| Publication | Date of Publication | Type |
|---|
Performance-based variable premium scheme and reinsurance design
Insurance Mathematics & Economics | 2026-01-13 | Paper |
Worst-case reinsurance strategy with likelihood ratio uncertainty
ASTIN Bulletin | 2025-10-14 | Paper |
Optimal reinsurance contract in a Stackelberg game framework: a view of social planner
Scandinavian Actuarial Journal | 2024-02-26 | Paper |
Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion
Mathematical Finance | 2023-09-28 | Paper |
A refracted Lévy process with delayed dividend pullbacks
Scandinavian Actuarial Journal | 2023-09-11 | Paper |
Optimal Stopping for Exponential Lévy Models with Weighted Discounting
SIAM Journal on Financial Mathematics | 2023-08-15 | Paper |
Bridging the first and last passage times for Lévy models
Stochastic Processes and their Applications | 2023-02-23 | Paper |
Analysis of a generalized penalty function in a semi-Markovian risk model
North American Actuarial Journal | 2022-02-11 | Paper |
On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model
North American Actuarial Journal | 2022-02-11 | Paper |
Author’s Reply: On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model - Discussion by David C. M. Dickson; Jae-Kyung Woo; Hans U. Gerber; Elias S. W. Shiu
North American Actuarial Journal | 2022-02-11 | Paper |
Recursive calculation of the dividend moments in a multi-threshold risk model
North American Actuarial Journal | 2022-01-19 | Paper |
On the analysis of deep drawdowns for the Lévy insurance risk model
Insurance Mathematics & Economics | 2021-10-19 | Paper |
An insurance risk process with a generalized income process: a solvency analysis
Insurance Mathematics & Economics | 2021-06-21 | Paper |
On series expansions for scale functions and other ruin-related quantities
Scandinavian Actuarial Journal | 2020-08-26 | Paper |
On occupation times in the red of Lévy risk models
Insurance Mathematics & Economics | 2020-08-03 | Paper |
Optimal reinsurance-investment strategy for a dynamic contagion claim model
Insurance Mathematics & Economics | 2020-08-03 | Paper |
On the distribution of classic and some exotic ruin times
Insurance Mathematics & Economics | 2019-11-28 | Paper |
Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application
North American Actuarial Journal | 2019-05-28 | Paper |
Equilibrium strategies for the mean-variance investment problem over a random horizon
SIAM Journal on Financial Mathematics | 2018-10-31 | Paper |
Poissonian potential measures for Lévy risk models
Insurance Mathematics & Economics | 2018-10-19 | Paper |
A unified approach for drawdown (drawup) of time-homogeneous Markov processes
Journal of Applied Probability | 2018-09-26 | Paper |
Analysis of IBNR claims in renewal insurance models
Scandinavian Actuarial Journal | 2018-07-17 | Paper |
Drawdown analysis for the renewal insurance risk process
Scandinavian Actuarial Journal | 2018-07-13 | Paper |
First passage time for compound Poisson processes with diffusion: ruin theoretical and financial applications
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
A note on deficit analysis in dependency models involving Coxian claim amounts
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Expected utility of the drawdown-based regime-switching risk model with state-dependent termination
Insurance Mathematics & Economics | 2018-04-12 | Paper |
A note on the convexity of ruin probabilities
Insurance Mathematics & Economics | 2017-05-24 | Paper |
On magnitude, asymptotics and duration of drawdowns for Lévy models
Bernoulli | 2017-01-11 | Paper |
On magnitude, asymptotics and duration of drawdowns for Lévy models
Bernoulli | 2017-01-11 | Paper |
A pair of optimal reinsurance-investment strategies in the two-sided exit framework
Insurance Mathematics & Economics | 2016-12-14 | Paper |
Risk measures related to the surplus process in the compound Markov binomial model
Mitteilungen. Schweizerische Aktuarvereinigung (SAV) | 2016-04-07 | Paper |
A note on order statistics in the mixed Erlang case
Statistics & Probability Letters | 2015-12-22 | Paper |
On minimizing drawdown risks of lifetime investments
Insurance Mathematics & Economics | 2015-12-14 | Paper |
