| Publication | Date of Publication | Type |
|---|
A correlated Heston's stochastic volatility model: a binomial tree approach
Journal of Industrial and Management Optimization | 2026-08-27 | Paper |
A generalized contagion credit risk model with application in pricing CDS index tranche
Journal of Computational and Applied Mathematics | 2026-01-13 | Paper |
Iterated Poisson processes for catastrophic risk modeling in ruin theory
Insurance Mathematics & Economics | 2026-01-13 | Paper |
Optimizing portfolios with surrender variable annuities: a deep reinforcement learning approach
Insurance Mathematics & Economics | 2026-01-13 | Paper |
Approximation of optimal ergodic dividend strategies using controlled Markov chains
IET Control Theory & Applications | 2025-11-04 | Paper |
A hybrid deep reinforcement learning method for insurance portfolio management
Journal of Optimization Theory and Applications | 2025-10-29 | Paper |
A converse comparison theorem for discrete-time finite-state BSDEs and risk measures using g-expectation
Communications on Stochastic Analysis | 2025-09-25 | Paper |
Super-replication of life-contingent options under the Black-Scholes framework
Journal of Applied Probability | 2024-11-15 | Paper |
Target benefit versus defined contribution scheme: a multi-period framework
ASTIN Bulletin | 2024-07-09 | Paper |
Valuation of cliquet-style guarantees with death benefits
Journal of Industrial and Management Optimization | 2022-10-10 | Paper |
Pricing annuity guarantees under a regime-switching model
North American Actuarial Journal | 2022-02-11 | Paper |
Authors’ Reply: Pricing Annuity Guarantees Under a Regime-Switching Model - Discussion by Robert J. Elliott and Tak Kuen Siu
North American Actuarial Journal | 2022-02-11 | Paper |
Multiperiod optimal investment-consumption strategies with mortality risk and environment uncertainty
North American Actuarial Journal | 2022-01-19 | Paper |
Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
North American Actuarial Journal | 2022-01-10 | Paper |
Authors’ Reply: Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately before and at Ruin under the Sparre Andersen Model,” Andrew C. Y. Ng and Hailiang Yang, April 2005 - Discussion by David C. M. Dickson, Steve Drekic, David A. Stanf
North American Actuarial Journal | 2021-12-22 | Paper |
Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
North American Actuarial Journal | 2021-12-22 | Paper |
Authors’ Reply: Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest - Discussion by Nathaniel Smith; Andrew C. Y. Ng; Jinxia Zhu
North American Actuarial Journal | 2021-12-22 | Paper |
“On The Decomposition Of The Ruin Probability For A Jump-Diffusion Surplus Process Compounded By A Geometric Brownian Motion”, Jun Cai and Chengming Xu, April 2006
North American Actuarial Journal | 2021-12-22 | Paper |
Fourier-cosine method for finite-time Gerber-Shiu functions
SIAM Journal on Scientific Computing | 2021-06-29 | Paper |
A hybrid deep learning method for optimal insurance strategies: algorithms and convergence analysis
Insurance Mathematics & Economics | 2021-03-17 | Paper |
Optimal insurance strategies: a hybrid deep learning Markov chain approximation approach
ASTIN Bulletin | 2020-08-31 | Paper |
Singular dividend optimization for a linear diffusion model with time-inconsistent preferences
European Journal of Operational Research | 2020-05-26 | Paper |
Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
European Journal of Operational Research | 2019-10-15 | Paper |
A martingale approach for asset allocation with derivative security and hidden economic risk
Journal of Applied Probability | 2019-10-07 | Paper |
Optimal dividend policy with liability constraint under a hidden Markov regime-switching model
Journal of Industrial and Management Optimization | 2019-07-25 | Paper |
Elasticity approach to asset allocation in discrete time
Risk and Decision Analysis | 2019-03-12 | Paper |
A constraint-free approach to optimal reinsurance
Scandinavian Actuarial Journal | 2018-12-14 | Paper |
Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
Scandinavian Actuarial Journal | 2018-08-31 | Paper |
A class of nonzero-sum investment and reinsurance games subject to systematic risks
Scandinavian Actuarial Journal | 2018-07-17 | Paper |
Lévy insurance risk process with Poissonian taxation
Scandinavian Actuarial Journal | 2018-07-13 | Paper |
On a nonparametric estimator for ruin probability in the classical risk model
