Quantifying and hedging economic risk in disability income insurance portfolios
Schneider, A., Khemka, G., Pitt, D., & Zhang, J. (2025). Forthcoming in the Annals of Actuarial Science.
Selected recent publications
A Compositional Approach to Modelling Cause-Specific Mortality with Zero Counts
Dong, Z., Shang, HL., Hui, F., and Bruhn, A. (2025) Forthcoming in the Annals of Actuarial Science.
Delegated investment in retirement savings: Is there value added?
Chong, W.F., Khemka, G., and Huang, T. (2024). Forthcoming in the Annals of Actuarial Science.
A building block approach to retirement income design
Khemka, G., Butt, A. and Mehry, S. (2024). Journal of Pension Economics and Finance. 23, 528-548
A Buy-Hold-Sell Pension Saving Strategy
Khemka, G., Steffensen, M., and Warren, G.J. (2024). Insurance: Mathematics and Economics 119, 1-16
Investment–consumption optimization with transaction cost and learning about return predictability
Wang, N. and Siu, T. K. (2024). European Journal of Operational Research. Volume 318, Issue 3, Pages 877-891.
Cause-of-death mortality forecasting using adaptive penalized tensor decompositions
Zhang, X., Huang, F., Hui, F.K.C., and Haberman, S. (2023). Insurance: Mathematics and Economics 111, 193-213