| Publication | Date of Publication | Type |
|---|
Maximizing the probability of reaching a goal before ruin with transaction costs
Methodology and Computing in Applied Probability | 2026-03-31 | Paper |
Optimal investment strategy for a robust DC pension plan under the Heston model
| 2024-01-23 | Paper |
Optimal Monotone Mean-Variance Problem in a Catastrophe Insurance Model
| 2023-10-31 | Paper |
Optimal insurance design under mean-variance preference with narrow framing
Insurance Mathematics & Economics | 2023-10-12 | Paper |
Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin
Insurance Mathematics & Economics | 2023-10-12 | Paper |
Optimal proportional reinsurance to maximize an insurer’s exponential utility under unobservable drift
Journal of Applied Probability | 2023-08-16 | Paper |
Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
SIAM Journal on Financial Mathematics | 2023-03-31 | Paper |
A simple and nearly optimal investment strategy to minimize the probability of lifetime ruin
ASTIN Bulletin | 2022-06-13 | Paper |
Optimal insurance to maximize RDEU under a distortion-deviation premium principle
Insurance Mathematics & Economics | 2022-05-12 | Paper |
Discounted probability of exponential Parisian ruin: diffusion approximation
Journal of Applied Probability | 2022-04-01 | Paper |
Optimal life insurance purchase and consumption/investment under mean-reverting returns
SCIENTIA SINICA Mathematica | 2021-12-17 | Paper |
Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
Insurance Mathematics & Economics | 2020-08-03 | Paper |
Minimizing the discounted probability of exponential Parisian ruin via reinsurance
SIAM Journal on Control and Optimization | 2020-04-01 | Paper |
Minimizing the probability of lifetime exponential Parisian ruin
Journal of Optimization Theory and Applications | 2020-02-26 | Paper |
REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE
ASTIN Bulletin | 2020-02-03 | Paper |
Minimizing the probability of lifetime ruin: two riskless assets with transaction costs
ASTIN Bulletin | 2019-11-22 | Paper |
Minimizing the probability of ruin: optimal per-loss reinsurance
Insurance Mathematics & Economics | 2018-10-19 | Paper |
A note on optimal expected utility of dividend payments with proportional reinsurance
Scandinavian Actuarial Journal | 2018-08-31 | Paper |
Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance
Statistics & Probability Letters | 2018-06-21 | Paper |
Annuitization and asset allocation under exponential utility
Insurance Mathematics & Economics | 2018-04-12 | Paper |
Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process
Insurance Mathematics & Economics | 2017-11-23 | Paper |
Minimizing expected time to reach a given capital level before ruin
Journal of Industrial and Management Optimization | 2017-10-20 | Paper |
Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Optimal investment, consumption, and life insurance in an incomplete market
Communications in Statistics. Theory and Methods | 2016-08-26 | Paper |
Optimal investment, consumption and timing of annuity purchase under a preference change
Journal of Mathematical Analysis and Applications | 2015-03-27 | Paper |
Optimal time-consistent portfolio and contribution selection for defined benefit pension schemes under mean-variance criterion
The ANZIAM Journal | 2014-11-12 | Paper |
