| Publication | Date of Publication | Type |
|---|
Tokenization of distributed insurance by auction
Japanese Journal of Statistics and Data Science | 2025-01-22 | Paper |
A unified theory of decentralized insurance
Insurance Mathematics & Economics | 2025-01-17 | Paper |
Coping with longevity via hedging: fair dynamic valuation of variable annuities
Insurance Mathematics & Economics | 2024-07-17 | Paper |
Holistic principle for risk aggregation and capital allocation
Annals of Operations Research | 2024-02-08 | Paper |
Sample recycling method -- a new approach to efficient nested Monte Carlo simulations
Insurance Mathematics & Economics | 2022-07-15 | Paper |
Peer-to-peer multi-risk insurance and mutual aid
European Journal of Operational Research | 2022-02-23 | Paper |
Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach
Scandinavian Actuarial Journal | 2021-12-08 | Paper |
Pandemic risk management: resources contingency planning and allocation
Insurance Mathematics & Economics | 2021-11-19 | Paper |
Geometric Brownian motion with affine drift and its time-integral
Applied Mathematics and Computation | 2021-04-20 | Paper |
Geometric Brownian motion with affine drift and its time-integral
(available as arXiv preprint) | 2020-12-17 | Paper |
Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
ASTIN Bulletin | 2020-02-05 | Paper |
Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
ASTIN Bulletin | 2020-02-05 | Paper |
A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
North American Actuarial Journal | 2019-05-28 | Paper |
Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
North American Actuarial Journal | 2019-05-28 | Paper |
Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times
Scandinavian Actuarial Journal | 2019-05-10 | Paper |
Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits
Insurance Mathematics & Economics | 2019-03-28 | Paper |
Exponential functionals of Lévy processes and variable annuity guaranteed benefits
Stochastic Processes and their Applications | 2019-01-25 | Paper |
Risk based capital for guaranteed minimum withdrawal benefit
Quantitative Finance | 2018-11-19 | Paper |
Optimal dividend policies for piecewise-deterministic compound Poisson risk models
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
| An introduction to computational risk management of equity-linked insurance | 2018-06-26 | Paper |
Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
Insurance Mathematics & Economics | 2017-01-31 | Paper |
Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
Journal of Computational and Applied Mathematics | 2016-12-28 | Paper |
Applications of central limit theorems for equity-linked insurance
Insurance Mathematics & Economics | 2016-11-21 | Paper |
Stochastic integral representations of the extrema of time-homogeneous diffusion processes
Methodology and Computing in Applied Probability | 2016-11-11 | Paper |
A short proof of duality relations for hypergeometric functions
Journal of Mathematical Analysis and Applications | 2016-06-20 | Paper |
Statutory financial reporting for variable annuity guaranteed death benefits: market practice, mathematical modeling and computation
Insurance Mathematics & Economics | 2016-05-12 | Paper |
A matrix operator approach to the analysis of ruin-related quantities in the phase-type renewal risk model
Mitteilungen. Schweizerische Aktuarvereinigung (SAV) | 2016-04-07 | Paper |
An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
Mathematics and Financial Economics | 2016-03-08 | Paper |
scientific article; zbMATH DE number 6496530 (Why is no real title available?)
(available as arXiv preprint) | 2015-10-20 | Paper |
Potential measures for spectrally negative Markov additive processes with applications in ruin theory
Insurance Mathematics & Economics | 2015-02-03 | Paper |
On a generalization from ruin to default in a Lévy insurance risk model
Methodology and Computing in Applied Probability | 2015-01-28 | Paper |
Analytical calculation of risk measures for variable annuity guaranteed benefits
Insurance Mathematics & Economics | 2014-04-25 | Paper |
A unified analysis of claim costs up to ruin in a Markovian arrival risk model
Insurance Mathematics & Economics | 2014-04-15 | Paper |
Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach
Insurance Mathematics & Economics | 2014-04-14 | Paper |
On the total operating costs up to default in a renewal risk model
Insurance Mathematics & Economics | 2012-02-10 | Paper |
An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
Insurance Mathematics & Economics | 2011-08-01 | Paper |
Analysis of the compound Poisson surplus model with liquid reserves, interest and dividends
ASTIN Bulletin | 2011-01-20 | Paper |
The compound Poisson surplus model with interest and liquid reserves: Analysis of the Gerber-Shiu discounted penalty function
Methodology and Computing in Applied Probability | 2009-08-31 | Paper |
On the expectation of total discounted operating costs up to default and its applications
Advances in Applied Probability | 2009-07-22 | Paper |
