| Publication | Date of Publication | Type |
|---|
Contract structure and risk aversion in longevity risk transfers
Insurance Mathematics & Economics | 2026-06-23 | Paper |
Last exit time until first exit time for spectrally negative Lévy processes
Journal of Applied Probability | 2026-01-02 | Paper |
Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion
Mathematical Finance | 2023-09-28 | 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 |
Robust utility maximization with extremely ambiguity-loving and ambiguity-aversion preferences
Stochastics | 2022-06-30 | Paper |
General drawdown of general tax model in a time-homogeneous Markov framework
Journal of Applied Probability | 2021-12-01 | Paper |
On the analysis of deep drawdowns for the Lévy insurance risk model
Insurance Mathematics & Economics | 2021-10-19 | Paper |
A dynamic pricing game for general insurance market
Journal of Computational and Applied Mathematics | 2021-02-11 | 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 |
Equilibrium strategies for alpha-maxmin expected utility maximization
SIAM Journal on Financial Mathematics | 2019-07-26 | 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 |
A temporal approach to the Parisian risk model
Journal of Applied Probability | 2018-09-26 | Paper |
Alpha-robust mean-variance reinsurance-investment strategy
Journal of Economic Dynamics and Control | 2018-08-10 | Paper |
Drawdown analysis for the renewal insurance risk process
Scandinavian Actuarial Journal | 2018-07-13 | 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 |
On minimizing drawdown risks of lifetime investments
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 |
Analysis of a drawdown-based regime-switching Lévy insurance model
Insurance Mathematics & Economics | 2015-03-13 | Paper |
The joint Laplace transforms for diffusion occupation times
Advances in Applied Probability | 2014-01-31 | Paper |
A time-homogeneous diffusion model with tax
Journal of Applied Probability | 2013-04-25 | Paper |
