Runhuan Feng

Available identifiers

zbMath Open feng.runhuanMaRDI QIDQ253094

List of research outcomes

Publication	Date of Publication	Type
Holistic principle for risk aggregation and capital allocation	2024-02-08	Paper
Sample recycling method -- a new approach to efficient nested Monte Carlo simulations	2022-07-15	Paper
Peer-to-peer multi-risk insurance and mutual aid	2022-02-23	Paper
Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach	2021-12-08	Paper
Pandemic risk management: resources contingency planning and allocation	2021-11-19	Paper
Geometric Brownian motion with affine drift and its time-integral	2021-04-20	Paper
Geometric Brownian motion with affine drift and its time-integral	2020-12-17	Paper
SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS	2020-02-05	Paper
A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method	2019-05-28	Paper
Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model	2019-05-28	Paper
Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times	2019-05-10	Paper
Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits	2019-03-28	Paper
Exponential functionals of Lévy processes and variable annuity guaranteed benefits	2019-01-25	Paper
Risk based capital for guaranteed minimum withdrawal benefit	2018-11-19	Paper
Optimal dividend policies for piecewise-deterministic compound Poisson risk models	2018-07-11	Paper
An Introduction to Computational Risk Management of Equity-Linked Insurance	2018-06-26	Paper
Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits	2017-01-31	Paper
Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior	2016-12-28	Paper
Applications of central limit theorems for equity-linked insurance	2016-11-21	Paper
Stochastic integral representations of the extrema of time-homogeneous diffusion processes	2016-11-11	Paper
A short proof of duality relations for hypergeometric functions	2016-06-20	Paper
Statutory financial reporting for variable annuity guaranteed death benefits: market practice, mathematical modeling and computation	2016-05-12	Paper
https://portal.mardi4nfdi.de/entity/Q2801426	2016-04-07	Paper
An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit	2016-03-08	Paper
https://portal.mardi4nfdi.de/entity/Q3195635	2015-10-20	Paper
Potential measures for spectrally negative Markov additive processes with applications in ruin theory	2015-02-03	Paper
On a generalization from ruin to default in a Lévy insurance risk model	2015-01-28	Paper
Analytical calculation of risk measures for variable annuity guaranteed benefits	2014-04-25	Paper
A unified analysis of claim costs up to ruin in a Markovian arrival risk model	2014-04-15	Paper
Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach	2014-04-14	Paper
On the total operating costs up to default in a renewal risk model	2012-02-10	Paper
An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models	2011-08-01	Paper
Analysis of the Compound Poisson Surplus Model with Liquid Reserves, Interest and Dividends	2011-01-20	Paper
The compound Poisson surplus model with interest and liquid reserves: Analysis of the Gerber-Shiu discounted penalty function	2009-08-31	Paper
On the expectation of total discounted operating costs up to default and its applications	2009-07-22	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Runhuan Feng