayhew, G Harper, AM Villegas
Annals of Actuarial Science 14 (2), 358-383, 2020
An evolutionary strategy for multiobjective reinsurance optimization
S Román, AM Villegas, JG Villegas
Journal of the Operational Research Society 69 (10), 1661-1677, 2018
The Application of Affine Processes in Cohort Mortality Risk Models
Z Huang, M Sherris, A Villegas, J Ziveyi
Available at SSRN 3446924, 2019
Valor presente de las pensiones en el régimen de prima media de Colombia
FA Gómez, JA Londoño, AM Villegas
Cuadernos de Economía 38 (76), 173-205, 2019
Mortality Improvement Rates: Modeling, Parameter Uncertainty and Robustness
A Hunt, AM Villegas
ARC Centre of Excellence in Population Ageing Research Working Paper 28, 2020
Mortality Forecasting Using Stacked Regression Ensembles
S KESSY, M Sherris, A Villegas, J Ziveyi
Available at SSRN 3823511, 2021
A Group Regularisation Approach for Constructing Generalised Age-Period-Cohort Mortality Projection Models
D SriDaran, M Sherris, A Villegas, J Ziveyi
Available at SSRN 3790991, 2021
Analysis of Historical U. S. Population Mortality Improvement Drivers 1959-2016
AM Villegas, M Bajekal, S Haberman, L Zhou …, 2021
Subnational Old-Age Mortality Modeling: Accounting for Underreporting in a Bayesian Framework
Q Lu, K Hanewald, A Villegas, X Wang
ARC Centre of Excellence in Population Ageing Research Working Paper 23, 2020
A Managed Volatility Investment Strategy for Pooled Annuity Products
S Li, H Labit Hardy, M Sherris, A Villegas
Available at SSRN 3455806, 2019
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