| Publication | Date of Publication | Type |
|---|
Optimal insurance for a prudent decision maker under heterogeneous beliefs
European Actuarial Journal | 2024-02-21 | Paper |
Pareto-optimal reinsurance under individual risk constraints
Insurance Mathematics & Economics | 2023-02-01 | Paper |
The effect of risk constraints on the optimal insurance policy
European Actuarial Journal | 2023-01-09 | Paper |
EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES
ASTIN Bulletin | 2022-11-04 | Paper |
Tail Moments of Compound Distributions
North American Actuarial Journal | 2022-10-06 | Paper |
Estimation of model parameters of dependent processes constructed using Lévy copulas
Communications in Statistics. Simulation and Computation | 2022-06-21 | Paper |
“The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model,” Shuanming Li, October 2008
North American Actuarial Journal | 2022-02-11 | Paper |
Jiandong Ren's Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020
North American Actuarial Journal | 2022-02-07 | Paper |
On the Laplace transform of the aggregate discounted claims with Markovian arrivals
North American Actuarial Journal | 2022-01-19 | Paper |
Author’s Reply: The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model - Discussion by Shuanming Li, July 2007
North American Actuarial Journal | 2022-01-19 | Paper |
Author's reply: ``On the Laplace transform of the aggregate discounted claims with Markovian arrivals -- discussion by Professor Elias Shiu, April 2008
North American Actuarial Journal | 2022-01-19 | Paper |
The discounted joint distribution of the surplus prior to ruin and the deficit at ruin in a Sparre Andersen model
North American Actuarial Journal | 2022-01-10 | Paper |
The mathematical mechanism of biological aging
North American Actuarial Journal | 2021-04-28 | Paper |
Pareto-optimal reinsurance policies with maximal synergy
Insurance Mathematics & Economics | 2021-03-17 | Paper |
Optimal insurance contracts under distortion risk measures with ambiguity aversion
ASTIN Bulletin | 2020-08-31 | Paper |
On optimal reinsurance treaties in cooperative game under heterogeneous beliefs
Insurance Mathematics & Economics | 2019-03-28 | Paper |
On Pareto-optimal reinsurance with constraints under distortion risk measures
European Actuarial Journal | 2018-10-31 | Paper |
Recursions and fast Fourier transforms for a new bivariate aggregate claims model
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Moment-based density approximations for aggregate losses
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
CMPH: a multivariate phase-type aggregate loss distribution
Dependence Modeling | 2018-06-27 | Paper |
Parameter estimation of discrete multivariate phase-type distributions
Methodology and Computing in Applied Probability | 2016-11-11 | Paper |
Analysis of a multivariate claim process
Methodology and Computing in Applied Probability | 2016-04-12 | Paper |
A multivariate aggregate loss model
Insurance Mathematics & Economics | 2014-04-14 | Paper |
Erlangian approximation to finite time ruin probabilities in perturbed risk models
Scandinavian Actuarial Journal | 2013-12-13 | Paper |
A risk model based on Markov chains with marked transitions
Stochastic Models | 2013-07-24 | Paper |
The maximum severity of ruin in a perturbed risk process with Markovian arrivals
Statistics & Probability Letters | 2013-05-13 | Paper |
The moments of the time of ruin in Markovian risk models
North American Actuarial Journal | 2011-08-23 | Paper |
Recursive formulas for compound phase distributions -- univariate and bivariate cases
| 2011-02-01 | Paper |
An approximation to the distribution and the moments of the number of events in Markovian arrival processes
Stochastic Models | 2011-01-13 | Paper |
The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times
Applied Mathematics and Computation | 2010-04-14 | Paper |
Perturbed Risk Processes Analyzed as Fluid Flows
Stochastic Models | 2009-09-18 | Paper |
A connection between the discounted and non-discounted expected penalty functions in the Sparre Andersen risk model
Statistics & Probability Letters | 2009-03-04 | Paper |
The expected value of the time of ruin and the moments of the discounted deficit at ruin in the perturbed classical risk process
Insurance Mathematics & Economics | 2006-03-08 | Paper |
