Johnny S.-H. Li

Overview

Johnny S.-H. Li is a professor in the Department of Statistics and Actuarial Science at the University of Waterloo. His research focuses on stochastic mortality modeling, longevity risk quantification, and multi-population mortality models for actuarial and financial applications.

Key Contributions

• Zhou et al. (c. 2013) — Multi-population VECM mortality model. Demonstrated that the dominant-population assumption in RWAR-type models is empirically unjustifiable (UK insured lives lead E&W males in mortality improvements); proposed VAR and VECM as symmetric alternatives for the joint dynamics of Lee-Carter $\kappa_t$ factors; showed VECM dominates on BIC and all robustness criteria; applied to Solvency II longevity swap pricing, finding risk margins 9–47% above single-population base depending on model choice.
• Li-Hardy (2011) — Basis risk measurement. Developed methods for measuring longevity basis risk in standardized longevity hedges; established the framework for distinguishing between general-population and sub-population mortality trends.
• Li-Lee (2005) — Coherent multi-population forecasting. Augmented common factor model ensuring long-run coherence of mortality forecasts across multiple populations; predecessor to the VECM approach.

Related

• Lee-Carter Model
• Longevity Basis Risk
• Cointegration
• Vector Autoregression