Published Papers
- Estimating the Probability of Informed Trading: A Bayesian approach (with Jim Griffin and Samuel Oduro), Journal of Banking & Finance, 125, (2021), 106045. Download code package here
- Impact of the Choice of Risk Assessment Time Horizons on Defined Benefit Pension Schemes (with D. Andrews, S. Bonnar, L. Curtis, A. Pittea, and P. Tapadar), Annals of Actuarial Science, forthcoming.
- A graphical model approach to simulating economic variables over long horizons (with Aniketh Pittea and Pradip Tapadar), Annals of Actuarial Science, 14 (2020), pp. 20–41.
- Interest rate risk management and the mix of fixed and floating rate debt, Journal of Banking & Finance, 86 (2018), pp.70-86.
- Demography and Inflation: An International Study (with Doug Andrews, Tony Wirjanto, and Chenggang Zhou), North American Actuarial Journal, 22 (2018), pp. 210-222
- Home equity release for long term care financing: an improved market structure and pricing approach (with Doug Andrews), Annals of Actuarial Science, March 2015, 85-107. -[press mention]
Working Papers
- Robustly modelling the scale and shape dynamics of stock return distributions (with Jim Griffin and Evangelia Mitrodima)
- Value at Risk models with long memory features and their economic performance (with Evangelia Mitrodima)
- From traditional reverse mortgages to broader home equity participation (with Doug Andrews)
- Stakeholder incentives, self dealing and optimal compensation (with Melania Nica)
- Demographics and asset prices (with Steve Bonnar, Lori Curtis, Miguel León-Ledesma, Kathleen Rybczinski, and Mark Zhou)
- Winner of Research Award from International Centre for Pensions Management (Toronto) and Best Paper Prize from International Congress of Actuaries 2018 (Berlin)
Project on Population Ageing (link)
Research Reports (Grant funded)
- The other longevity risk: Impact of population aging on pension plan finances in Canada (with Doug Andrews, Stephen Bonnar, Aniketh Pittea, and Pradip Tapadar) National Pension Hub, Global Risk Institute, Toronto, December 2019.
- A tale of two pension plans: Measuring pension plan risk from an economic capital perspective (with Doug Andrews, Stephen Bonnar, Lori Curtis, Aniketh Pittea, and Pradip Tapadar) Society of Actuaries Research Report, November 2019.
- Machine-Learning Methods for Insurance Applications: A Survey (with Alex Diana, Jim Griffin and Ji Yao) Society of Actuaries Research Report, January 2019. [Jupyter files and sample data available with the report at the link above]
- Investigating the Link between Population Aging and Deflation (with Doug Andrews, Tony Wirjanto and Mark Zhou) Society of Actuaries Research Report, January 2016.
- Future equity patterns and baby boomer retirements (with Doug Andrews, Kate Rybczynski and Pradip Tapadar) Society of Actuaries Research Report, January 2015.
Permanent Working Paper
Inequality, Well-Being and Institutions in Latin America and the Caribbean (with Syed M. Ahsan), CESifo Working Paper Series, January 2003, No. 846.