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Yahia Salhi

Personal Details

First Name:Yahia
Middle Name:
Last Name:Salhi
Suffix:
RePEc Short-ID:psa784
https://sites.google.com/site/yahiasalhi/
Terminal Degree: (from RePEc Genealogy)

Affiliation

Institut de Science Financière et d'Assurances (École ISFA)
Université Claude Bernard (Lyon 1)

Lyon, France
http://isfa.univ-lyon1.fr/
RePEc:edi:isly1fr (more details at EDIRC)

Research output

as
Jump to: Working papers

Working papers

  1. Pauline Barrieu & Harry Bensusan & Nicole El Karoui & Caroline Hillairet & Stéphane Loisel & Claudia Ravanelli & Yahia Salhi, 2012. "Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges," Post-Print hal-00417800, HAL.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Pauline Barrieu & Harry Bensusan & Nicole El Karoui & Caroline Hillairet & Stéphane Loisel & Claudia Ravanelli & Yahia Salhi, 2012. "Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges," Post-Print hal-00417800, HAL.

    Cited by:

    1. Edouard Debonneuil & Stéphane Loisel & Frédéric Planchet, 2015. "Do actuaries believe in longevity deceleration?," Working Papers hal-01219270, HAL.
    2. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    3. Tsai, Pei-Hsuan & Wang, Ying-Wei & Chang, Wen-Chang, 2023. "Hybrid MADM-based study of key risk factors in house-for-pension reverse mortgage lending in Taiwan's banking industry," Socio-Economic Planning Sciences, Elsevier, vol. 86(C).
    4. Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018. "Longevity risk and capital markets: The 2015–16 update," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
    5. Bohm, Thomas & Waldvogel, Felix, 2012. "Etablierung eines außerbörslichen Kapitalmarktes für das Langlebigkeitsrisiko," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-02, University of Bayreuth, Chair of Finance and Banking.
    6. Risk, J. & Ludkovski, M., 2016. "Statistical emulators for pricing and hedging longevity risk products," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 45-60.
    7. Apostolos Bozikas & Ioannis Badounas & Georgios Pitselis, 2022. "Pricing Longevity Bonds under a Credibility Framework with Limited Available Data," Risks, MDPI, vol. 10(5), pages 1-15, May.
    8. Karim Barigou & Stéphane Loisel & Yahia Salhi, 2020. "Parsimonious Predictive Mortality Modeling by Regularization and Cross-Validation with and without Covid-Type Effect," Risks, MDPI, vol. 9(1), pages 1-18, December.
    9. Lydia Dutton & Athanasios A. Pantelous & Malgorzata Seklecka, 2020. "The impact of economic growth in mortality modelling for selected OECD countries," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 533-550, April.
    10. Kulinskaya, Elena & Gitsels, Lisanne A. & Bakbergenuly, Ilyas & Wright, Nigel R., 2020. "Calculation of changes in life expectancy based on proportional hazards model of an intervention," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 27-35.
    11. Wong, Tat Wing & Chiu, Mei Choi & Wong, Hoi Ying, 2014. "Time-consistent mean–variance hedging of longevity risk: Effect of cointegration," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 56-67.
    12. Guibert, Quentin & Lopez, Olivier & Piette, Pierrick, 2019. "Forecasting mortality rate improvements with a high-dimensional VAR," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 255-272.
    13. Feng, Lingbing & Shi, Yanlin & Chang, Le, 2021. "Forecasting mortality with a hyperbolic spatial temporal VAR model," International Journal of Forecasting, Elsevier, vol. 37(1), pages 255-273.
    14. Yahia Salhi & Pierre-Emmanuel Thérond & Julien Tomas, 2016. "A Credibility Approach of the Makeham Mortality Law," Post-Print hal-01232683, HAL.
    15. Hong Li & Yang Lu, 2016. "Coherent Forecasting Of Mortality Rates: A Sparse Vector-Autoregression Approach," Post-Print halshs-02418954, HAL.
    16. Man Chung Fung & Gareth W. Peters & Pavel V. Shevchenko, 2017. "Cohort effects in mortality modelling: a Bayesian state-space approach," Papers 1703.08282, arXiv.org.
    17. Harry Bensusan & Nicole El Karoui & Stéphane Loisel & Yahia Salhi, 2016. "Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions," Post-Print hal-00768526, HAL.
    18. Clemente De Rosa & Elisa Luciano & Luca Regis, 2017. "Basis risk in static versus dynamic longevity-risk hedging," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2017(4), pages 343-365, April.
