| Publication | Date of Publication | Type |
|---|
| Valuation of cliquet-style guarantees with death benefits | 2022-10-10 | Paper |
| Pricing Annuity Guarantees Under a Regime-Switching Model | 2022-02-11 | Paper |
| Authors’ Reply: Pricing Annuity Guarantees Under a Regime-Switching Model - Discussion by Robert J. Elliott and Tak Kuen Siu | 2022-02-11 | Paper |
| Multiperiod Optimal Investment-Consumption Strategies with Mortality Risk and Environment Uncertainty | 2022-01-19 | Paper |
| Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment | 2022-01-10 | Paper |
| Authors’ Reply: Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately before and at Ruin under the Sparre Andersen Model,” Andrew C. Y. Ng and Hailiang Yang, April 2005 - Discussion by David C. M. Dickson, Steve Drekic, David A. Stanford, and Gordon E. Willmot | 2021-12-22 | Paper |
| Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest | 2021-12-22 | Paper |
| Authors’ Reply: Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest - Discussion by Nathaniel Smith; Andrew C. Y. Ng; Jinxia Zhu | 2021-12-22 | Paper |
| “On The Decomposition Of The Ruin Probability For A Jump-Diffusion Surplus Process Compounded By A Geometric Brownian Motion”, Jun Cai and Chengming Xu, April 2006 | 2021-12-22 | Paper |
| Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions | 2021-06-29 | Paper |
| A hybrid deep learning method for optimal insurance strategies: algorithms and convergence analysis | 2021-03-17 | Paper |
| OPTIMAL INSURANCE STRATEGIES: A HYBRID DEEP LEARNING MARKOV CHAIN APPROXIMATION APPROACH | 2020-08-31 | Paper |
| Singular dividend optimization for a linear diffusion model with time-inconsistent preferences | 2020-05-26 | Paper |
| Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models | 2019-10-15 | Paper |
| A martingale approach for asset allocation with derivative security and hidden economic risk | 2019-10-07 | Paper |
| Optimal dividend policy with liability constraint under a hidden Markov regime-switching model | 2019-07-25 | Paper |
| Elasticity approach to asset allocation in discrete time | 2019-03-12 | Paper |
| A constraint-free approach to optimal reinsurance | 2018-12-14 | Paper |
| Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps | 2018-08-31 | Paper |
| A class of nonzero-sum investment and reinsurance games subject to systematic risks | 2018-07-17 | Paper |
| Lévy insurance risk process with Poissonian taxation | 2018-07-13 | Paper |
| On a nonparametric estimator for ruin probability in the classical risk model | 2018-07-11 | Paper |
| INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL | 2018-06-29 | Paper |
| STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE | 2018-06-05 | Paper |
| ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS | 2018-06-05 | Paper |
| VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK | 2018-06-04 | Paper |
| OPTIMAL DIVIDEND AND REINSURANCE STRATEGIES WITH FINANCING AND LIQUIDATION VALUE | 2018-06-04 | Paper |
| Filtering a Markov Modulated Random Measure | 2017-08-25 | Paper |
| Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns | 2017-06-23 | Paper |
| Gerber-Shiu analysis with two-sided acceptable levels | 2017-06-13 | Paper |
| Optimal reinsurance and investment strategy with two piece utility function | 2017-06-12 | Paper |
| Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections | 2017-06-02 | Paper |
| Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes | 2017-05-24 | Paper |
| A numerical approach to optimal dividend policies with capital injections and transaction costs | 2017-04-21 | Paper |
| On a nonparametric estimator for the finite time survival probability with zero initial surplus | 2017-03-23 | Paper |
| A note on optimal insurance risk control with multiple reinsurers | 2017-03-16 | Paper |
| Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy | 2016-12-13 | Paper |
| Optimal asset allocation: risk and information uncertainty | 2016-10-07 | Paper |
| On a multi-dimensional risk model with regime switching | 2016-10-06 | Paper |
| Optimal financing and dividend distribution in a general diffusion model with regime switching | 2016-07-27 | Paper |
| Portfolio optimization in a regime-switching market with derivatives | 2016-06-24 | Paper |
| Optimal insurance risk control with multiple reinsurers | 2016-05-30 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2801428 | 2016-04-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2788182 | 2016-03-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2788183 | 2016-03-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2788216 | 2016-03-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2788250 | 2016-03-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2788311 | 2016-03-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2788316 | 2016-03-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3462068 | 2016-01-04 | Paper |
| Optimal retention for a stop-loss reinsurance with incomplete information | 2015-12-14 | Paper |
| Geometric stopping of a random walk and its applications to valuing equity-linked death benefits | 2015-09-14 | Paper |
| Optimal debt ratio and dividend payment strategies with reinsurance | 2015-09-14 | Paper |
| Cox risk model with variable premium rate and stochastic return on investment | 2015-06-16 | Paper |
