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Andrés M Villegas
Andrés M Villegas
Associate Professor, School of Risk and Actuarial Studies, UNSW Sydney
Verifisert e-postadresse på unsw.edu.au - Startside
Tittel
Sitert av
Sitert av
År
StMoMo: an R package for stochastic mortality modelling
AM Villegas, VK Kaishev, P Millossovich
Journal of Statistical Software, 2018
2742018
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
1442014
Robustness and convergence in the Lee–Carter model with cohort effects
A Hunt, AM Villegas
Insurance: Mathematics and Economics 64, 186-202, 2015
912015
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
852017
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
712014
NDC schemes and heterogeneity in longevity: Proposals for redesign
R Holzmann, R Holzmann
World Bank, 2019
67*2019
Modelling USA Age-Cohort Mortality: A Comparison of Multi-Factor Affine Mortality Models
Z Huang, M Sherris, AM Villegas, J Ziveyi
Risks 10 (9), 183, 2022
20*2022
Mortality forecasting using stacked regression ensembles
SR Kessy, M Sherris, AM Villegas, J Ziveyi
Scandinavian Actuarial Journal 2022 (7), 591-626, 2022
202022
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
20*2018
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
18*2020
Mortality Improvement Rates: Modeling, Parameter Uncertainty and Robustness
A Hunt, AM Villegas
North American Actuarial Journal 27 (1), 2023
16*2023
An evolutionary strategy for multiobjective reinsurance optimization
S Román, AM Villegas, JG Villegas
Journal of the Operational Research Society 69 (10), 1661-1677, 2018
152018
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
132022
Mortality: Modelling, socio-economic differences and basis risk
AM Villegas
City, University of London Institutional Repository, 2015
12*2015
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
122012
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
112016
A managed volatility investment strategy for pooled annuity products
S Li, H Labit Hardy, M Sherris, AM Villegas
Risks 10 (6), 121, 2022
102022
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
9*2019
Replicating and extending chain-ladder via an age-period-cohort structure on the claim development in a run-off triangle
G Pittarello, M Hiabu, AM Villegas
arXiv preprint arXiv:2301.03858, 2023
7*2023
Pooling functional disability and mortality in long-term care insurance and care annuities: A matrix approach for multi-state pools
D Kabuche, M Sherris, AM Villegas, J Ziveyi
Insurance: Mathematics and Economics 116, 165-188, 2024
52024
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Artikler 1–20