| Publication | Date of Publication | Type |
|---|
Mean-variance hedging with basis risk
Applied Stochastic Models in Business and Industry | 2024-07-18 | Paper |
Multivariate risk models under heavy-tailed risks
Applied Stochastic Models in Business and Industry | 2024-07-10 | Paper |
Tail mean-variance portfolio selection with estimation risk
Insurance Mathematics & Economics | 2024-05-24 | Paper |
Two-phase selection of representative contracts for valuation of large variable annuity portfolios
Insurance Mathematics & Economics | 2024-02-13 | Paper |
Enhancing Mortality Forecasting through Bivariate Model–Based Ensemble
North American Actuarial Journal | 2024-02-13 | Paper |
Discussion on the paper ‘Optimal reinsurance design based on risk measures: a review’ by Yichun Chi and Jun Cai
Statistical Theory and Related Fields | 2023-03-07 | Paper |
VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
North American Actuarial Journal | 2022-02-11 | Paper |
A DSA algorithm for mortality forecasting
North American Actuarial Journal | 2021-12-18 | Paper |
Optimal dynamic longevity hedge with basis risk
European Journal of Operational Research | 2021-11-09 | Paper |
Mean-expectile portfolio selection
Applied Mathematics and Optimization | 2021-07-15 | Paper |
A central bank strategy for defending a currency peg
Systems & Control Letters | 2021-01-06 | Paper |
BSDE approach to utility maximization with square-root factor processes
Operations Research Letters | 2020-04-07 | Paper |
Pricing bounds and bang-bang analysis of the Polaris variable annuities
Quantitative Finance | 2020-02-10 | Paper |
Nonparametric inference for VaR, CTE, and expectile with high-order precision
North American Actuarial Journal | 2019-11-04 | Paper |
Portfolio optimization with performance ratios
International Journal of Theoretical and Applied Finance | 2019-09-09 | Paper |
Regression tree credibility model
North American Actuarial Journal | 2019-06-18 | Paper |
Index insurance design
ASTIN Bulletin | 2019-05-29 | Paper |
Empirical approach for optimal reinsurance design
North American Actuarial Journal | 2019-05-28 | Paper |
Response to Hans U. Gerber on His Comments on Our Paper Entitled ”Empirical Approach for Optimal Reinsurance Design”
North American Actuarial Journal | 2019-05-28 | Paper |
Dynamic risk-sharing game and reinsurance contract design
Insurance Mathematics & Economics | 2019-05-23 | Paper |
Derivatives trading for insurers
Insurance Mathematics & Economics | 2019-01-15 | Paper |
Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions
OR Spectrum | 2018-08-10 | Paper |
Optimal reinsurance with expectile
Scandinavian Actuarial Journal | 2018-07-13 | Paper |
CDF formulation for solving an optimal reinsurance problem
Scandinavian Actuarial Journal | 2018-07-13 | Paper |
Optimal investment strategies for participating contracts
Insurance Mathematics & Economics | 2017-11-23 | Paper |
Vine copula models with GLM and sparsity
Communications in Statistics: Theory and Methods | 2017-08-23 | Paper |
Optimal hedging with basis risk under mean-variance criterion
Insurance Mathematics & Economics | 2017-07-17 | Paper |
Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
Science China. Mathematics | 2017-06-29 | Paper |
Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework
Insurance Mathematics & Economics | 2017-01-31 | Paper |
Marginal indemnification function formulation for optimal reinsurance
Insurance Mathematics & Economics | 2016-05-12 | Paper |
Multivariate reinsurance designs for minimizing an insurer's capital requirement
Insurance Mathematics & Economics | 2015-02-03 | Paper |
Optimal reinsurance subject to Vajda condition
Insurance Mathematics & Economics | 2014-04-15 | Paper |
Limit theory for moderate deviations from a unit root under innovations with a possibly infinite variance
Methodology and Computing in Applied Probability | 2014-04-14 | Paper |
Constant proportion portfolio insurance under a regime switching exponential Lévy process
Insurance Mathematics & Economics | 2014-04-04 | Paper |
VaR-based optimal partial hedging
ASTIN Bulletin | 2014-02-27 | Paper |
Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications
Methodology and Computing in Applied Probability | 2013-09-20 | Paper |
Characterization of multivariate heavy-tailed distribution families via copula
Journal of Multivariate Analysis | 2012-03-22 | Paper |
Optimality of general reinsurance contracts under CTE risk measure
Insurance Mathematics & Economics | 2011-08-02 | Paper |
Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
Scandinavian Actuarial Journal | 2011-02-22 | Paper |
Approximation of the tail probability of randomly weighted sums and applications
Stochastic Processes and their Applications | 2009-03-10 | Paper |
scientific article; zbMATH DE number 5504945 (Why is no real title available?)
| 2009-02-09 | Paper |
Optimal reinsurance under VaR and CTE risk measures
Insurance Mathematics & Economics | 2008-08-18 | Paper |
Some limiting properties of the bounds of the present value function of a life insurance portfolio
Journal of Applied Probability | 2008-02-15 | Paper |
An application of the \(\alpha\)-power approximation in multiple life insurance
Insurance Mathematics & Economics | 2006-10-05 | Paper |
On the correlation order
Statistics & Probability Letters | 2006-08-04 | Paper |
