1 | Gylys, Rokas; Šiaulys, Jonas. Estimation of uncertainty in Mortality projections using state-space Lee-Carter model // Mathematics. Basel : MDPI. eISSN 2227-7390. 2020, vol.8, no. 7, art. no. 1053, p. [1-23]. DOI: 10.3390/math8071053. |
2 | Gylys, Rokas; Šiaulys, Jonas. Revisiting calibration of the Solvency II Standard Formula for mortality risk: does the standard stress scenario provide an adequate approximation of Value-at-Risk? // Risks. Basel : MDPI AG. ISSN 2227-9091. 2019, vol. 7, iss. 2, art. no 58, p. [1-24]. DOI: 10.3390/risks7020058. |
3 | Gylys, Rokas; Šiaulys, Jonas. State space representation of Lee-Carter stochastic mortality model: application to modelling of insurers’ solvency capital // 11th international workshop on data analysis methods for software systems (DAMSS 2019), Druskininkai, Lithuania, November 28-30, 2019 / Lithuanian Computer Society, Vilnius University Institute of Data Science and Digital Technologies, Lithuanian Academy of Sciences. Vilnius : Vilnius University Press, 2019. ISBN 9786090703243. eISBN 9786090703250. p. 28. DOI: 10.15388/Proceedings.2019.8. |