| Publication | Date of Publication | Type |
|---|
Two-phase selection of representative contracts for valuation of large variable annuity portfolios
Insurance Mathematics & Economics | 2024-02-13 | Paper |
Higher-order regularity of the free boundary in the inverse first-passage problem
SIAM Journal on Mathematical Analysis | 2022-08-30 | Paper |
| Quantitative enterprise risk management | 2022-02-03 | Paper |
Fair transition from defined benefit to target benefit
ASTIN Bulletin | 2021-12-27 | Paper |
Structure of intergenerational risk-sharing plans: optimality and fairness
Scandinavian Actuarial Journal | 2021-09-13 | Paper |
Mean-expectile portfolio selection
Applied Mathematics and Optimization | 2021-07-15 | Paper |
BSDE approach to utility maximization with square-root factor processes
Operations Research Letters | 2020-04-07 | Paper |
Analysis of an optimal stopping problem arising from hedge fund investing
Journal of Mathematical Analysis and Applications | 2019-11-28 | Paper |
Portfolio optimization with performance ratios
International Journal of Theoretical and Applied Finance | 2019-09-09 | Paper |
Market-consistent valuation and funding of cash balance pensions
North American Actuarial Journal | 2019-05-28 | Paper |
Updating Wilkie’s Economic Scenario Generator for U.S. Applications
North American Actuarial Journal | 2019-05-07 | Paper |
Valuation of an early exercise defined benefit underpin hybrid pension
Scandinavian Actuarial Journal | 2018-12-14 | Paper |
Pricing shared-loss hedge fund fee structures
Innovations in Derivatives Markets | 2018-10-22 | Paper |
DYNAMIC HEDGING STRATEGIES FOR CASH BALANCE PENSION PLANS
ASTIN Bulletin | 2018-10-19 | Paper |
Optimal investment strategies for participating contracts
Insurance Mathematics & Economics | 2017-11-23 | Paper |
Improved algorithms for computing worst value-at-risk
Statistics & Risk Modeling | 2017-05-22 | Paper |
Measuring the effectiveness of static hedging strategies for a guaranteed minimum income benefit
North American Actuarial Journal | 2014-07-19 | Paper |
Algorithmic estimation of risk factors in financial markets with stochastic drift
Computers & Operations Research | 2012-11-15 | Paper |
Existence and uniqueness of solutions to the inverse boundary crossing problem for diffusions
The Annals of Applied Probability | 2012-01-04 | Paper |
| Pricing timer options under fast mean-reverting stochastic volatility | 2011-11-25 | Paper |
Analytical methods for hedging systematic credit risk with linear factor portfolios
Journal of Economic Dynamics and Control | 2009-08-07 | Paper |
Credit risk optimization using factor models
Annals of Operations Research | 2008-03-31 | Paper |
Portfolio optimization when asset returns have the Gaussian mixture distribution
European Journal of Operational Research | 2007-12-10 | Paper |
Analysis of an Inverse First Passage Problem from Risk Management
SIAM Journal on Mathematical Analysis | 2007-05-22 | Paper |
Phase resetting and coupling of noisy neural oscillators
Journal of Computational Neuroscience | 2006-08-23 | Paper |
