Simon Man Chung Fung
Simon Man Chung Fung
Credit Model Analytics, Commonwealth Bank of Australia
Bestätigte E-Mail-Adresse bei
Zitiert von
Zitiert von
Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities
MC Fung, K Ignatieva, M Sherris
Insurance: Mathematics and Economics 58, 103-115, 2014
A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting
MC Fung, GW Peters, PV Shevchenko
Annals of Actuarial Science 11 (2), 343-389, 2017
A comparative study of pricing approaches for longevity instruments
M Leung, MC Fung, C O'Hare
Insurance: Mathematics and Economics 82, 95-116, 2018
A State-Space Estimation of the Lee-Carter Mortality Model and Implications for Annuity Pricing
MC Fung, GW Peters, PV Shevchenko
Conference paper: MODSIM2015, 21st International Congress on Modelling and …, 2015
Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives
MC Fung, K Ignatieva, M Sherris
Risks 7 (1), 1-25, 2019
Stochastic Period and Cohort Effect State-Space Mortality Models Incorporating Demographic Factors via Probabilistic Robust Principal Components
D Toczydlowska, GW Peters, MC Fung, PV Shevchenko
Risks (Special Issue: "Ageing Population Risks") 5 (3), 1-77, 2017
Cohort effects in mortality modelling: a Bayesian state-space approach
MC Fung, GW Peters, PV Shevchenko
Annals of Actuarial Science 13 (1), 109-144, 2019
The impact of management fees on the pricing of variable annuity guarantees
J Sun, PV Shevchenko, MC Fung
Risks 6 (3), 1-20, 2018
A hybrid model for pricing and hedging of long-dated bonds
J Baldeaux, MC Fung, K Ignatieva, E Platen
Applied Mathematical Finance 22 (4), 366-398, 2015
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