    19. Ekheden, Erland & Hössjer, Ola, 2015. "Multivariate time series modeling, estimation and prediction of mortalities," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 156-171.
    20. Tahir Choulli & Catherine Daveloose & Mich`ele Vanmaele, 2018. "Mortality/longevity Risk-Minimization with or without securitization," Papers 1805.11844, arXiv.org.
    21. Schmeck, Maren Diane & Schmidli, Hanspeter, 2019. "Mortality Options: the Point of View of an Insurer," Center for Mathematical Economics Working Papers 616, Center for Mathematical Economics, Bielefeld University.
    22. Tahir Choulli & Catherine Daveloose & Michèle Vanmaele, 2021. "Mortality/Longevity Risk-Minimization with or without Securitization," Mathematics, MDPI, vol. 9(14), pages 1-27, July.
    23. Katrien Antonio & Anastasios Bardoutsos & Wilbert Ouburg, 2015. "Bayesian Poisson log-bilinear models for mortality projections with multiple populations," BAFFI CAREFIN Working Papers 1505, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    24. Christophette Blanchet-Scalliet & Diana Dorobantu & Yahia Salhi, 2019. "A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 423-448, June.
    25. Anna Rita Bacinello & An Chen & Thorsten Sehner & Pietro Millossovich, 2021. "On the Market-Consistent Valuation of Participating Life Insurance Heterogeneous Contracts under Longevity Risk," Risks, MDPI, vol. 9(1), pages 1-18, January.
    26. Schmeck, Maren Diane & Schmidli, Hanspeter, 2021. "Mortality options: The point of view of an insurer," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 98-115.
    27. Rachel WINGENBACH & Jong-Min KIM & Hojin JUNG, 2020. "Living Longer in High Longevity Risk," JODE - Journal of Demographic Economics, Cambridge University Press, vol. 86(1), pages 47-86, March.
    28. Helena Aro & Teemu Pennanen, 2013. "Liability-driven investment in longevity risk management," Papers 1307.8261, arXiv.org.
    29. D’Amato, Valeria & Haberman, Steven & Piscopo, Gabriella & Russolillo, Maria, 2012. "Modelling dependent data for longevity projections," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 694-701.
    30. Menoncin, Francesco & Regis, Luca, 2017. "Longevity-linked assets and pre-retirement consumption/portfolio decisions," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 75-86.
    31. Pauline Milaure Ngugnie Diffouo & Pierre Devolder, 2020. "Longevity Risk Measurement of Life Annuity Products," Risks, MDPI, vol. 8(1), pages 1-16, March.
    32. Tat Wing Wong & Mei Choi Chiu & Hoi Ying Wong, 2017. "Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 987-1023, September.
    33. Ying Jiao & Yahia Salhi & Shihua Wang, 2021. "Dynamic Bivariate Mortality Modelling," Working Papers hal-03244324, HAL.
    34. Yanlin Shi, 2021. "Forecasting mortality rates with the adaptive spatial temporal autoregressive model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 528-546, April.
    35. Albrecher, Hansjörg & Bladt, Martin & Bladt, Mogens & Yslas, Jorge, 2022. "Mortality modeling and regression with matrix distributions," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 68-87.
    36. Yahia Salhi & Stéphane Loisel, 2017. "Basis risk modelling: a co-integration based approach," Post-Print hal-00746859, HAL.
    37. Francesco Menoncin & Luca Regis, 2015. "Longevity assets and pre-retirement consumption/portfolio decisions," Working Papers 2/2015, IMT School for Advanced Studies Lucca, revised May 2015.
    38. Christophette Blanchet-Scalliet & Diana Dorobantu & Yahia Salhi, 2019. "A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives," Post-Print hal-01258645, HAL.
    39. Ying Jiao & Yahia Salhi & Shihua Wang, 2022. "Dynamic Bivariate Mortality Modelling," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 917-938, June.
    40. James Risk & Michael Ludkovski, 2015. "Statistical Emulators for Pricing and Hedging Longevity Risk Products," Papers 1508.00310, arXiv.org, revised Sep 2015.
    41. Lledó, Josep & Pavía, Jose M. & Morillas-Jurado, Francisco G., 2019. "Incorporating big microdata in life table construction: A hypothesis-free estimator," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 138-150.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-IAS: Insurance Economics (1) 2010-07-24

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