Fei Lung Yuen

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
A cyclic approach on classical ruin model Insurance Mathematics & Economics	2020-03-20	Paper
Concave distortion risk minimizing reinsurance design under adverse selection Insurance Mathematics & Economics	2020-03-20	Paper
Reinsurance contract design with adverse selection Scandinavian Actuarial Journal	2019-11-06	Paper
On additivity of tail comonotonic risks Scandinavian Actuarial Journal	2019-11-06	Paper
On the uncertainty of VaR of individual risk Journal of Computational and Applied Mathematics	2019-11-05	Paper
Optimal asset allocation: risk and information uncertainty European Journal of Operational Research	2016-10-07	Paper
Option valuation by a self-exciting threshold binomial model Mathematical and Computer Modelling	2014-10-21	Paper
Optimal portfolio in a continuous-time self-exciting threshold model Journal of Industrial and Management Optimization	2013-11-14	Paper
Optimal asset allocation: a worst scenario expectation approach Journal of Optimization Theory and Applications	2012-07-31	Paper
Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method North American Actuarial Journal	2011-08-23	Paper
Option Pricing in a Jump-Diffusion Model with Regime Switching ASTIN Bulletin	2009-12-22	Paper

Research outcomes over time

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