| Publication | Date of Publication | Type |
|---|
Pricing airbag option via first passage time approach
Quantitative Finance | 2024-08-26 | Paper |
Optimal investment based on relative performance and weighted utility
Applied Mathematics. Series B (English Edition) | 2024-07-22 | Paper |
The valuation at origination of mortgages with full prepayment and default risks
Methodology and Computing in Applied Probability | 2024-06-04 | Paper |
The shifted inner-outer iteration methods for solving Sylvester matrix equations
Journal of the Franklin Institute | 2024-04-30 | Paper |
| Optimal investment of DC pension plan under loss aversion and LEL constraint | 2024-02-08 | Paper |
| Optimal asset allocation for participating contracts under short-selling and VaR constraints -- based on the dual perspective of the insurer and the insured | 2023-10-02 | Paper |
New results of the IO iteration algorithm for solving Sylvester matrix equation
Journal of the Franklin Institute | 2022-09-27 | Paper |
Optimal investment of DC pension plan with two VaR constraints
Communications in Statistics: Theory and Methods | 2022-05-30 | Paper |
The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier
Communications in Statistics: Theory and Methods | 2022-05-20 | Paper |
Optimal asset allocation for participating contracts with mortality risk under minimum guarantee
Communications in Statistics: Theory and Methods | 2022-05-18 | Paper |
The coupled iteration algorithms for computing PageRank
Numerical Algorithms | 2022-03-23 | Paper |
CVA calculation for CDS under a contagion model with regime-switching intensities
SCIENTIA SINICA Mathematica | 2021-12-17 | Paper |
Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level
Journal of Industrial and Management Optimization | 2021-11-12 | Paper |
Some relaxed iteration methods for solving matrix equation \(AXB=C\)
Applied Mathematics and Computation | 2021-11-10 | Paper |
Basket CDS pricing with default intensities using a regime-switching shot-noise model
Communications in Statistics: Theory and Methods | 2021-10-01 | Paper |
Optimal investment of DC pension plan under incentive schemes and loss aversion
Mathematical Problems in Engineering | 2021-05-14 | Paper |
| Optimal investment of DC pension plan with minimum guarantee | 2021-04-26 | Paper |
| Pricing vulnerable European options under a jump-diffusion model with stochastic rate | 2020-10-27 | Paper |
| scientific article; zbMATH DE number 7234466 (Why is no real title available?) | 2020-08-12 | Paper |
| scientific article; zbMATH DE number 7234612 (Why is no real title available?) | 2020-08-12 | Paper |
A multi-step Smith-inner-outer iteration algorithm for solving coupled continuous Markovian jump Lyapunov matrix equations
Journal of the Franklin Institute | 2020-05-19 | Paper |
Optimal asset allocation for participating contracts under the VaR and PI constraint
Scandinavian Actuarial Journal | 2020-02-26 | Paper |
Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier
Journal of Systems Science and Complexity | 2020-01-20 | Paper |
| FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS | 2019-11-08 | Paper |
Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
European Journal of Operational Research | 2019-11-06 | Paper |
| A first passage time approach to vulnerable European options pricing | 2019-10-02 | Paper |
Correlated default models driven by a multivariate regime-switching shot noise process
IMA Journal of Management Mathematics | 2019-09-25 | Paper |
| Pricing an option-type longevity derivative under a regime-switching O-U stochastic mortality model with jumps | 2019-06-21 | Paper |
Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
Insurance Mathematics & Economics | 2019-03-28 | Paper |
| Pricing dynamic fund protections under a stochastic boundary | 2019-02-22 | Paper |
Regime-switching pure jump processes and applications in the valuation of mortality-linked products
Communications in Statistics: Theory and Methods | 2018-04-11 | Paper |
Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities
Frontiers of Mathematics in China | 2018-01-19 | Paper |
