| Publication | Date of Publication | Type |
|---|
Valuing equity-linked annuities under high-water mark fee structure
Scandinavian Actuarial Journal | 2024-05-30 | Paper |
Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach
Insurance Mathematics & Economics | 2024-02-13 | Paper |
Bayesian Multivariate Mixed Poisson Models with Copula-Based Mixture
North American Actuarial Journal | 2023-10-20 | Paper |
A scale function based approach for solving integral-differential equations in insurance risk models
Applied Mathematics and Computation | 2023-06-26 | Paper |
A class of non-zero-sum stochastic differential games between two mean–variance insurers under stochastic volatility
Probability in the Engineering and Informational Sciences | 2023-06-16 | Paper |
Discrete-time risk models with surplus-dependent premium corrections
Applied Mathematics and Computation | 2022-11-16 | Paper |
Optimal dividend strategies with reinsurance under contagious systemic risk
SIAM Journal on Control and Optimization | 2022-05-31 | Paper |
The time of recovery and the maximum severity of ruin in a Sparre Andersen model
North American Actuarial Journal | 2022-01-19 | Paper |
“On the Laplace Transform of the Aggregate Discounted Claims with Markovian Arrivals,” Jiandong Ren, April 2008
North American Actuarial Journal | 2022-01-19 | Paper |
Moments of the dividend payments and related problems in a Markov-modulated risk model
North American Actuarial Journal | 2022-01-10 | Paper |
Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market
Insurance Mathematics & Economics | 2021-11-19 | Paper |
Risk modelling on liquidations with Lévy processes
Applied Mathematics and Computation | 2021-11-15 | Paper |
On a class of non-zero-sum stochastic differential dividend games with regime switching
Applied Mathematics and Computation | 2021-11-09 | Paper |
Open-loop equilibrium strategy for mean-variance portfolio selection: a log-return model
Journal of Industrial and Management Optimization | 2021-06-09 | Paper |
Household lifetime strategies under a self-contagious market
European Journal of Operational Research | 2021-06-03 | Paper |
Some state-specific exit probabilities in a Markov-modulated risk model
Mathematical Problems in Engineering | 2020-11-04 | Paper |
Open-loop equilibrium strategy for mean-variance asset-liability management portfolio selection problem with debt ratio
Journal of Computational and Applied Mathematics | 2020-06-10 | Paper |
Generalized expected discounted penalty function at general drawdown for Lévy risk processes
Insurance Mathematics & Economics | 2020-03-20 | Paper |
On the type I multivariate zero-truncated hurdle model with applications in health insurance
Insurance Mathematics & Economics | 2020-02-03 | Paper |
The expected discounted penalty function: from infinite time to finite time
Scandinavian Actuarial Journal | 2019-05-10 | Paper |
Distributional study of finite-time ruin related problems for the classical risk model
Applied Mathematics and Computation | 2019-04-29 | Paper |
On the time and the number of claims when the surplus drops below a certain level
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
The finite time ruin probability in a risk model with capital injections
Scandinavian Actuarial Journal | 2018-07-10 | Paper |
Markowitz's mean-variance optimization with investment and constrained reinsurance
Journal of Industrial and Management Optimization | 2017-06-15 | Paper |
Optimal reinsurance under dynamic VaR constraint
Insurance Mathematics & Economics | 2016-12-14 | Paper |
On the occupation times in a delayed Sparre Andersen risk model with exponential claims
Insurance Mathematics & Economics | 2016-12-14 | Paper |
Number of jumps in two-sided first-exit problems for a compound Poisson process
Methodology and Computing in Applied Probability | 2016-11-11 | Paper |
Analysis of some ruin-related quantities in a Markov-modulated risk model
Stochastic Models | 2016-08-08 | Paper |
A note on the maximum severity of ruin in an Erlang(\(n\)) risk process
Mitteilungen. Schweizerische Aktuarvereinigung (SAV) | 2016-04-07 | Paper |
Some ruin problems for the MAP risk model
Insurance Mathematics & Economics | 2015-12-14 | Paper |
A reinsurance game between two insurance companies with nonlinear risk processes
Insurance Mathematics & Economics | 2015-05-26 | Paper |
The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model
Insurance Mathematics & Economics | 2014-04-04 | Paper |
On the generalized Gerber-Shiu function for surplus processes with interest
Insurance Mathematics & Economics | 2014-04-03 | Paper |
Joint distributions of some ruin related quantities in the compound binomial risk model
Stochastic Models | 2014-01-30 | Paper |
Erlang risk models and finite time ruin problems
Scandinavian Actuarial Journal | 2013-12-13 | Paper |
The finite-time ruin probability under the compound binomial risk model
European Actuarial Journal | 2013-08-20 | Paper |
The maximum severity of ruin in a perturbed risk process with Markovian arrivals
Statistics & Probability Letters | 2013-05-13 | Paper |
The equilibrium distribution of counting random variables
Open Journal of Discrete Mathematics | 2012-06-12 | Paper |
Finite time ruin problems for the Erlang\((2)\) risk model
Insurance Mathematics & Economics | 2012-02-10 | Paper |
On the maximum severity of ruin in the compound Poisson model with a threshold dividend strategy
Scandinavian Actuarial Journal | 2011-02-22 | Paper |
On the discounted penalty function in a discrete time renewal risk model with general interclaim times
Scandinavian Actuarial Journal | 2011-02-22 | Paper |
Matrix-Form Recursions for a Family of Compound Distributions
ASTIN Bulletin | 2010-06-21 | Paper |
The perturbed compound Poisson risk model with two-sided jumps
Journal of Computational and Applied Mathematics | 2010-01-15 | Paper |
The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
ASTIN Bulletin | 2009-09-13 | Paper |
The Gerber-Shiu discounted penalty functions for a risk model with two classes of claims
Journal of Computational and Applied Mathematics | 2009-07-20 | Paper |
The Markovian regime-switching risk model with a threshold dividend strategy
Insurance Mathematics & Economics | 2009-05-12 | Paper |
The distribution of total dividend payments in a Sparre Andersen model
Statistics & Probability Letters | 2009-05-12 | Paper |
The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
Scandinavian Actuarial Journal | 2007-05-29 | Paper |
On a class of discrete time renewal risk models
Scandinavian Actuarial Journal | 2007-05-29 | Paper |
Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models
Scandinavian Actuarial Journal | 2007-05-29 | Paper |
The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems
Insurance Mathematics & Economics | 2006-08-14 | Paper |
On the probability of ruin in a Markov-modulated risk model
Insurance Mathematics & Economics | 2006-03-08 | Paper |
“Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
North American Actuarial Journal | 2006-01-05 | Paper |
On the expected discounted penalty functions for two classes of risk processes
Insurance Mathematics & Economics | 2005-08-05 | Paper |
