| Publication | Date of Publication | Type |
|---|
An axiomatic characterization of the quantile risk-sharing rule
Scandinavian Actuarial Journal | 2026-02-27 | Paper |
Optimal reinsurance design under distortion risk measures and reinsurer's default risk with partial recovery
ASTIN Bulletin | 2025-01-22 | Paper |
A user guide of CART and random forests with applications in FinTech and InsurTech
Japanese Journal of Statistics and Data Science | 2025-01-22 | Paper |
Learning computational upscaling models for a class of convection-diffusion equations
Journal of Computational and Applied Mathematics | 2024-06-17 | Paper |
Bowley solution under the reinsurer's default risk
Insurance Mathematics & Economics | 2024-03-21 | Paper |
Inter‐temporal mutual‐fund management
Mathematical Finance | 2023-09-28 | Paper |
A Kernel-Based Least-Squares Collocation Method for Surface Diffusion
SIAM Journal on Numerical Analysis | 2023-06-14 | Paper |
Learning rays via deep neural network in a ray-based IPDG method for high-frequency Helmholtz equations in inhomogeneous media
Journal of Computational Physics | 2022-07-21 | Paper |
Satisficing credibility for heterogeneous risks
European Journal of Operational Research | 2022-02-22 | Paper |
Bowley reinsurance with asymmetric information on the insurer's risk preferences
Scandinavian Actuarial Journal | 2021-09-13 | Paper |
Learning Rays via Deep Neural Network in a Ray-based IPDG Method for High-Frequency Helmholtz Equations in Inhomogeneous Media
(available as arXiv preprint) | 2021-06-19 | Paper |
Pareto-optimal insurance contracts with premium budget and minimum charge constraints
Insurance Mathematics & Economics | 2020-11-19 | Paper |
On the increasing convex order of generalized aggregation of dependent random variables
Insurance Mathematics & Economics | 2020-08-03 | Paper |
Evolutionary credibility risk premium
Insurance Mathematics & Economics | 2020-08-03 | Paper |
Concave distortion risk minimizing reinsurance design under adverse selection
Insurance Mathematics & Economics | 2020-03-20 | Paper |
Discrete least-squares radial basis functions approximations
Applied Mathematics and Computation | 2019-11-28 | 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 |
Budget-constrained optimal reinsurance design under coherent risk measures
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 |
Risk-adjusted bowley reinsurance under distorted probabilities
Insurance Mathematics & Economics | 2019-05-23 | Paper |
Comparisons of aggregate claim numbers and amounts: a study of heterogeneity
Scandinavian Actuarial Journal | 2019-05-10 | Paper |
An overview of conditional comonotonicity and its applications
Risk and Decision Analysis | 2019-03-12 | Paper |
Characterizations of optimal reinsurance treaties: a cost-benefit approach
Scandinavian Actuarial Journal | 2018-07-13 | Paper |
Tail mutual exclusivity and Tail-VaR lower bounds
Scandinavian Actuarial Journal | 2018-07-13 | Paper |
Optimal reinsurance under general law-invariant risk measures
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Ordered random vectors and equality in distribution
Scandinavian Actuarial Journal | 2018-07-10 | Paper |
On heterogeneity in the individual model with both dependent claim occurrences and severities
ASTIN Bulletin | 2018-06-06 | Paper |
$H^2$-Convergence of Least-Squares Kernel Collocation Methods
SIAM Journal on Numerical Analysis | 2018-03-09 | Paper |
Probabilistic solutions for a class of deterministic optimal allocation problems
Journal of Computational and Applied Mathematics | 2018-02-14 | Paper |
A kernel-based embedding method and convergence analysis for surfaces PDEs
SIAM Journal on Scientific Computing | 2018-02-07 | Paper |
Robust and Pareto optimality of insurance contracts
European Journal of Operational Research | 2017-12-06 | Paper |
Multivariate countermonotonicity and the minimal copulas
Journal of Computational and Applied Mathematics | 2017-02-09 | Paper |
A localized meshless method for diffusion on folded surfaces
Journal of Computational Physics | 2016-12-05 | Paper |
The optimal insurance under disappointment theories
Insurance Mathematics & Economics | 2015-09-14 | Paper |
Convex ordering for insurance preferences
Insurance Mathematics & Economics | 2015-09-14 | Paper |
Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
Insurance Mathematics & Economics | 2015-01-28 | Paper |
Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
Insurance Mathematics & Economics | 2014-09-22 | Paper |
General lower bounds on convex functionals of aggregate sums
Insurance Mathematics & Economics | 2014-06-23 | Paper |
Borch's theorem from the perspective of comonotonicity
Insurance Mathematics & Economics | 2014-06-23 | Paper |
Reducing risk by merging counter-monotonic risks
Insurance Mathematics & Economics | 2014-06-23 | Paper |
Optimal reinsurance in the presence of counterparty default risk
Insurance Mathematics & Economics | 2014-06-23 | Paper |
Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model
Applied Stochastic Models in Business and Industry | 2014-05-06 | Paper |
Bounds for sums of random variables when the marginal distributions and the variance of the sum are given
Scandinavian Actuarial Journal | 2013-12-17 | Paper |
Average value-at-risk minimizing reinsurance under Wang's premium principle with constraints
ASTIN Bulletin | 2013-12-12 | Paper |
Characterizing a comonotonic random vector by the distribution of the sum of its components
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Upper comonotonicity
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Applications of conditional comonotonicity to some optimization problems
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Comonotonic convex upper bound and majorization
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Upper comonotonicity and convex upper bounds for sums of random variables
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Optimal Reinsurance Revisited – A Geometric Approach
ASTIN Bulletin | 2010-06-21 | Paper |
Improved convex upper bound via conditional comonotonicity
Insurance Mathematics & Economics | 2009-01-28 | Paper |
Characterization of comonotonicity using convex order
Insurance Mathematics & Economics | 2009-01-16 | Paper |
Worst allocations of policy limits and deductibles
Insurance Mathematics & Economics | 2008-08-18 | Paper |
Stochastic orders of scalar products with applications
Insurance Mathematics & Economics | 2008-06-25 | Paper |
Ordering of Optimal Portfolio Allocations in a Model with a Mixture of Fundamental Risks
Journal of Applied Probability | 2008-04-30 | Paper |
Characterizations of Conditional Comonotonicity
Journal of Applied Probability | 2008-02-05 | Paper |
Optimal investment-consumption strategy in a discrete-time model with regime switching
Discrete and Continuous Dynamical Systems. Series B | 2008-01-18 | Paper |
Optimal allocation of policy limits and deductibles
Insurance Mathematics & Economics | 2007-12-14 | Paper |
Optimal portfolio problem with unknown dependency structure
Insurance Mathematics & Economics | 2006-10-05 | Paper |
Optimal stopping behavior of equity-linked investment products with regime switching
Insurance Mathematics & Economics | 2006-03-08 | Paper |
Ordering optimal proportions in the asset allocation problem with dependent default risks
Insurance Mathematics & Economics | 2005-08-05 | Paper |
Asset Allocation with Regime-Switching: Discrete-Time Case
ASTIN Bulletin | 2005-03-30 | Paper |