| Fourier-cosine method for Gerber-Shiu functions | 2015-05-26 | Paper |
| Fourier-cosine method for ruin probabilities | 2015-02-11 | Paper |
| Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation | 2015-02-03 | Paper |
| A class of non-zero-sum stochastic differential investment and reinsurance games | 2014-10-24 | Paper |
| Option valuation by a self-exciting threshold binomial model | 2014-10-21 | Paper |
| Ruin Probabilities of a Dual Markov-Modulated Risk Model | 2014-07-30 | Paper |
| Equilibrium approach of asset pricing under Lévy process | 2014-07-27 | Paper |
| Valuing equity-linked death benefits in jump diffusion models | 2014-06-23 | Paper |
| Discrete-Time BSDEs with Random Terminal Horizon | 2014-05-15 | Paper |
| On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest | 2014-05-08 | Paper |
| Asset allocation under threshold autoregressive models | 2014-05-06 | Paper |
| Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model | 2014-04-15 | Paper |
| Optimal dividends with debts and nonlinear insurance risk processes | 2014-04-15 | Paper |
| Valuing equity-linked death benefits and other contingent options: a discounted density approach | 2014-04-10 | Paper |
| On a Sparre Andersen risk model perturbed by a spectrally negative Lévy process | 2013-12-17 | Paper |
| Optimal portfolio in a continuous-time self-exciting threshold model | 2013-11-14 | Paper |
| American type geometric step options | 2013-11-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5327220 | 2013-08-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4925766 | 2013-06-12 | Paper |
| Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model | 2013-04-10 | Paper |
| The Omega model: from bankruptcy to occupation times in the red | 2013-02-05 | Paper |
| On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation | 2013-01-11 | Paper |
| On the Optimal Dividend Strategy in a Regime-Switching Diffusion Model | 2012-11-02 | Paper |
| Sensitivity analysis on ruin probabilities with heavy-tailed claims | 2012-10-19 | Paper |
| Optimal Threshold Dividend Strategies under the Compound Poisson Model with Regime Switching | 2012-09-07 | Paper |
| Optimal surrender strategies for equity-indexed annuity investors with partial information | 2012-08-30 | Paper |
| Optimal asset allocation: a worst scenario expectation approach | 2012-07-31 | Paper |
| Ruin Probabilities for the Perturbed Compound Poisson Risk Process with Investment | 2012-06-08 | Paper |
| Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs | 2012-05-14 | Paper |
| An elementary approach to discrete models of dividend strategies | 2012-02-10 | Paper |
| Upper comonotonicity and convex upper bounds for sums of random variables | 2012-02-10 | Paper |
| Obtaining the dividends-penalty identities by interpretation | 2012-02-10 | Paper |
| On the probability of completeness for large markets | 2011-11-14 | Paper |
| Ruin Theory in a Hidden Markov-Modulated Risk Model | 2011-10-21 | Paper |
| Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method | 2011-08-23 | Paper |
| A Direct Approach to the Discounted Penalty Function | 2011-08-23 | Paper |
| Numerical methods for dividend optimization using regime-switching jump-diffusion models | 2011-07-11 | Paper |
| Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model | 2011-06-03 | Paper |
| On the absolute ruin in a MAP risk model with debit interest | 2011-05-03 | Paper |
| Pension funding problem with regime‐switching geometric Brownian motion assets and liabilities | 2011-04-06 | Paper |
| Optimal financing and dividend strategies in a dual model with proportional costs | 2011-01-19 | Paper |
| Optimal Reinsurance and Dividend Strategies Under the Markov-Modulated Insurance Risk Model | 2011-01-13 | Paper |
| Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching | 2010-12-21 | Paper |
| Asymptotically optimal dividend policy for regime-switching compound Poisson models | 2010-10-29 | Paper |
| On the Markov-modulated insurance risk model with tax | 2010-06-21 | Paper |
| Dependent Insurance Risk Model: Deterministic Threshold | 2010-05-21 | Paper |
| Option pricing with regime switching by trinomial tree method | 2010-01-15 | Paper |
| Option Pricing in a Jump-Diffusion Model with Regime Switching | 2009-12-22 | Paper |
| Option pricing when the regime-switching risk is priced | 2009-11-13 | Paper |
| A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier | 2009-06-15 | Paper |
| On Bayesian Mixture Credibility | 2009-06-15 | Paper |
| On differentiability of ruin functions under Markov-modulated models | 2009-05-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3599223 | 2009-02-03 | Paper |
| Pricing currency options under two-factor Markov-modulated stochastic volatility models | 2009-01-16 | Paper |
| Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model | 2009-01-16 | Paper |
| On valuation of derivative securities: A Lie group analytical approach. | 2008-11-24 | Paper |
| Stochastic optimization algorithms for barrier dividend strategies | 2008-11-20 | Paper |
| Estimates for the Absolute Ruin Probability in the Compound Poisson Risk Model with Credit and Debit Interest | 2008-11-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3537676 | 2008-11-10 | Paper |
| Optimal dynamic portfolio selection with earnings-at-risk | 2008-09-23 | Paper |
| COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY | 2008-09-03 | Paper |
| Ruin theory for a Markov regime-switching model under a threshold dividend strategy | 2008-08-22 | Paper |
| Pricing participating products under a generalized jump-diffusion model | 2008-08-20 | Paper |
| On valuing participating life insurance contracts with conditional heteroscedasticity | 2008-06-11 | Paper |
| Ordering of Optimal Portfolio Allocations in a Model with a Mixture of Fundamental Risks | 2008-04-30 | Paper |
| Optimal investment-consumption strategy in a discrete-time model with regime switching | 2008-01-18 | Paper |
| Expected Shortfall Under a Model With Market and Credit Risks | 2007-11-05 | Paper |
| UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS | 2007-09-11 | Paper |
| Ruin problems for a discrete time risk model with random interest rate | 2007-05-31 | Paper |
| Bounds of ruin probability for regime-switching models using time scale separation | 2007-05-29 | Paper |
| On Bayesian value at risk: from linear to non-linear portfolios | 2006-10-24 | Paper |
| Lundberg-type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin under a Markov-modulated Risk Model | 2006-10-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5487074 | 2006-09-18 | Paper |
| OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION | 2006-09-12 | Paper |
| Option pricing under threshold autoregressive models by threshold Esscher transform | 2006-07-14 | Paper |
| On the joint distribution of surplus before and after ruin under a Markovian regime switching model | 2006-04-28 | Paper |
| Optimal stopping behavior of equity-linked investment products with regime switching | 2006-03-08 | Paper |
| Optimal investment for insurer with jump-diffusion risk process | 2006-03-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3371139 | 2006-02-21 | Paper |
| Bayesian Risk Measures for Derivatives via Random Esscher Transform | 2006-01-13 | Paper |
| The Joint Distribution of Surplus Immediately before Ruin and the Deficit at Ruin under Interest Force | 2006-01-13 | Paper |
| Optimal Investment for an Insurer to Minimize Its Probability of Ruin | 2006-01-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5715975 | 2006-01-06 | Paper |
| Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin Under the Sparre Andersen Model | 2006-01-06 | Paper |
| On Erlang(2) Risk Process Perturbed by Diffusion | 2005-11-15 | Paper |
| Ruin in the perturbed compound Poisson risk process under interest force | 2005-10-17 | Paper |
| Ordering optimal proportions in the asset allocation problem with dependent default risks | 2005-08-05 | Paper |
| On the distribution of surplus immediately after ruin under interest force and subexponential claims | 2005-08-05 | Paper |
| Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions | 2005-04-22 | Paper |
| Maxima of Sums of Heavy-Tailed Random Variables | 2005-03-30 | Paper |
| Asset Allocation with Regime-Switching: Discrete-Time Case | 2005-03-30 | Paper |
| Explicit expressions for the ruin probabilities of Erlang risk processes with Pareto individual claim distributions | 2004-11-05 | Paper |
| Two-time-scale Jump-Diffusion Models with Markovian Switching Regimes | 2004-09-29 | Paper |
| Precise large deviations for sums of random variables with consistently varying tails | 2004-09-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4817779 | 2004-09-21 | Paper |
| On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes. | 2004-05-27 | Paper |
| RUIN PROBABILITY UNDER COMPOUND POISSON MODELS WITH RANDOM DISCOUNT FACTOR | 2004-03-29 | Paper |
| MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE | 2004-02-15 | Paper |
| Precise large deviations for the prospective-loss process | 2003-11-17 | Paper |
| Ruin theory in a financial corporation model with credit risk. | 2003-11-16 | Paper |
| Some results on ruin probabilities in a two-dimensional risk model. | 2003-11-16 | Paper |
| On the distribution of surplus immediately after ruin under interest force | 2003-06-17 | Paper |
| Approximations for moments of deficit at ruin with exponential and subexponential claims. | 2003-05-07 | Paper |
| A PDE approach to risk measures of derivatives | 2002-09-05 | Paper |
| On the distribution of surplus immediately before ruin under interest force | 2002-09-05 | Paper |
| Spectrally negative Lévy processes with applications in risk theory | 2002-01-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4793187 | 2002-01-01 | Paper |
| CONDITIONAL RUIN PROBABILITY WITH STOCHASTIC INTEREST RATE | 2001-10-10 | Paper |
| European option pricing when the riskfree interest rate follows a jump process | 2001-05-11 | Paper |
| Subjective risk measures: Bayesian predictive scenarios analysis | 2001-01-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4243320 | 1999-11-11 | Paper |
| Non-exponential Bounds for Ruin Probability with Interest Effect Included | 1999-09-14 | Paper |
| Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying1 | 1998-04-05 | Paper |
| Asset allocation with time variation in expected returns | 1998-03-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4837787 | 1995-09-14 | Paper |
| How to count and guess well: Discrete adaptive filters | 1994-08-10 | Paper |
| Control of partially observed diffusions | 1994-04-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3138631 | 1993-11-18 | Paper |
