Andrés M Villegas
Andrés M Villegas
Senior Lecturer, School of Risk and Actuarial Studies, UNSW Sydney
Dirección de correo verificada de unsw.edu.au - Página principal
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StMoMo: an R package for stochastic mortality modelling
AM Villegas, VK Kaishev, P Millossovich
Journal of Statistical Software, 2018
112*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
952014
Robustness and convergence in the Lee–Carter model with cohort effects
A Hunt, AM Villegas
Insurance: Mathematics and Economics 64, 186-202, 2015
582015
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
532014
A comparative study of two population models for the assessment of basis risk in longevity hedges
A Villegas, S Haberman, VK Kaishev, P Millossovich
Astin Bulletin 47 (3), 631-679, 2017
392017
NDC Schemes and Heterogeneity in Longevity: Proposals for Redesign
R Holzmann, J Alonso-García, H Labit-Hardy, AM Villegas
World Bank, 2019
272019
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
10*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
102012
Mortality: Modelling, socio-economic differences and basis risk
AM Villegas
PhD thesis, Cass Business School, 2015
8*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
72016
An investigation into the impact of deprivation on demographic inequalities in adults
L Mayhew, G Harper, AM Villegas
Annals of Actuarial Science, 2020
5*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
52018
Mortality Improvement Rates: Modeling, Parameter Uncertainty and Robustness
A Hunt, AM Villegas
ARC Centre of Excellence in Population Ageing Research Working Paper 28, 2020
3*2020
The Application of Affine Processes in Cohort Mortality Risk Models
Z Huang, M Sherris, A Villegas, J Ziveyi
Available at SSRN 3446924, 2019
32019
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
12019
Mortality Forecasting Using Stacked Regression Ensembles
S KESSY, M Sherris, A Villegas, J Ziveyi
Available at SSRN 3823511, 2021
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
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
2020
A Managed Volatility Investment Strategy for Pooled Annuity Products
S Li, H Labit Hardy, M Sherris, A Villegas
Available at SSRN 3455806, 2019
2019
A Value-Based Longevity Index for Hedging Retirement Income Portfolios
K Krahe, M Sherris, AM Villegas, J Ziveyi
2019
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