Johnny S.-H. Li

Overview

Johnny S.-H. Li is an actuarial scientist at the Department of Statistics and Actuarial Science, University of Waterloo. He is a leading researcher in multi-population mortality modeling and longevity risk measurement, with particular emphasis on extending the Lee-Carter framework to jointly model related populations and on applications to longevity hedging instruments and regulatory capital (Solvency II).

Key Contributions

• Zhou et al. (2014) — Corresponding author on the VECM extension of two-population mortality modeling; demonstrated that the standard dominance assumption is empirically unjustifiable; showed VECM outperforms VAR and RWAR on all evaluation criteria; applied multi-population models to Solvency II risk margin calculation for longevity swap reinsurance. See Multi-Population Mortality Modeling.

Related

• Multi-Population Mortality Modeling
• Lee-Carter Model
• SSA Mortality Forecasting

Sources

• Zhou et al. — Modeling Mortality of Multiple Populations with Vector Error Correction Models