| Publication | Date of Publication | Type |
|---|
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 |
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 |
Pricing annuity guarantees under a regime-switching model
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 |
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 |
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. Stanford, and Gordon E. Willmot
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 |
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 |
Optimal dividends with debts and nonlinear insurance risk processes
Insurance Mathematics \& Economics | 2014-04-15 | Paper |
Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model
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 |
A Direct Approach to the Discounted Penalty Function
North American Actuarial Journal | 2011-08-23 | Paper |
Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method
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 |
Markowitz's mean-variance asset-liability management with regime switching: a multi-period model
Applied Mathematical Finance | 2011-06-03 | Paper |
On the absolute ruin in a map risk model with debit interest
Advances in Applied Probability | 2011-05-03 | Paper |
Pension funding problem with regime-switching geometric Brownian motion assets and liabilities
Applied Stochastic Models in Business and Industry | 2011-04-06 | Paper |
Optimal financing and dividend strategies in a dual model with proportional costs
Journal of Industrial and Management Optimization | 2011-01-19 | Paper |
Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model
Stochastic Analysis and Applications | 2011-01-13 | Paper |
Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching
Journal of Optimization Theory and Applications | 2010-12-21 | Paper |
Asymptotically optimal dividend policy for regime-switching compound Poisson models
Acta Mathematicae Applicatae Sinica. English Series | 2010-10-29 | Paper |
On the Markov-modulated insurance risk model with tax
Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) | 2010-06-21 | Paper |
Dependent Insurance Risk Model: Deterministic Threshold
Communications in Statistics: Theory and Methods | 2010-05-21 | Paper |
Option pricing with regime switching by trinomial tree method
Journal of Computational and Applied Mathematics | 2010-01-15 | Paper |
Option Pricing in a Jump-Diffusion Model with Regime Switching
ASTIN Bulletin | 2009-12-22 | Paper |
Option pricing when the regime-switching risk is priced
Acta Mathematicae Applicatae Sinica. English Series | 2009-11-13 | Paper |
A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
ASTIN Bulletin | 2009-06-15 | Paper |
On Bayesian Mixture Credibility
ASTIN Bulletin | 2009-06-15 | Paper |
On differentiability of ruin functions under Markov-modulated models
Stochastic Processes and their Applications | 2009-05-06 | Paper |
Ruin theory under a generalized jump-diffusion model with regime switching
| 2009-02-03 | Paper |
Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
Insurance Mathematics \& Economics | 2009-01-16 | Paper |
Pricing currency options under two-factor Markov-modulated stochastic volatility models
Insurance Mathematics \& Economics | 2009-01-16 | Paper |
On valuation of derivative securities: A Lie group analytical approach.
Applications of Mathematics | 2008-11-24 | Paper |
Stochastic optimization algorithms for barrier dividend strategies
Journal of Computational and Applied Mathematics | 2008-11-20 | Paper |
Estimates for the Absolute Ruin Probability in the Compound Poisson Risk Model with Credit and Debit Interest
Journal of Applied Probability | 2008-11-13 | Paper |
Moments of derivative payoffs.
| 2008-11-10 | Paper |
Optimal dynamic portfolio selection with earnings-at-risk
Journal of Optimization Theory and Applications | 2008-09-23 | Paper |
COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
Ruin theory for a Markov regime-switching model under a threshold dividend strategy
Insurance Mathematics \& Economics | 2008-08-22 | Paper |
Pricing participating products under a generalized jump-diffusion model
Journal of Applied Mathematics and Stochastic Analysis | 2008-08-20 | Paper |
On valuing participating life insurance contracts with conditional heteroscedasticity
Asia-Pacific Financial Markets | 2008-06-11 | Paper |
Ordering of Optimal Portfolio Allocations in a Model with a Mixture of Fundamental Risks
Journal of Applied Probability | 2008-04-30 | Paper |
Optimal investment-consumption strategy in a discrete-time model with regime switching
Discrete and Continuous Dynamical Systems. Series B | 2008-01-18 | Paper |
Expected Shortfall Under a Model With Market and Credit Risks
International Series in Operations Research & Management Science | 2007-11-05 | Paper |
UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS
Probability in the Engineering and Informational Sciences | 2007-09-11 | Paper |
Ruin problems for a discrete time risk model with random interest rate
Mathematical Methods of Operations Research | 2007-05-31 | Paper |
Bounds of ruin probability for regime-switching models using time scale separation
Scandinavian Actuarial Journal | 2007-05-29 | Paper |
On Bayesian value at risk: from linear to non-linear portfolios
Asia-Pacific Financial Markets | 2006-10-24 | Paper |
Lundberg-type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin under a Markov-modulated Risk Model
ASTIN Bulletin | 2006-10-04 | Paper |
Ruin problems under feedback model with random interest
| 2006-09-18 | Paper |
OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION
International Journal of Theoretical and Applied Finance | 2006-09-12 | Paper |
Option pricing under threshold autoregressive models by threshold Esscher transform
Journal of Industrial and Management Optimization | 2006-07-14 | Paper |
On the joint distribution of surplus before and after ruin under a Markovian regime switching model
Stochastic Processes and their Applications | 2006-04-28 | Paper |
Optimal investment for insurer with jump-diffusion risk process
Insurance Mathematics \& Economics | 2006-03-08 | Paper |
Optimal stopping behavior of equity-linked investment products with regime switching
Insurance Mathematics \& Economics | 2006-03-08 | Paper |
scientific article; zbMATH DE number 5008178 (Why is no real title available?)
