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Associate Professor Jonathan Ziveyi

Associate Professor Jonathan Ziveyi

Associate Professor
  1. PhD in Finance, University of Technology, Sydney
  2. Graduate Certificate in University Learning and Teaching, UNSW Sydney
  3. BSc (Hons) in Applied Mathematics Degree (First Class Honours), National University of Science and Technology, Zimbabwe
Business School
School of Risk and Actuarial Studies

Jonathan is an Associate Investigator at the ARC Centre of Excellence in Population Ageing Research based at the UNSW Business School where he is an Associate Professor and Associate HeadÌýin the School of Risk and Actuarial Studies. He received his PhD in Quantitative Finance from the University of Technology Sydney where his thesis was on the evaluation of early exercise exotic options. His current research interests include longevity risk management, valuation of guarantees embedded in variable annuities and option pricing under stochastic volatility. His research output has been widely published in esteemed quantitative finance and actuarial journals such as Insurance: Mathematics and Economics, Quantitative Finance among others and has been presented at various international conferences.

Ìý
Phone
+61 2 9065 8254
E-mail
j.ziveyi@unsw.edu.au
Location
UNSW Business School
  • Book Chapters | 2011
    Ziveyi J; Chiarella C; Ziogas A, 2011, 'Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms', in Chiarella C; Novikov A (ed.), Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen, Springer, New York, pp. 281 - 315,
  • Journal articles | 2024
    Alonso-García J; Sherris M; Thirurajah S; Ziveyi J, 2024, 'Taxation and policyholder behavior: the case of guaranteed minimum accumulation benefits', ASTIN Bulletin, 54, pp. 185 - 212,
    Journal articles | 2024
    Kabuche D; Sherris M; Villegas AM; Ziveyi J, 2024, 'Pooling functional disability and mortality in long-term care insurance and care annuities: A matrix approach for multi-state pools', Insurance: Mathematics and Economics, 116, pp. 165 - 188,
    Journal articles | 2024
    Nguyen H; Sherris M; Villegas AM; Ziveyi J, 2024, 'Scenario selection with LASSO regression for the valuation of variable annuity portfolios', Insurance: Mathematics and Economics, 116, pp. 27 - 43,
    Journal articles | 2022
    Huang Z; Sherris M; Villegas AM; Ziveyi J, 2022, 'Modelling USA Age-Cohort Mortality: A Comparison of Multi-Factor Affine Mortality Models †', Risks, 10,
    Journal articles | 2022
    Kang B; Shen Y; Zhu D; Ziveyi J, 2022, 'Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method', Insurance: Mathematics and Economics, 105, pp. 96 - 127,
    Journal articles | 2022
    Kessy SR; Sherris M; Villegas AM; Ziveyi J, 2022, 'Mortality forecasting using stacked regression ensembles', Scandinavian Actuarial Journal, 2022, pp. 591 - 626,
    Journal articles | 2022
    Olivieri A; Thirurajah S; Ziveyi J, 2022, 'TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS', ASTIN Bulletin, 52, pp. 591 - 617,
    Journal articles | 2022
    Sridaran D; Sherris M; Villegas AM; Ziveyi J, 2022, 'A GROUP REGULARISATION APPROACH FOR CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS', ASTIN Bulletin, 52, pp. 247 - 289,
    Journal articles | 2021
    Gudkov N; Ziveyi J, 2021, 'Application of power series approximation techniques to valuation of European style options', Quantitative Finance, 21, pp. 609 - 635,
    Journal articles | 2021
    Zhou Y; Sherris M; Ziveyi J; Xu M, 2021, 'An innovative design of flexible, bequest-enhanced life annuity with natural hedging', Scandinavian Actuarial Journal, 2022, pp. 488 - 509,
    Journal articles | 2020
    Sherris M; Xu Y; Ziveyi J, 2020, 'Cohort and value-based multi-country longevity risk management', Scandinavian Actuarial Journal, 2020, pp. 650 - 676,
    Journal articles | 2020
    Xu Y; Sherris M; Ziveyi J, 2020, 'Continuous-time multi-cohort mortality modelling with affine processes', Scandinavian Actuarial Journal, 2020, pp. 526 - 552,
    Journal articles | 2020
    Xu Y; Sherris M; Ziveyi J, 2020, 'Market Price of Longevity Risk for a Multi-Cohort Mortality Model With Application to Longevity Bond Option Pricing', Journal of Risk and Insurance, 87, pp. 571 - 595,
    Journal articles | 2019
    Gudkov N; Ignatieva K; Ziveyi J, 2019, 'Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method', Quantitative Finance, 19, pp. 501 - 518,
    Journal articles | 2018
    Ignatieva K; Song A; Ziveyi J, 2018, 'Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality', ASTIN Bulletin, 48, pp. 139 - 169,
    Journal articles | 2018
