| Publication | Date of Publication | Type |
|---|
Compositional inverse Gaussian models with applications in compositional data analysis with possible zero observations
Journal of Statistical Computation and Simulation | 2024-06-10 | Paper |
Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors
Scandinavian Actuarial Journal | 2024-04-10 | Paper |
Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance
Science China. Mathematics | 2024-01-18 | Paper |
Proportional inverse Gaussian distribution: A new tool for analysing continuous proportional data
Australian <html_ent glyph="@amp;" ascii="&"/> New Zealand Journal of Statistics | 2023-10-20 | Paper |
Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
European Journal of Operational Research | 2023-09-15 | Paper |
scientific article; zbMATH DE number 7708735 (Why is no real title available?)
| 2023-07-07 | Paper |
Estimation in quantile regression models for correlated data with diverging number of covariates and large cluster sizes
Communications in Statistics: Theory and Methods | 2023-02-03 | Paper |
Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
Journal of Theoretical Probability | 2022-11-21 | Paper |
Optimal dividends and reinsurance with capital injection under thinning dependence
Communications in Statistics: Theory and Methods | 2022-08-01 | Paper |
A new multivariate t distribution with variant tail weights and its application in robust regression analysis
Journal of Applied Statistics | 2022-07-26 | Paper |
The finite-time ruin probability of a risk model with a general counting process and stochastic return
Journal of Industrial and Management Optimization | 2022-06-09 | Paper |
A discrete-time risk model with Poisson ARCH claim-number process
Communications in Statistics: Theory and Methods | 2022-05-18 | Paper |
Optimal reinsurance and investment in a Markovian regime-switching economy with delay and common shock
SCIENTIA SINICA Mathematica | 2022-03-21 | Paper |
Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach
Journal of Industrial and Management Optimization | 2022-02-16 | Paper |
Sparsity-restricted estimation for the accelerated failure time model
Statistics and Its Interface | 2022-02-02 | Paper |
Optimal investment and reinsurance with premium control
Journal of Industrial and Management Optimization | 2021-11-12 | Paper |
Optimal portfolio and consumption for a Markovian regime-switching jump-diffusion process
The ANZIAM Journal | 2021-11-11 | Paper |
Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process
Acta Mathematicae Applicatae Sinica. English Series | 2021-11-04 | Paper |
Minimizing the probability of absolute ruin under the mean‐variance premium principle
Optimal Control Applications & Methods | 2021-10-28 | Paper |
Minimizing the probability of absolute ruin under ambiguity aversion
Applied Mathematics and Optimization | 2021-10-19 | Paper |
Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
Scandinavian Actuarial Journal | 2021-05-28 | Paper |
Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times
Insurance Mathematics & Economics | 2021-03-17 | Paper |
Optimal dividend and risk control policies in the presence of a fixed transaction cost
Journal of Computational and Applied Mathematics | 2021-02-03 | Paper |
The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation
Japan Journal of Industrial and Applied Mathematics | 2020-04-27 | Paper |
Interplay of financial and insurance risks in dependent discrete-time risk models
Statistics & Probability Letters | 2020-04-22 | Paper |
Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
Scandinavian Actuarial Journal | 2020-04-07 | Paper |
A new multivariate zero-adjusted Poisson model with applications to biomedicine
Biometrical Journal | 2020-02-03 | Paper |
Zero-one-inflated simplex regression models for the analysis of continuous proportion data
Statistics and Its Interface | 2020-01-31 | Paper |
A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling
Journal of Computational and Applied Mathematics | 2019-11-05 | Paper |
Multivariate zero-and-one inflated Poisson model with applications
Journal of Computational and Applied Mathematics | 2019-11-05 | Paper |
Correlated default models driven by a multivariate regime-switching shot noise process
IMA Journal of Management Mathematics | 2019-09-25 | Paper |
Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
Mathematical Methods of Operations Research | 2019-09-19 | Paper |
Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
Journal of Industrial and Management Optimization | 2019-02-05 | Paper |
Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
Scandinavian Actuarial Journal | 2018-12-14 | Paper |
A new MM algorithm for constrained estimation in the proportional hazards model
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
Optimal reinsurance in a compound Poisson risk model with dependence
Journal of Applied Mathematics and Computing | 2018-09-25 | Paper |