On a risk model with claim investigation
Insurance Mathematics & Economics | 2015-12-14 | Paper |
On the frequency of drawdowns for Brownian motion processes
Journal of Applied Probability | 2015-05-29 | Paper |
On the frequency of drawdowns for Brownian motion processes
Journal of Applied Probability | 2015-05-29 | Paper |
A risk model with varying premiums: its risk management implications
Insurance Mathematics & Economics | 2015-03-13 | Paper |
Analysis of a drawdown-based regime-switching Lévy insurance model
Insurance Mathematics & Economics | 2015-03-13 | Paper |
Occupation times in the MAP risk model
Insurance Mathematics & Economics | 2015-03-13 | Paper |
On the analysis of time dependent claims in a class of birth process claim count models
Insurance Mathematics & Economics | 2015-01-28 | Paper |
An insurance risk model with Parisian implementation delays
Methodology and Computing in Applied Probability | 2014-12-05 | Paper |
An adaptive premium policy with a Bayesian motivation in the classical risk model
Insurance Mathematics & Economics | 2014-04-14 | Paper |
Analysis of the discounted sum of ascending ladder heights
Insurance Mathematics & Economics | 2014-04-14 | Paper |
DISTRIBUTION OF THE TIME TO RUIN IN SOME SPARRE ANDERSEN RISK MODELS
ASTIN Bulletin | 2014-02-27 | Paper |
On orderings and bounds in a generalized Sparre Andersen risk model
Applied Stochastic Models in Business and Industry | 2013-11-15 | Paper |
Moments of the discounted dividends in a threshold-typ Markovian risk process
Brazilian Journal of Probability and Statistics | 2013-09-16 | Paper |
On the analysis of a class of loss models incorporating time dependence
European Actuarial Journal | 2013-08-20 | Paper |
On a risk model with surplus-dependent premium and tax rates
Methodology and Computing in Applied Probability | 2012-11-05 | Paper |
A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
Insurance Mathematics & Economics | 2011-12-21 | Paper |
Gerber-Shiu analysis with a generalized penalty function.
Scandinavian Actuarial Journal | 2011-11-26 | Paper |
A Direct Approach to a First-Passage Problem with Applications in Risk Theory
Stochastic Models | 2011-10-21 | Paper |
On a Generalization of the Risk Model with Markovian Claim Arrivals
Stochastic Models | 2011-10-21 | Paper |
Occupation times of spectrally negative Lévy processes with applications
Stochastic Processes and their Applications | 2011-10-11 | Paper |
Occupation times of spectrally negative Lévy processes with applications
Stochastic Processes and their Applications | 2011-10-11 | Paper |
Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model
Insurance Mathematics & Economics | 2010-06-20 | Paper |
Applications of fluid flow matrix analytic methods in ruin theory -- a review
Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas | 2010-01-27 | Paper |
Perturbed MAP Risk Models with Dividend Barrier Strategies
Journal of Applied Probability | 2009-07-15 | Paper |
Dependent Risk Models with Bivariate Phase-Type Distributions
Journal of Applied Probability | 2009-04-14 | Paper |
Analysis of a threshold dividend strategy for a MAP risk model
Scandinavian Actuarial Journal | 2009-02-28 | Paper |
Randomized dividends in the compound binomial model with a general premium rate
Scandinavian Actuarial Journal | 2009-02-28 | Paper |
On the analysis of a multi-threshold Markovian risk model
Scandinavian Actuarial Journal | 2009-02-28 | Paper |
On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
Insurance Mathematics & Economics | 2009-01-28 | Paper |
Constant dividend barrier in a risk model with interclaim-dependent claim sizes
Insurance Mathematics & Economics | 2008-08-22 | Paper |
On the dual risk model with tax payments
Insurance Mathematics & Economics | 2008-06-25 | Paper |
On a risk model with dependence between interclaim arrivals and claim sizes
Scandinavian Actuarial Journal | 2007-05-29 | Paper |
Ruin probabilities in the discrete time renewal risk model
Insurance Mathematics & Economics | 2006-06-09 | Paper |
Ruin Probabilities in the Compound Markov Binomial Model
Scandinavian Actuarial Journal | 2006-05-24 | Paper |
Compound binomial risk model in a Markovian environment
Insurance Mathematics & Economics | 2005-01-13 | Paper |
