| Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality K Ignatieva, A Song, J Ziveyi Insurance: Mathematics and Economics 70, 286-300, 2016 | 53 | 2016 |
| Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method J Alonso-García, O Wood, J Ziveyi Quantitative Finance 18 (6), 1049-1075, 2018 | 44 | 2018 |
| Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates B Kang, J Ziveyi Insurance: Mathematics and Economics 79, 43-56, 2018 | 32 | 2018 |
| Market price of longevity risk for a multi‐cohort mortality model with application to longevity bond option pricing Y Xu, M Sherris, J Ziveyi Journal of Risk and Insurance 87 (3), 571-595, 2020 | 27 | 2020 |
| Continuous-time multi-cohort mortality modelling with affine processes Y Xu, M Sherris, J Ziveyi Scandinavian Actuarial Journal 2020 (6), 526-552, 2020 | 27 | 2020 |
| Valuing variable annuity guarantees on multiple assets J Da Fonseca, J Ziveyi Scandinavian Actuarial Journal 2017 (3), 209-230, 2017 | 25 | 2017 |
| Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options Y Shen, M Sherris, J Ziveyi Insurance: Mathematics and Economics 69, 127-137, 2016 | 24 | 2016 |
| Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market J Da Fonseca, K Ignatieva, J Ziveyi Energy Economics 56, 215-228, 2016 | 24 | 2016 |
| American option pricing under two stochastic volatility processes C Chiarella, J Ziveyi Applied Mathematics and Computation 224, 283-310, 2013 | 23 | 2013 |
| Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise … N Gudkov, K Ignatieva, J Ziveyi Quantitative Finance 19 (3), 501-518, 2019 | 19 | 2019 |
| Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality K Ignatieva, A Song, J Ziveyi ASTIN Bulletin: The Journal of the IAA 48 (1), 139-169, 2018 | 19 | 2018 |
| Representation and numerical approximation of American option prices under Heston stochastic volatility dynamics T Adolfsson, C Chiarella, A Ziogas, J Ziveyi Quantitative Finance Research Centre, University of Technology, Sydney …, 2013 | 18 | 2013 |
| Mortality forecasting using stacked regression ensembles SR Kessy, M Sherris, AM Villegas, J Ziveyi Scandinavian Actuarial Journal 2022 (7), 591-626, 2022 | 16 | 2022 |
| Cohort and value-based multi-country longevity risk management M Sherris, Y Xu, J Ziveyi Scandinavian Actuarial Journal 2020 (7), 650-676, 2020 | 16 | 2020 |
| Pricing American options written on two underlying assets C Chiarella, J Ziveyi Quantitative Finance 14 (3), 409-426, 2014 | 15 | 2014 |
| Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method B Kang, Y Shen, D Zhu, J Ziveyi Insurance: Mathematics and Economics 105, 96-127, 2022 | 14 | 2022 |
| Pricing European options on deferred annuities J Ziveyi, C Blackburn, M Sherris Insurance: Mathematics and Economics 52 (2), 300-311, 2013 | 14 | 2013 |
| Target volatility strategies for group self-annuity portfolios A Olivieri, S Thirurajah, J Ziveyi ASTIN Bulletin: The Journal of the IAA 52 (2), 591-617, 2022 | 12 | 2022 |
| Representation of American option prices under Heston stochastic volatility dynamics using integral transforms C Chiarella, A Ziogas, J Ziveyi Contemporary quantitative finance: essays in honour of Eckhard Platen, 281-315, 2010 | 12 | 2010 |
| A group regularisation approach for constructing generalised age-period-cohort mortality projection models D SriDaran, M Sherris, AM Villegas, J Ziveyi ASTIN Bulletin: The Journal of the IAA 52 (1), 247-289, 2022 | 11 | 2022 |
Michael SherrisProfessor Actuarial Studies University of New South Wales在 unsw.edu.au 的电子邮件经过验证
