| Publication | Date of Publication | Type |
|---|
Epidemic Financing Facilities: Pandemic Bonds and Endemic Swaps
North American Actuarial Journal | 2024-11-18 | Paper |
Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation
Annals of Operations Research | 2024-09-03 | Paper |
Flexible Weather Index Insurance Design with Penalized Splines
North American Actuarial Journal | 2024-06-03 | Paper |
An insurer's optimal strategy towards a new independent business
Scandinavian Actuarial Journal | 2024-02-26 | Paper |
Trade-off Between Validity and Efficiency of Merging P-Values Under Arbitrary Dependence
STATISTICA SINICA | 2023-11-09 | Paper |
Empirical tail risk management with model-based annealing random search
Insurance Mathematics & Economics | 2023-04-20 | Paper |
Annuity and insurance choice under habit formation
Insurance Mathematics & Economics | 2022-07-15 | 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 |
VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
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 |
Threshold life tables and their applications
North American Actuarial Journal | 2022-01-19 | Paper |
Reply to Hans U. Gerber and Elias S. W. Shiu on Their Discussion on Our Paper Entitled "Agricultural Insurance Ratemaking: Development of a New Premium Principle"
North American Actuarial Journal | 2021-12-18 | Paper |
Reply to Abylay Zhexembay on the Discussion on Our Paper Entitled "Agricultural Insurance Ratemaking: Development of a New Premium Principle"
North American Actuarial Journal | 2021-12-18 | Paper |
Demand for non-life insurance under habit formation
Insurance Mathematics & Economics | 2021-11-19 | Paper |
Optimal reinsurance with multiple reinsurers: competitive pricing and coalition stability
Insurance Mathematics & Economics | 2021-11-19 | Paper |
Optimal dynamic longevity hedge with basis risk
European Journal of Operational Research | 2021-11-09 | Paper |
Optimal incentive-compatible insurance with background risk
ASTIN Bulletin | 2021-09-24 | Paper |
Gompertz law revisited: forecasting mortality with a multi-factor exponential model
Insurance Mathematics & Economics | 2021-07-06 | Paper |
Improved index insurance design and yield estimation using a dynamic factor forecasting approach
Insurance Mathematics & Economics | 2021-03-17 | Paper |
The design of weather index insurance using principal component regression and partial least squares regression: the case of forage crops
North American Actuarial Journal | 2020-12-13 | Paper |
A Bowley solution with limited ceded risk for a monopolistic reinsurer
Insurance Mathematics & Economics | 2020-03-20 | Paper |
Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
European Journal of Operational Research | 2020-01-08 | Paper |
Agricultural Insurance Ratemaking: Development of a New Premium Principle
North American Actuarial Journal | 2019-12-18 | Paper |
A Relational Data Matching Model for Enhancing Individual Loss Experience: An Example from Crop Insurance
North American Actuarial Journal | 2019-12-18 | Paper |
Index insurance design
ASTIN Bulletin | 2019-05-29 | Paper |
Empirical approach for optimal reinsurance design
North American Actuarial Journal | 2019-05-28 | Paper |
Optimal reinsurance under the risk-adjusted value of an insurer's liability and an economic reinsurance premium principle
North American Actuarial Journal | 2019-05-28 | Paper |
Response to Hans U. Gerber on His Comments on Our Paper Entitled ”Empirical Approach for Optimal Reinsurance Design”
North American Actuarial Journal | 2019-05-28 | Paper |
Downside risk management of a defined benefit plan considering longevity basis risk
North American Actuarial Journal | 2019-05-15 | Paper |
Modeling period effects in multi-population mortality models: applications to Solvency II
North American Actuarial Journal | 2019-05-15 | Paper |
Optimal insurance in the presence of reinsurance
Scandinavian Actuarial Journal | 2018-07-17 | Paper |
Spatial dependence and aggregation in weather risk hedging: a Lévy subordinated hierarchical Archimedean copulas (LSHAC) approach
ASTIN Bulletin | 2018-06-06 | Paper |
PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
ASTIN Bulletin | 2018-06-04 | Paper |
The design of an optimal retrospective rating plan
ASTIN Bulletin | 2018-06-04 | Paper |
Vine copula models with GLM and sparsity
Communications in Statistics: Theory and Methods | 2017-08-23 | Paper |
Optimal hedging with basis risk under mean-variance criterion
Insurance Mathematics & Economics | 2017-07-17 | Paper |
The role of a representative reinsurer in optimal reinsurance
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Optimal VaR-based risk management with reinsurance
Annals of Operations Research | 2016-05-19 | Paper |
Marginal indemnification function formulation for optimal reinsurance
Insurance Mathematics & Economics | 2016-05-12 | Paper |
Pricing derivative securities using integrated quasi-Monte Carlo methods with dimension reduction and discontinuity realignment
SIAM Journal on Scientific Computing | 2015-01-23 | Paper |
Optimal reinsurance with general premium principles
Insurance Mathematics & Economics | 2014-04-03 | Paper |
VaR-based optimal partial hedging
ASTIN Bulletin | 2014-02-27 | Paper |
Pricing Bermudan options using low-discrepancy mesh methods
Quantitative Finance | 2014-02-20 | Paper |
Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications
Methodology and Computing in Applied Probability | 2013-09-20 | Paper |
Optimal reinsurance under VaR and CVaR risk measures a simplified approach
ASTIN Bulletin | 2012-06-11 | Paper |
How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?
Journal of Complexity | 2012-05-07 | Paper |
| Dimension reduction approach to simulating exotic options in a Meixner Lévy market | 2011-12-24 | Paper |
Optimality of general reinsurance contracts under CTE risk measure
Insurance Mathematics & Economics | 2011-08-02 | Paper |
Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
Scandinavian Actuarial Journal | 2011-02-22 | Paper |
Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach
ASTIN Bulletin | 2011-01-20 | Paper |
An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic Lévy Process
SIAM Journal on Scientific Computing | 2010-06-10 | Paper |
Optimal investment with noise trading risk
Journal of Systems Science and Complexity | 2009-10-15 | Paper |
Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
ASTIN Bulletin | 2009-06-15 | Paper |
Computation of optimal portfolios using simulation-based dimension reduction
Insurance Mathematics & Economics | 2009-01-16 | Paper |
Optimal reinsurance under VaR and CTE risk measures
Insurance Mathematics & Economics | 2008-08-18 | Paper |
Pricing Options Using Lattice Rules
North American Actuarial Journal | 2008-08-12 | Paper |
OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION
International Journal of Theoretical and Applied Finance | 2006-09-12 | Paper |
| scientific article; zbMATH DE number 5008178 (Why is no real title available?) | 2006-02-21 | Paper |
Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products
North American Actuarial Journal | 2006-01-13 | Paper |
Volatility Risk For Regime-Switching Models
North American Actuarial Journal | 2006-01-06 | Paper |
Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
North American Actuarial Journal | 2006-01-05 | Paper |
| scientific article; zbMATH DE number 2051221 (Why is no real title available?) | 2004-03-07 | Paper |
An improved simulation method for pricing high-dimensional American derivatives.
Mathematics and Computers in Simulation | 2003-05-19 | Paper |
Calibrating the Black-Derman-Toy model: some theoretical results
Applied Mathematical Finance | 2002-09-05 | Paper |
| scientific article; zbMATH DE number 1790433 (Why is no real title available?) | 2002-08-28 | Paper |
Applications of randomized low discrepancy sequences to the valuation of complex securities
Journal of Economic Dynamics and Control | 2000-10-26 | Paper |
Quasi-Monte Carlo Methods in Numerical Finance
Management Science | 1997-11-12 | Paper |