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Index options and volatility derivatives in a Gaussian random field risk-neutral density model
International Journal of Theoretical and Applied Finance | 2018-06-29 | Paper |
Stochastic differential games between two insurers with generalized mean-variance premium principle
ASTIN Bulletin | 2018-06-05 | Paper |
On the compound Poisson risk model with periodic capital injections
ASTIN Bulletin | 2018-06-05 | Paper |
Valuing equity-linked death benefits in a regime-switching framework
ASTIN Bulletin | 2018-06-04 | Paper |
Optimal dividend and reinsurance strategies with financing and liquidation value
ASTIN Bulletin | 2018-06-04 | Paper |
Filtering a Markov Modulated Random Measure
IEEE Transactions on Automatic Control | 2017-08-25 | Paper |
Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
Journal of Computational and Applied Mathematics | 2017-06-23 | Paper |
Gerber-Shiu analysis with two-sided acceptable levels
Journal of Computational and Applied Mathematics | 2017-06-13 | Paper |
Optimal reinsurance and investment strategy with two piece utility function
Journal of Industrial and Management Optimization | 2017-06-12 | Paper |
Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections
Automatica | 2017-06-02 | Paper |
Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes
Insurance Mathematics & Economics | 2017-05-24 | Paper |
A numerical approach to optimal dividend policies with capital injections and transaction costs
Acta Mathematicae Applicatae Sinica. English Series | 2017-04-21 | Paper |
On a nonparametric estimator for the finite time survival probability with zero initial surplus
Acta Mathematicae Applicatae Sinica. English Series | 2017-03-23 | Paper |
A note on optimal insurance risk control with multiple reinsurers
Journal of Computational and Applied Mathematics | 2017-03-16 | Paper |
Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Optimal asset allocation: risk and information uncertainty
European Journal of Operational Research | 2016-10-07 | Paper |
On a multi-dimensional risk model with regime switching
Insurance Mathematics & Economics | 2016-10-06 | Paper |
Optimal financing and dividend distribution in a general diffusion model with regime switching
Advances in Applied Probability | 2016-07-27 | Paper |
Optimal financing and dividend distribution in a general diffusion model with regime switching
Advances in Applied Probability | 2016-07-27 | Paper |
Portfolio optimization in a regime-switching market with derivatives
European Journal of Operational Research | 2016-06-24 | Paper |
Optimal insurance risk control with multiple reinsurers
Journal of Computational and Applied Mathematics | 2016-05-30 | Paper |
Crossing time of annuities with exponential payment rates
Mitteilungen. Schweizerische Aktuarvereinigung (SAV) | 2016-04-07 | Paper |
Probabilistic numerical solutions to the Dirichlet problem of degenerate elliptic equations
Journal of Inner Mongolia University | 2016-03-07 | Paper |
Probabilistic numerical solutions to initial-boundary value problems of parabolic equations
Journal of Inner Mongolia University | 2016-03-07 | Paper |
A probabilistic numerical solution method for Dirichlet problems of elliptic equations
Journal of Inner Mongolia University | 2016-03-07 | Paper |
A probabilistic numerical solution method for Cauchy problems for parabolic equations
Journal of Inner Mongolia University | 2016-03-07 | Paper |
A Markov process associated with the Boltzmann equation for hard sphere molecules
Journal of Inner Mongolia University | 2016-03-07 | Paper |
An approximate method for solving the Schrödinger equation
Journal of Inner Mongolia University | 2016-03-07 | Paper |
| Martingale representation for contingent claims with regime switching | 2016-01-04 | Paper |
Optimal retention for a stop-loss reinsurance with incomplete information
Insurance Mathematics & Economics | 2015-12-14 | Paper |
Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
Insurance Mathematics & Economics | 2015-09-14 | Paper |
Optimal debt ratio and dividend payment strategies with reinsurance
Insurance Mathematics & Economics | 2015-09-14 | Paper |
Cox risk model with variable premium rate and stochastic return on investment
Journal of Computational and Applied Mathematics | 2015-06-16 | Paper |
Fourier-cosine method for Gerber-Shiu functions
Insurance Mathematics & Economics | 2015-05-26 | Paper |
