| Publication | Date of Publication | Type |
|---|
| https://portal.mardi4nfdi.de/entity/Q6148931 | 2024-02-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q6080484 | 2023-10-02 | Paper |
| New results of the IO iteration algorithm for solving Sylvester matrix equation | 2022-09-27 | Paper |
| Optimal investment of DC pension plan with two VaR constraints | 2022-05-30 | Paper |
| The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier | 2022-05-20 | Paper |
| Optimal asset allocation for participating contracts with mortality risk under minimum guarantee | 2022-05-18 | Paper |
| The coupled iteration algorithms for computing PageRank | 2022-03-23 | Paper |
| CVA calculation for CDS under a contagion model with regime-switching intensities | 2021-12-17 | Paper |
| Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level | 2021-11-12 | Paper |
| Some relaxed iteration methods for solving matrix equation \(AXB=C\) | 2021-11-10 | Paper |
| Basket CDS pricing with default intensities using a regime-switching shot-noise model | 2021-10-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4984706 | 2021-04-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5129302 | 2020-10-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3307301 | 2020-08-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3307451 | 2020-08-12 | Paper |
| A multi-step Smith-inner-outer iteration algorithm for solving coupled continuous Markovian jump Lyapunov matrix equations | 2020-05-19 | Paper |
| Optimal asset allocation for participating contracts under the VaR and PI constraint | 2020-02-26 | Paper |
| Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier | 2020-01-20 | Paper |
| FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS | 2019-11-08 | Paper |
| Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan | 2019-11-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5196246 | 2019-10-02 | Paper |
| Correlated default models driven by a multivariate regime-switching shot noise process | 2019-09-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5383681 | 2019-06-21 | Paper |
| Optimal investment of DC pension plan under short-selling constraints and portfolio insurance | 2019-03-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4624724 | 2019-02-22 | Paper |
| Regime-switching pure jump processes and applications in the valuation of mortality-linked products | 2018-04-11 | Paper |
| Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities | 2018-01-19 | Paper |
| The dependence of assets and default threshold with thinning-dependence structure | 2017-06-16 | Paper |
| Pricing credit derivatives under a correlated regime-switching hazard processes model | 2017-05-22 | Paper |
| A regime-switching model with jumps and its application to bond pricing and insurance | 2016-11-25 | Paper |
| A hyper-Erlang jump-diffusion process and applications in finance | 2016-10-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2824453 | 2016-10-06 | Paper |
| A Markov Chain Copula Model for Credit Default Swaps with Bilateral Counterparty Risk | 2016-06-28 | Paper |
| A reduced-form model for correlated defaults with regime-switching shot noise intensities | 2016-06-08 | Paper |
| A hyper-exponential jump-diffusion model under the barrier dividend strategy | 2016-01-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5256907 | 2015-06-29 | Paper |
| A contagion model with Markov regime-switching intensities | 2015-02-27 | Paper |
| Regime-switching shot-noise processes and longevity bond pricing | 2015-02-25 | Paper |
| Bilateral counterparty risk valuation on a CDS with a common shock model | 2014-12-05 | Paper |
| A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk | 2014-08-08 | Paper |
| Unilateral counterparty risk valuation of CDS using a regime-switching intensity model | 2014-04-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5398750 | 2014-02-28 | Paper |
| Fair Valuation of Life Insurance Contracts Under a Two-Sided Jump Diffusion Model | 2013-11-26 | Paper |
| Decomposition of default probability under a structural credit risk model with jumps | 2013-02-21 | Paper |
| Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model | 2013-01-29 | Paper |
| A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives | 2013-01-25 | Paper |
| Fair Valuation of Life Insurance Contracts Under a Correlated Jump Diffusion Model | 2012-06-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2887198 | 2012-06-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3014850 | 2011-07-19 | Paper |
| Pricing the Zero-Coupon Bond and its Fair Premium Under a Structural Credit Risk Model with Jumps | 2011-07-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3071258 | 2011-02-05 | Paper |
| Ruin probability for correlated negative risk sums model with Erlang processes | 2010-02-12 | Paper |
| On the renewal risk model under a threshold strategy | 2009-06-25 | Paper |
| On a compounding assets model with positive jumps | 2009-02-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3599778 | 2009-02-09 | Paper |
| The Classical Risk Model with Constant Interest and Threshold Strategy | 2008-11-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3415080 | 2007-01-15 | Paper |
| Ruin probability for renewal risk model with negative risk sums | 2006-07-14 | Paper |