Asymptotics for a discrete-time risk model with gamma-like insurance risks
Scandinavian Actuarial Journal | 2018-07-13 | Paper |
Optimal dynamic reinsurance with dependent risks: variance premium principle
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Survival probabilities in a discrete semi-Markov risk model
Applied Mathematics and Computation | 2018-06-22 | Paper |
A note on joint occupation times of spectrally negative Lévy risk processes with tax
Statistics & Probability Letters | 2018-06-21 | Paper |
Portfolio selection by minimizing the present value of capital injection costs
ASTIN Bulletin | 2018-06-04 | Paper |
Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
Journal of Applied Mathematics and Computing | 2018-04-13 | Paper |
Regime-switching pure jump processes and applications in the valuation of mortality-linked products
Communications in Statistics: Theory and Methods | 2018-04-11 | Paper |
Optimal investment and premium control in a nonlinear diffusion model
Acta Mathematicae Applicatae Sinica. English Series | 2018-01-19 | Paper |
Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities
Frontiers of Mathematics in China | 2018-01-19 | Paper |
Pricing credit derivatives under a correlated regime-switching hazard processes model
Journal of Industrial and Management Optimization | 2017-05-22 | Paper |
On the expected penalty functions in a discrete semi-Markov risk model with randomized dividends
Journal of Computational and Applied Mathematics | 2016-12-28 | Paper |
A regime-switching model with jumps and its application to bond pricing and insurance
Stochastics and Dynamics | 2016-11-25 | Paper |
Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
Mathematical Methods of Operations Research | 2016-10-20 | Paper |
Optimal dividend and reinsurance in the presence of two reinsurers
Journal of Applied Probability | 2016-08-11 | Paper |
Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims
Journal of Mathematical Analysis and Applications | 2016-06-09 | Paper |
A reduced-form model for correlated defaults with regime-switching shot noise intensities
Methodology and Computing in Applied Probability | 2016-06-08 | Paper |
Optimal proportional reinsurance with common shock dependence
Insurance Mathematics & Economics | 2015-09-14 | Paper |
Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs
Journal of Industrial and Management Optimization | 2015-06-23 | Paper |
Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory
Frontiers of Mathematics in China | 2015-03-02 | Paper |
Regime-switching shot-noise processes and longevity bond pricing
Lithuanian Mathematical Journal | 2015-02-25 | Paper |
Distorted mix method for constructing copulas with tail dependence
Insurance Mathematics & Economics | 2015-01-28 | Paper |
Bilateral counterparty risk valuation on a CDS with a common shock model
Methodology and Computing in Applied Probability | 2014-12-05 | Paper |
A multivariate regime-switching mean reverting process and its application to the valuation of credit risk
Stochastic Analysis and Applications | 2014-08-08 | Paper |
Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model
Applied Stochastic Models in Business and Industry | 2014-05-06 | Paper |
Unilateral counterparty risk valuation of CDS using a regime-switching intensity model
Statistics & Probability Letters | 2014-04-17 | Paper |
Precise large deviations of aggregate claims in a size-dependent renewal risk model
Insurance Mathematics & Economics | 2014-04-14 | Paper |
Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes
Acta Mathematicae Applicatae Sinica. English Series | 2014-03-14 | Paper |
Optimal proportional reinsurance under dependent risks
Journal of Systems Science and Complexity | 2014-01-27 | Paper |
Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
Applied Stochastic Models in Business and Industry | 2013-11-15 | Paper |
On a discrete-time risk model with delayed claims and dividends
Risk and Decision Analysis | 2013-05-23 | Paper |
Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables
Chinese Annals of Mathematics. Series B | 2012-12-06 | Paper |
Bayesian non-randomized response models for surveys with sensitive questions
Statistics and Its Interface | 2012-08-18 | Paper |
Precise large deviations of random sums in presence of negative dependence and consistent variation
Methodology and Computing in Applied Probability | 2012-06-20 | Paper |
The maximum of randomly weighted sums with long tails in insurance and finance
Stochastic Analysis and Applications | 2012-02-19 | Paper |
Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Optimality of the threshold dividend strategy for the compound Poisson model
Statistics & Probability Letters | 2011-11-15 | Paper |
On optimality of the barrier strategy for a general Lévy risk process
Mathematical and Computer Modelling | 2011-08-28 | Paper |
Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
