| Publication | Date of Publication | Type |
|---|
The use of autoencoders for training neural networks with mixed categorical and numerical features
ASTIN Bulletin | 2023-07-13 | Paper |
Collective reserving using individual claims data
Scandinavian Actuarial Journal | 2022-06-20 | Paper |
Making Tweedie's compound Poisson model more accessible
European Actuarial Journal | 2021-12-17 | Paper |
Pricing equity-linked life insurance contracts with multiple risk factors by neural networks
Journal of Computational and Applied Mathematics | 2021-12-14 | Paper |
Gamma mixture density networks and their application to modelling insurance claim amounts
Insurance Mathematics & Economics | 2021-11-19 | Paper |
Asymptotic optimality of a first-order approximate strategy for an exponential utility maximization problem with a small coefficient of wealth-dependent risk aversion
Applied Mathematics and Optimization | 2021-08-11 | Paper |
One-year premium risk and emergence pattern of ultimate loss based on conditional distribution
ASTIN Bulletin | 2020-08-31 | Paper |
Fair valuation of insurance liability cash-flow streams in continuous time: theory
Insurance Mathematics & Economics | 2019-09-19 | Paper |
Fair valuation of insurance liability cash-flow streams in continuous time: applications
ASTIN Bulletin | 2019-05-29 | Paper |
Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient
Mathematical Methods of Operations Research | 2019-03-13 | Paper |
Optimal investment for a defined-contribution pension scheme under a regime switching model
ASTIN Bulletin | 2018-06-04 | Paper |
Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting
Insurance Mathematics & Economics | 2016-12-14 | Paper |
Instantaneous mean-variance hedging and Sharpe ratio pricing in a regime-switching financial model
Stochastic Models | 2015-03-20 | Paper |
Pricing and hedging of variable annuities with state-dependent fees
Insurance Mathematics & Economics | 2015-01-28 | Paper |
No-good-deal, local mean-variance and ambiguity risk pricing and hedging for an insurance payment process
ASTIN Bulletin | 2013-12-12 | Paper |
Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
EAA Series | 2013-07-18 | Paper |
Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance
Applicationes Mathematicae | 2012-12-06 | Paper |
BSDEs with time-delayed generators of a moving average type with applications to non-monotone preferences
Stochastic Models | 2012-08-13 | Paper |
Exponential utility optimization, indifference pricing and hedging for a payment process
Applicationes Mathematicae | 2012-04-17 | Paper |
An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Indifference pricing of a life insurance portfolio with systematic mortality risk in a market with an asset driven by a Lévy process
Scandinavian Actuarial Journal | 2011-02-22 | Paper |
Backward stochastic differential equations with time delayed generators -- results and counterexamples
The Annals of Applied Probability | 2010-09-01 | Paper |
On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures
Stochastic Processes and their Applications | 2010-08-18 | Paper |
Mean-variance optimization problems for an accumulation phase in a defined benefit plan
Insurance Mathematics & Economics | 2008-08-22 | Paper |
Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients
The Annals of Applied Probability | 2008-07-01 | Paper |
| Optimal investment and consumption in the presence of default on a financial market by a Lévy noise | 2008-03-20 | Paper |
Mean-variance portfolio selection for a non-life insurance company
Mathematical Methods of Operations Research | 2008-02-20 | Paper |
Optimal investment strategy for a non-life insurance company: quadratic loss
Applicationes Mathematicae | 2006-05-18 | Paper |