Fourier-cosine method for ruin probabilities
Journal of Computational and Applied Mathematics | 2015-02-11 | Paper |
Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
Insurance Mathematics & Economics | 2015-02-03 | Paper |
A class of non-zero-sum stochastic differential investment and reinsurance games
Automatica | 2014-10-24 | Paper |
Option valuation by a self-exciting threshold binomial model
Mathematical and Computer Modelling | 2014-10-21 | Paper |
Ruin probabilities of a dual Markov-modulated risk model
Communications in Statistics: Theory and Methods | 2014-07-30 | Paper |
Equilibrium approach of asset pricing under Lévy process
European Journal of Operational Research | 2014-07-27 | Paper |
Valuing equity-linked death benefits in jump diffusion models
Insurance Mathematics & Economics | 2014-06-23 | Paper |
Discrete-time BSDEs with random terminal horizon
Stochastic Analysis and Applications | 2014-05-15 | Paper |
On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest
Annals of Operations Research | 2014-05-08 | Paper |
Asset allocation under threshold autoregressive models
Applied Stochastic Models in Business and Industry | 2014-05-06 | Paper |
Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model
Insurance Mathematics & Economics | 2014-04-15 | Paper |
Optimal dividends with debts and nonlinear insurance risk processes
Insurance Mathematics & Economics | 2014-04-15 | Paper |
Valuing equity-linked death benefits and other contingent options: a discounted density approach
Insurance Mathematics & Economics | 2014-04-10 | Paper |
On a Sparre Andersen risk model perturbed by a spectrally negative Lévy process
Scandinavian Actuarial Journal | 2013-12-17 | Paper |
Optimal portfolio in a continuous-time self-exciting threshold model
Journal of Industrial and Management Optimization | 2013-11-14 | Paper |
American type geometric step options
Journal of Industrial and Management Optimization | 2013-11-14 | Paper |
| scientific article; zbMATH DE number 6195904 (Why is no real title available?) | 2013-08-07 | Paper |
| A partial differential equation approach to multivariate risk theory | 2013-06-12 | Paper |
Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model
Frontiers of Mathematics in China | 2013-04-10 | Paper |
The Omega model: from bankruptcy to occupation times in the red
European Actuarial Journal | 2013-02-05 | Paper |
On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation
Methodology and Computing in Applied Probability | 2013-01-11 | Paper |
On the optimal dividend strategy in a regime-switching diffusion model
Advances in Applied Probability | 2012-11-02 | Paper |
Sensitivity analysis on ruin probabilities with heavy-tailed claims
Statistical Methodology | 2012-10-19 | Paper |
Optimal threshold dividend strategies under the compound Poisson model with regime switching
Stochastic Analysis with Financial Applications | 2012-09-07 | Paper |
Optimal surrender strategies for equity-indexed annuity investors with partial information
Statistics & Probability Letters | 2012-08-30 | Paper |
Optimal asset allocation: a worst scenario expectation approach
Journal of Optimization Theory and Applications | 2012-07-31 | Paper |
Ruin probabilities for the perturbed compound Poisson risk process with investment
Communications in Statistics. Theory and Methods | 2012-06-08 | Paper |
Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
European Journal of Operational Research | 2012-05-14 | Paper |
An elementary approach to discrete models of dividend strategies
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Upper comonotonicity and convex upper bounds for sums of random variables
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Obtaining the dividends-penalty identities by interpretation
Insurance Mathematics & Economics | 2012-02-10 | Paper |
On the probability of completeness for large markets
Japan Journal of Industrial and Applied Mathematics | 2011-11-14 | Paper |
Ruin Theory in a Hidden Markov-Modulated Risk Model
Stochastic Models | 2011-10-21 | Paper |
Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method
North American Actuarial Journal | 2011-08-23 | Paper |
A Direct Approach to the Discounted Penalty Function
North American Actuarial Journal | 2011-08-23 | Paper |
Numerical methods for dividend optimization using regime-switching jump-diffusion models
Mathematical Control and Related Fields | 2011-07-11 | Paper |
