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Johnny Li

Johnny LiFairfax Chair in Risk Management
Assistant Professor

Department of Statistics and Actuarial Science
University of Waterloo
Waterloo, Ontario
CANADA N2L 3G1

(519) 888-4567, ext. 35542
FAX: (519) 746-1875

Email:
Office: M3 3131

Research and Scholarly Interests

Professor Li's research interests encompass the fields of demography, longevity risk modelling, and financial risk management. In particular, he focuses on measuring the uncertainty involved in estimating future mortality, and the demographic and financial risks associated with reverse mortgage contracts. He also works in the area of actuarial applications in law courts.

Mortality assumptions are crucial to many areas of actuarial practice. In recent years, people have been living longer than they were expected to, and this has resulted in huge financial losses in annuity and pension portfolios. Thus actuaries are more concerned than ever before with the levels of uncertainty involved in mortality forecasts. Professor Li has developed a new stochastic methodology that takes account of the impact of individual differences in the variability of mortality rates. His method has been applied to various populations, and has been proven to give more realistic measures of uncertainty.

Mortality dynamics are complex and difficult to model. This is because the demographic future of any human population is a result of many partially understood mechanisms, and is highly uncertain. One of Professor Li's contributions on this topic is the modelling of the impacts of non-repetitive exogenous interventions, such as the 1918 Spanish flu and SARS, on the dynamics of human mortality. The sparseness of mortality data at extreme ages has also hindered the estimation of life tables. To solve this problem, Professor Li has developed a model called the ``threshold life table'' that allows practitioners to extrapolate a life table to extreme ages, and to predict the highest attained age for a birth cohort. This work won the 2006 Annual Award for Best Paper from the Actuarial Society of Hong Kong.

Professor Li has also investigated a class of contracts called reverse mortgages. In a typical reverse-mortgage contract, the homeowner receives a loan in the form of a lump sum or an annuity. The loan is rolled up with interest until the homeowner dies or moves into long-term care. At that time, the house is sold and the proceeds are used to repay the loan and interest. However, the loan repayment cannot exceed the house sale proceeds. This restriction is called the non-recourse clause or the no-negative-equity-guarantee. A major problem in pricing this guarantee is that the time at which the guarantee is exercised is dependent on the mortality and morbidity of the homeowner. By extending standard financial engineering methods, Professor Li has developed a method to price the guarantee, and to manage the financial and demographic risks associated with the guarantee.

Recent Publications

  • Li, S.H. and Chan, W.S. (2007). The Lee-Carter Model for Forecasting Mortality, Revisited. North American Actuarial Journal, 11, 68–89.
  • Li, S.H. and Chan, W.S. (2005). Outlier Analysis and Mortality Forecasting: the United Kingdom and Scandinavian Countries. Scandinavian Actuarial Journal, 3, 187–211.

Biography

Professor Li has worked on collaborative research with the Committee of Life Insurance Financial Reporting (CLIFR) of the Canadian Institute of Actuaries and Society of Actuaries. In this collaboration, he is charged with the development of a mortality improvement scale for projecting the mortality of Canadian insured lives. Professor Li is also an invited speaker in the symposium on Living to 100: Survival to Advanced Ages, organized by the Society of Actuaries in 2005 and 2008.

Professor Li also has strong ties with legal professionals. In joint work with the legal practitioners in the Department of Professional Legal Education at the University of Hong Kong, he produced actuarial multiplier tables for Hong Kong personal injury lawyers to calculate damages in personal injury litigations.



Last Modified:  Monday 25 July 2011
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