| Publication | Date of Publication | Type |
|---|
Optimal refinancing strategy for mortgage rate with regime switching
Applied Stochastic Models in Business and Industry | 2024-07-29 | Paper |
The valuation at origination of mortgages with full prepayment and default risks
Methodology and Computing in Applied Probability | 2024-06-04 | Paper |
Valuation of mortgage pass-through securities with partial prepayment risk
Communications in Statistics: Theory and Methods | 2022-08-01 | Paper |
Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model
Communications in Statistics: Theory and Methods | 2022-05-23 | Paper |
The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier
Communications in Statistics: Theory and Methods | 2022-05-20 | Paper |
Optimal asset allocation for participating contracts with mortality risk under minimum guarantee
Communications in Statistics: Theory and Methods | 2022-05-18 | Paper |
Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level
Journal of Industrial and Management Optimization | 2021-11-12 | Paper |
Basket CDS pricing with default intensities using a regime-switching shot-noise model
Communications in Statistics: Theory and Methods | 2021-10-01 | Paper |
Optimal asset allocation for participating contracts under the VaR and PI constraint
Scandinavian Actuarial Journal | 2020-02-26 | Paper |
| Robust optimal proportional reinsurance and investment strategy for an insurer with Ornstein-Uhlenbeck process | 2020-01-31 | Paper |
| An optimal reinsurance and investment problem with a defaultable security and a stock with Ornstein-Uhlenbeck process | 2019-10-02 | Paper |
Correlated default models driven by a multivariate regime-switching shot noise process
IMA Journal of Management Mathematics | 2019-09-25 | Paper |
A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes
Frontiers of Mathematics in China | 2018-10-04 | Paper |
Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching
Applied Mathematics and Computation | 2018-06-21 | Paper |
Pricing catastrophe options with counterparty credit risk in a reduced form model
Acta Mathematica Scientia. Series B. (English Edition) | 2018-06-07 | Paper |
Optimal reinsurance and investment problem in a defaultable market
Communications in Statistics: Theory and Methods | 2018-06-01 | 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 |
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 convertible bonds with counterparty credit risk in a reduced-form model | 2017-07-14 | Paper |
The dependence of assets and default threshold with thinning-dependence structure
Journal of Industrial and Management Optimization | 2017-06-16 | 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 discounted penalty function in a delayed-claims risk model
Acta Mathematicae Applicatae Sinica. English Series | 2017-02-14 | Paper |
A regime-switching model with jumps and its application to bond pricing and insurance
Stochastics and Dynamics | 2016-11-25 | Paper |
A reduced-form model for correlated defaults with regime-switching shot noise intensities
Methodology and Computing in Applied Probability | 2016-06-08 | Paper |
A contagion model with Markov regime-switching intensities
Frontiers of Mathematics in China | 2015-02-27 | Paper |
Bilateral counterparty risk valuation on a CDS with a common shock model
Methodology and Computing in Applied Probability | 2014-12-05 | Paper |
On a reduced form credit risk model with common shock and regime switching
Insurance Mathematics & Economics | 2014-04-25 | Paper |
Fair valuation of life insurance contracts under a two-sided jump diffusion model
Communications in Statistics. Theory and Methods | 2013-11-26 | Paper |
A reduced model with thinning-dependence structure
Chinese Journal of Applied Probability and Statistics | 2013-11-19 | Paper |
| Fair pricing of credit default swaps in an intensity-based model driven by subordinator processes | 2013-06-20 | Paper |
Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model
Asia-Pacific Financial Markets | 2013-01-29 | Paper |
A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives
Statistics & Probability Letters | 2013-01-25 | Paper |
Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
Insurance Mathematics & Economics | 2012-02-10 | Paper |
| On the joint distribution for a kind of Cox risk process | 2011-09-29 | Paper |
| The Erlang (2) risk model with interclaim-dependent claim sizes and constant dividend barrier | 2011-07-19 | Paper |
Pricing the zero-coupon bond and its fair premium under a structural credit risk model with jumps
Journal of Applied Probability | 2011-07-08 | Paper |
| scientific article; zbMATH DE number 5846388 (Why is no real title available?) | 2011-02-05 | Paper |
A constant interest risk model with tax payments
Stochastic Models | 2010-10-12 | Paper |
| Expected discounted penalty function for a thinning risk model | 2010-07-08 | Paper |
| Ruin probability for correlated risk process that is perturbed by diffusion | 2009-11-11 | Paper |
On the renewal risk model under a threshold strategy
Journal of Computational and Applied Mathematics | 2009-06-25 | Paper |
| Comparison of ruin probabilities for two different risk processes | 2009-04-28 | Paper |
On a compounding assets model with positive jumps
Applied Stochastic Models in Business and Industry | 2009-02-28 | Paper |
| scientific article; zbMATH DE number 5504950 (Why is no real title available?) | 2009-02-09 | Paper |
The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest
Insurance Mathematics & Economics | 2008-08-22 | Paper |
Some Ruin Problems for a Risk Process with Stochastic Interest
North American Actuarial Journal | 2008-08-12 | Paper |
| scientific article; zbMATH DE number 5283444 (Why is no real title available?) | 2008-06-03 | Paper |
On a correlated aggregate claims model with thinning-dependence structure
Insurance Mathematics & Economics | 2007-05-24 | Paper |
On a joint distribution for the risk process with constant interest force
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 |
Ruin probability for renewal risk model with negative risk sums
Journal of Industrial and Management Optimization | 2006-07-14 | Paper |
Ruin probabilities for a~risk process with stochastic return on investments.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
Distributions for the risk process with a stochastic return on investments.
Stochastic Processes and their Applications | 2005-02-25 | Paper |
| scientific article; zbMATH DE number 2135403 (Why is no real title available?) | 2005-02-21 | Paper |
Distribution of deficit at ruin for a PDMP insurance risk model
Acta Mathematicae Applicatae Sinica. English Series | 2004-06-22 | Paper |
The joint density function of three characteristics on jump-diffusion risk process.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
Joint distributions of some actuarial random vectors containing the time of ruin
Insurance Mathematics & Economics | 2003-11-16 | Paper |
Ruin theory for the risk process described by PDMPs
Acta Mathematicae Applicatae Sinica. English Series | 2003-11-16 | Paper |
Some results for classical risk process with stochastic return on investments
Acta Mathematicae Applicatae Sinica. English Series | 2003-09-25 | Paper |
| scientific article; zbMATH DE number 1932260 (Why is no real title available?) | 2003-09-23 | Paper |
Ruin problem for a class of risk processes perturbed by diffusion
Applied Mathematics. Series B (English Edition) | 2003-07-29 | Paper |
Some distributions for classical risk process that is perturbed by diffusion
Insurance Mathematics & Economics | 2001-05-16 | Paper |
| scientific article; zbMATH DE number 1517059 (Why is no real title available?) | 2001-01-14 | Paper |
| scientific article; zbMATH DE number 1536509 (Why is no real title available?) | 2000-11-28 | Paper |
A generalization of risk model perturbed by diffusion
Applied Mathematics. Series B (English Edition) | 2000-10-15 | Paper |