    Kang B; Ziveyi J, 2018, 'Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates', Insurance: Mathematics and Economics, 79, pp. 43 - 56,
    Journal articles | 2017
    Alonso Garcia J; Wood O; Ziveyi J, 2017, 'Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method', Quantitative Finance, 18, pp. 1049 - 1075,
    Journal articles | 2017
    Da Fonseca J; Ziveyi J, 2017, 'Valuing variable annuity guarantees on multiple assets', Scandinavian Actuarial Journal, 2017, pp. 209 - 230,
    Journal articles | 2016
    Da Fonseca J; Ignatieva K; Ziveyi J, 2016, 'Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market', Energy Economics, 56, pp. 215 - 228,
    Journal articles | 2016
    Ignatieva K; Song A; Ziveyi J, 2016, 'Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality', Insurance: Mathematics and Economics, 70, pp. 286 - 300,
    Journal articles | 2016
    Ziveyi JONATHAN; Sherris MICHAEL; Shen Y, 2016, 'Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options', Insurance: Mathematics and Economics,
    Journal articles | 2013
    Ziveyi J; Blackburn C; Sherris M, 2013, 'Pricing European Options on Deferred Annuities', Insurance Mathematics and Economics, 52, pp. 300 - 311,
    Journal articles | 2013
    Ziveyi J; Chiarella C, 2013, 'American Option Pricing under Two Stochastic Volatility Processes', Applied Mathematics and Computation, 224, pp. 283 - 310,
    Journal articles | 2013
    Ziveyi J; Chiarella C, 2013, 'Pricing American Options Written on Two Underlying Assets', Quantitative Finance, 14, pp. 409 - 426,
  • Working Papers |
    Shen Y; Sherris M; Wang Y; Ziveyi J, The Valuation and Assessment of Retirement Income Products: a Unified Markov Chain Monte Carlo Framework, Elsevier BV, ,
    Working Papers |
    Ziveyi J; Blackburn C; Sherris M, Pricing European Options on Deferred Insurance, 201202,
  • Theses / Dissertations | 2013
    Blackburn CM, 2013, Longevity Risk Management and Securitisation in an Affine Mortality Modelling Framework, Australia
    Preprints |
    Alonso-Garcca J; Wood O; Ziveyi J, Pricing and Hedging Guaranteed Minimum Withdrawal Benefits under a General LLvy Framework Using the COS Method, ,
    Preprints |
    Alonso-García J; Sherris M; Thirurajah S; Ziveyi J, Taxation and Policyholder Behavior: The Case of Guaranteed Minimum Accumulation Benefits,
    Preprints |
    Blackburn C; Sherris M; Ziveyi J, Pricing European Options on Deferred Insurance Contracts,
    Preprints |
    Chiarella C; Ziveyi J, Method of Lines Approach for Pricing American Spread Options,
    Preprints |
    Chiarella C; Ziveyi J, Two Stochastic Volatility Processes - American Option Pricing,
    Preprints |
    Da Fonseca J; Ignatieva K; Ziveyi J, Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market,
    Preprints |
    Huang Z; Sherris M; Villegas A; Ziveyi J, The Application of Affine Processes in Cohort Mortality Risk Models,
    Preprints |
    Ignatieva K; Song A; Ziveyi J, Pricing and Hedging of Guaranteed Minimum Benefits Under Regime-Switching and Stochastic Mortality,
    Preprints |
    KESSY S; Shen Y; Sherris M; Temple J; Ziveyi J, Estimating Transition Probabilities Using Repeated Cross-sectional Data,
    Preprints |
    KESSY S; Sherris M; Villegas A; Ziveyi J, Mortality Forecasting Using Stacked Regression Ensembles,
    Preprints |
    Kabuche D; Sherris M; Villegas A; Ziveyi J, Pooling Functional Disability and Mortality in Long-Term Care Insurance and Care Annuities: A Matrix Approach for Multi-State Pools,
    Preprints |
    Kang B; Ziveyi J, Optimal Surrender of Guaranteed Minimum Maturity Benefits Under Stochastic Volatility and Interest Rates, ,
    Preprints |
    Shen Y; Sherris M; Ziveyi J, Valuation of Guaranteed Minimum Maturity Benefits in Variable Annuities with Surrender Options, ,
    Preprints |
    Sherris M; Xu Y; Ziveyi J, Market Price of Longevity Risk for a Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing,
    Preprints |
    SriDaram D; Sherris M; Villegas A; Ziveyi J, A Group Regularisation Approach for Constructing Generalised Age-Period-Cohort Mortality Projection Models,
    Preprints |
    Xu Y; Sherris M; Ziveyi J, The Application of A ffine Processes in Multi-Cohort Mortality Model, ,
    Preprints |
    Xu Y; Sherris M; Ziveyi J, The Application of Affine Processes in Multi-Cohort Mortality Model,
    Preprints |
    Zhou Y; Garces LPD; Shen Y; Sherris M; Ziveyi J, Age-Dependent Multi-Cohort Affine Mortality Model with Cohort Correlation, ,
    Preprints |
    Zhou Y; Sherris M; Ziveyi J; Xu M, Financial Engineering: A Flexible Longevity Bond to Manage Individual Longevity Risk,
    Preprints |
    Ziveyi J; Chiarella C, Pricing American Options Written on Two Underlying Assets, ,