Insurance Mathematics & Economics | 2011-08-02 | Paper |
Asymptotics of the goodness-of-fit test for a partial linear model with randomly censored data
Science in China. Series A | 2011-07-21 | Paper |
The compound Poisson process perturbed by a diffusion with a threshold dividend strategy
Applied Stochastic Models in Business and Industry | 2011-02-22 | Paper |
Convexity of ruin probability and optimal dividend strategies for a general Levy process
| 2011-01-02 | Paper |
Analysis of an insurance risk model with thinning dependence and common shock
| 2010-06-07 | Paper |
Ultimate ruin probability for a time-series risk model with dependent classes of insurance business
| 2010-06-07 | Paper |
Further properties and new applications of the nested Dirichlet distribution
Computational Statistics and Data Analysis | 2010-04-06 | Paper |
On the renewal risk model under a threshold strategy
Journal of Computational and Applied Mathematics | 2009-06-25 | Paper |
Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
Stochastic Models | 2009-04-08 | Paper |
A k-sample test with interval censored data
Biometrika | 2009-01-15 | Paper |
The Classical Risk Model with Constant Interest and Threshold Strategy
COMPSTAT 2008 | 2008-11-10 | Paper |
On a risk model with debit interest and dividend payments
Statistics & Probability Letters | 2008-10-30 | Paper |
On the distributions of two classes of multiple dependent aggregate claims
Acta Mathematicae Applicatae Sinica. English Series | 2008-10-27 | Paper |
Some Ruin Problems for a Risk Process with Stochastic Interest
North American Actuarial Journal | 2008-08-12 | Paper |
A Nonparametric Test for Interval-Censored Failure Time Data with Unequal Censoring
Communications in Statistics: Theory and Methods | 2008-08-08 | Paper |
Ruin probabilities in Cox risk models with two dependent classes of business
Acta Mathematica Sinica, English Series | 2007-08-31 | Paper |
A time-series risk model with constant interest for dependent classes of business
Insurance Mathematics & Economics | 2007-07-19 | Paper |
Asymptotics for a censored generalized linear model with unknown link function
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2007-06-21 | Paper |
Some results on the compound Markov binomial model
Scandinavian Actuarial Journal | 2007-05-29 | Paper |
On a Mixture GARCH Time-Series Model
Journal of Time Series Analysis | 2007-05-29 | Paper |
On a correlated aggregate claims model with thinning-dependence structure
Insurance Mathematics & Economics | 2007-05-24 | Paper |
The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
Insurance Mathematics & Economics | 2007-02-19 | Paper |
On the renewal risk process with stochastic interest
Stochastic Processes and their Applications | 2006-12-07 | Paper |
Profile empirical likelihood for parametric and semiparametric models
Annals of the Institute of Statistical Mathematics | 2006-09-06 | Paper |
On the first time of ruin in the bivariate compound Poisson model
Insurance Mathematics & Economics | 2006-06-09 | Paper |
Ruin probabilities for a~risk process with stochastic return on investments.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
On Erlang(2) Risk Process Perturbed by Diffusion
Communications in Statistics: Theory and Methods | 2005-11-15 | Paper |
Stochastic programming method for multiperiod consumption and investment problems with transactions costs
Journal of Systems Science and Complexity | 2005-11-01 | Paper |
On Ultimate Ruin in a Delayed-Claims Risk Model
Journal of Applied Probability | 2005-08-25 | Paper |
Optimal consumption and investment problems under GARCH with transaction costs
Mathematical Methods of Operations Research | 2005-06-16 | Paper |
scientific article; zbMATH DE number 2101203 (Why is no real title available?)
| 2004-09-21 | Paper |
scientific article; zbMATH DE number 2076204 (Why is no real title available?)
| 2004-06-18 | Paper |
Comparing \(k\) cumulative incidence functions through resampling methods
Lifetime Data Analysis | 2004-02-14 | Paper |
Ruin probabilities for time-correlated claims in the compound binomial model.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
On a correlated aggregate claims model with Poisson and Erlang risk processes.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
A discrete-time risk model with interaction between classes of business.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
Resampling Methods for Testing a Semiparametric Random Censorship Model
Scandinavian Journal of Statistics | 2003-08-07 | Paper |
On the mean residual life regression model
Journal of Statistical Planning and Inference | 2003-05-19 | Paper |
A test of fit for a semiparametric additive risk model
Biometrika | 1998-06-08 | Paper |
Goodness-of-fit tests for the Cox model via bootstrap method
Journal of Statistical Planning and Inference | 1996-02-13 | Paper |
scientific article; zbMATH DE number 597597 (Why is no real title available?)
| 1994-06-29 | Paper |