| 2006-02-21 | Paper |
Bayesian Risk Measures for Derivatives via Random Esscher Transform
North American Actuarial Journal | 2006-01-13 | Paper |
The Joint Distribution of Surplus Immediately before Ruin and the Deficit at Ruin under Interest Force
North American Actuarial Journal | 2006-01-13 | Paper |
scientific article; zbMATH DE number 2243787 (Why is no real title available?)
| 2006-01-06 | Paper |
Optimal Investment for an Insurer to Minimize Its Probability of Ruin
North American Actuarial Journal | 2006-01-06 | Paper |
Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin Under the Sparre Andersen Model
North American Actuarial Journal | 2006-01-06 | Paper |
On Erlang(2) Risk Process Perturbed by Diffusion
Communications in Statistics: Theory and Methods | 2005-11-15 | Paper |
Ruin in the perturbed compound Poisson risk process under interest force
Advances in Applied Probability | 2005-10-17 | Paper |
Ordering optimal proportions in the asset allocation problem with dependent default risks
Insurance Mathematics \& Economics | 2005-08-05 | Paper |
On the distribution of surplus immediately after ruin under interest force and subexponential claims
Insurance Mathematics \& Economics | 2005-08-05 | Paper |
Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions
Annals of Operations Research | 2005-04-22 | Paper |
Maxima of Sums of Heavy-Tailed Random Variables
ASTIN Bulletin | 2005-03-30 | Paper |
Asset Allocation with Regime-Switching: Discrete-Time Case
ASTIN Bulletin | 2005-03-30 | Paper |
Explicit expressions for the ruin probabilities of Erlang risk processes with Pareto individual claim distributions
Acta Mathematicae Applicatae Sinica. English Series | 2004-11-05 | Paper |
Two-time-scale Jump-Diffusion Models with Markovian Switching Regimes
Stochastics and Stochastic Reports | 2004-09-29 | Paper |
Precise large deviations for sums of random variables with consistently varying tails
Journal of Applied Probability | 2004-09-24 | Paper |
scientific article; zbMATH DE number 2101203 (Why is no real title available?)
| 2004-09-21 | Paper |
On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes.
Insurance Mathematics \& Economics | 2004-05-27 | Paper |
RUIN PROBABILITY UNDER COMPOUND POISSON MODELS WITH RANDOM DISCOUNT FACTOR
Probability in the Engineering and Informational Sciences | 2004-03-29 | Paper |
MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE
Probability in the Engineering and Informational Sciences | 2004-02-15 | Paper |
Precise large deviations for the prospective-loss process
Journal of Applied Probability | 2003-11-17 | Paper |
Some results on ruin probabilities in a two-dimensional risk model.
Insurance Mathematics \& Economics | 2003-11-16 | Paper |
Ruin theory in a financial corporation model with credit risk.
Insurance Mathematics \& Economics | 2003-11-16 | Paper |
On the distribution of surplus immediately after ruin under interest force
Insurance Mathematics \& Economics | 2003-06-17 | Paper |
Approximations for moments of deficit at ruin with exponential and subexponential claims.
Statistics \& Probability Letters | 2003-05-07 | Paper |
A PDE approach to risk measures of derivatives
Applied Mathematical Finance | 2002-09-05 | Paper |
On the distribution of surplus immediately before ruin under interest force
Statistics \& Probability Letters | 2002-09-05 | Paper |
Spectrally negative Lévy processes with applications in risk theory
Advances in Applied Probability | 2002-01-15 | Paper |
scientific article; zbMATH DE number 1867104 (Why is no real title available?)
| 2002-01-01 | Paper |
CONDITIONAL RUIN PROBABILITY WITH STOCHASTIC INTEREST RATE
Stochastic Analysis and Applications | 2001-10-10 | Paper |
European option pricing when the riskfree interest rate follows a jump process
Communications in Statistics. Stochastic Models | 2001-05-11 | Paper |
Subjective risk measures: Bayesian predictive scenarios analysis
Insurance Mathematics \& Economics | 2001-01-29 | Paper |
scientific article; zbMATH DE number 1287952 (Why is no real title available?)
| 1999-11-11 | Paper |
Non-exponential Bounds for Ruin Probability with Interest Effect Included
Scandinavian Actuarial Journal | 1999-09-14 | Paper |
Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying1
Mathematical Finance | 1998-04-05 | Paper |
Asset allocation with time variation in expected returns
Insurance Mathematics \& Economics | 1998-03-17 | Paper |
scientific article; zbMATH DE number 769870 (Why is no real title available?)
| 1995-09-14 | Paper |
How to count and guess well: Discrete adaptive filters
Applied Mathematics and Optimization | 1994-08-10 | Paper |
Control of partially observed diffusions
Journal of Optimization Theory and Applications | 1994-04-27 | Paper |
scientific article; zbMATH DE number 431852 (Why is no real title available?)
| 1993-11-18 | Paper |