  • 2021 – 2023ÌýÌýÌý Australian Research Council Grant (AUD386,139)
  • 2017 – 2020ÌýÌýÌý Society of Actuaries Grant (US$248,278)
  • 2017 – 2020ÌýÌýÌý Australian Research Council Grant (AUD350,000)
  • 2017 ÌýÌý UNSW Business School Linkage Seed Funding Grant (AUD40,000)
  • 2015ÌýÌýÌý UNSW Business School Research Grant (AUD18,000)
  • 2013 ÌýÌý NSW Australian School of Business Research Grant (AUD15,000)
  • 2013 ÌýÌý Institute of Actuaries of Australia Research Grant (AUD15,000)
  • 2011 ÌýÌý Institute of Actuaries of Australia Research Grant (AUD37,862)
  • 2011 ÌýÌý UNSW Australian School of Business Special Research Grant (AUD8,000)

  • 2010 ÌýÌý UTS Quantitative Finance Research Centre Travel Grant
  • 2009 ÌýÌý American Finance Association Student Travel Grant
  • 2007 ÌýÌý International Postgraduate Research Scholarship, University of Technology, Sydney
  • 2007 ÌýÌý President’s Scholarship, University of Technology, Sydney
  • 2005 ÌýÌý Vice Chancellor’s Prize for graduating with a First-Class Degree, National University of Science and Technology, Zimbabwe
  • 2003 ÌýÌý NUST Book Prize for the best 2nd year student, National University of Science and Technology, Zimbabwe

My Research Supervision

  • Samuel Thirurajah,ÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌý 2024 – current, joint supervisor
  • Gayani Thalagoda,ÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌý 2023 – current, joint supervisor
  • Yawei Wang,ÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌý 2022 – current, joint supervisor
  • Xingying Yu,ÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌý 2021 – current, joint supervisor
  • Lingfeng Lyu,ÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌýÌý 2021 – current, joint supervisor

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My Teaching

  • ACTL3182 - Asset-Liability and Derivative Models
  • ACTL5109 - Financial Economics for Insurance and Superannuation