| Publication | Date of Publication | Type |
|---|
Optimal reinsurance under a new design: two layers and multiple reinsurers
Quantitative Finance | 2024-08-14 | Paper |
Optimal payout strategies when Bruno de Finetti meets model uncertainty
Insurance Mathematics & Economics | 2024-05-24 | Paper |
“Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest”, Jun Cai, Hans U. Gerber and Hailiang Yang, April 2006
North American Actuarial Journal | 2021-12-22 | Paper |
Optimal risk exposure and dividend payout policies under model uncertainty
Insurance Mathematics & Economics | 2021-10-19 | Paper |
Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching
SIAM Journal on Control and Optimization | 2021-01-21 | Paper |
Liquidation risk in insurance under contemporary regulatory frameworks
Insurance Mathematics & Economics | 2020-08-03 | Paper |
Singular dividend optimization for a linear diffusion model with time-inconsistent preferences
European Journal of Operational Research | 2020-05-26 | Paper |
A martingale approach for asset allocation with derivative security and hidden economic risk
Journal of Applied Probability | 2019-10-07 | Paper |
Errata for ‘Optimal dividend control for a generalized risk model with investment incomes and debit interest’ online version
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Dividend optimization for general diffusions with restricted dividend payment rates
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Optimal financing and dividend distribution with transaction costs in the case of restricted dividend rates
ASTIN Bulletin | 2018-06-04 | Paper |
Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Optimal financing and dividend distribution in a general diffusion model with regime switching
Advances in Applied Probability | 2016-07-27 | Paper |
Optimal financing and dividend distribution in a general diffusion model with regime switching
Advances in Applied Probability | 2016-07-27 | Paper |
Dividend optimization for regime-switching general diffusions
Insurance Mathematics & Economics | 2015-01-28 | Paper |
Ruin probabilities of a dual Markov-modulated risk model
Communications in Statistics: Theory and Methods | 2014-07-30 | Paper |
Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest
Journal of Computational and Applied Mathematics | 2014-07-16 | Paper |
Dividend optimization for a regime-switching diffusion model with restricted dividend rates
ASTIN Bulletin | 2014-06-11 | Paper |
Optimal dividend control for a generalized risk model with investment incomes and debit interest
Scandinavian Actuarial Journal | 2013-12-17 | Paper |
Ruin probabilities for the perturbed compound Poisson risk process with investment
Communications in Statistics. Theory and Methods | 2012-06-08 | Paper |
On differentiability of ruin functions under Markov-modulated models
Stochastic Processes and their Applications | 2009-05-06 | Paper |
Estimates for the Absolute Ruin Probability in the Compound Poisson Risk Model with Credit and Debit Interest
Journal of Applied Probability | 2008-11-13 | Paper |
Upper Bounds for the Ruin Probabilities of the Entrance-Based Risk Model
Communications in Statistics: Theory and Methods | 2008-10-28 | Paper |
Ruin theory for a Markov regime-switching model under a threshold dividend strategy
Insurance Mathematics & Economics | 2008-08-22 | Paper |
Study of a risk model based on the entrance process
Statistics & Probability Letters | 2005-05-12 | Paper |
Value Maximization under Stochastic Quasi-Hyperbolic Discounting
(available as arXiv preprint) | N/A | Paper |