The dependence of assets and default threshold with thinning-dependence structure
Journal of Industrial and Management Optimization | 2017-06-16 | Paper |
Pricing credit derivatives under a correlated regime-switching hazard processes model
Journal of Industrial and Management Optimization | 2017-05-22 | Paper |
A regime-switching model with jumps and its application to bond pricing and insurance
Stochastics and Dynamics | 2016-11-25 | Paper |
A hyper-Erlang jump-diffusion process and applications in finance
Journal of Systems Science and Complexity | 2016-10-20 | Paper |
Pricing dynamic guaranteed funds under the hyper-exponential jump-diffusion model
Journal of Suzhou University of Science and Technology. Natural Science Edition | 2016-10-06 | Paper |
A Markov Chain Copula Model for Credit Default Swaps with Bilateral Counterparty Risk
Communications in Statistics. Theory and Methods | 2016-06-28 | Paper |
A reduced-form model for correlated defaults with regime-switching shot noise intensities
Methodology and Computing in Applied Probability | 2016-06-08 | Paper |
A hyper-exponential jump-diffusion model under the barrier dividend strategy
Applied Mathematics. Series B (English Edition) | 2016-01-15 | Paper |
| A correlated two-sided jump-diffusion model under barrier dividend | 2015-06-29 | Paper |
A contagion model with Markov regime-switching intensities
Frontiers of Mathematics in China | 2015-02-27 | Paper |
Regime-switching shot-noise processes and longevity bond pricing
Lithuanian Mathematical Journal | 2015-02-25 | Paper |
Bilateral counterparty risk valuation on a CDS with a common shock model
Methodology and Computing in Applied Probability | 2014-12-05 | Paper |
A multivariate regime-switching mean reverting process and its application to the valuation of credit risk
Stochastic Analysis and Applications | 2014-08-08 | Paper |
Unilateral counterparty risk valuation of CDS using a regime-switching intensity model
Statistics & Probability Letters | 2014-04-17 | Paper |
| Pricing dynamic guaranteed funds with stochastic barrier under Vasicek interest rate model | 2014-02-28 | Paper |
Fair valuation of life insurance contracts under a two-sided jump diffusion model
Communications in Statistics. Theory and Methods | 2013-11-26 | Paper |
Decomposition of default probability under a structural credit risk model with jumps
Lithuanian Mathematical Journal | 2013-02-21 | Paper |
Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model
Asia-Pacific Financial Markets | 2013-01-29 | Paper |
A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives
Statistics & Probability Letters | 2013-01-25 | Paper |
Fair valuation of life insurance contracts under a correlated jump diffusion model
ASTIN Bulletin | 2012-06-11 | Paper |
Path-dependent option pricing under a two-sided jump-diffusion model
Journal of Suzhou University of Science and Technology. Natural Science Edition | 2012-06-01 | Paper |
| The Erlang (2) risk model with interclaim-dependent claim sizes and constant dividend barrier | 2011-07-19 | Paper |
Pricing the zero-coupon bond and its fair premium under a structural credit risk model with jumps
Journal of Applied Probability | 2011-07-08 | Paper |
| scientific article; zbMATH DE number 5846388 (Why is no real title available?) | 2011-02-05 | Paper |
Ruin probability for correlated negative risk sums model with Erlang processes
Applied Mathematics. Series B (English Edition) | 2010-02-12 | Paper |
On the renewal risk model under a threshold strategy
Journal of Computational and Applied Mathematics | 2009-06-25 | Paper |
On a compounding assets model with positive jumps
Applied Stochastic Models in Business and Industry | 2009-02-28 | Paper |
| scientific article; zbMATH DE number 5504950 (Why is no real title available?) | 2009-02-09 | Paper |
The Classical Risk Model with Constant Interest and Threshold Strategy
COMPSTAT 2008 | 2008-11-10 | Paper |
| scientific article; zbMATH DE number 5116006 (Why is no real title available?) | 2007-01-15 | Paper |
Ruin probability for renewal risk model with negative risk sums
Journal of Industrial and Management Optimization | 2006-07-14 | Paper |
