|
|
| |
Research output supported by the CAE 2013 research grant from the Society of Actuaries
|
[ALL]
[2015]
[2014]
| 2015 |
|---|
|
Chau, K. W., Yam, S.C.P. and Yang, H. (2015). Modern Fourier-Cosine
Method for Gerber-Shiu Function, Insurance: Mathematics and Economics, Vol. 61, 170-180, March, 2015. [Author・s Manuscript]
Cheung, K.C., Chong, W.F., Elliott, R., Yam, S.C.P. (2015). Disappointment Aversion Premium Principle. To appear in ASTIN Bulletin. [Author・s Manuscript]
Cheung, K.C., Chong, W.F., Yam, S.C.P. (2015). Convex Ordering for Insurance Preferences. To appear in Insurance: Mathematics and Economics. [Author・s Manuscript]
Cheung, K.C., Chong, W.F., Yam, S.C.P. (2015). The Optimal Insurance under Disappointment Theories. Insurance: Mathematics and Economics, vol. 64, 77-90. [Author・s Manuscript]
Cheung, K.C.and Lo, A. (2015). Characterizations of optimal reinsurance treaties: A cost-benefit approach. To appear in Scandinavian Actuarial Journal. [Author・s Manuscript]
Gerber, H.U., Shiu, E. S. W. and Yang, H. (2015). Geometric stopping of a random walk and its applications to valuing equity-linked death benefits, Insurance: Mathematics and Economics, accepted. [Author・s Manuscript]
Jin, Z.,Yang, H. and Yin, G. (2015). Optimal Debt Ratio and Dividend Payment Strategies with Reinsurance, Insurance: Mathematics and Economics, accepted. [Author・s Manuscript]
Liu, L. and Cheung, E.C.K. (2015). On a bivariate risk process with a dividend barrier strategy. Annals of Actuarial Science, 9(1): 3-35. [Author・s Manuscript]
Siu, C.C., Yam, S.C.P. and Yang, H. (2015). Valuing Equity-Linked Death Benefits in a Regime-Switching Framework, ASTIN Bulletin, Vol. 45, No. 2, 355 - 395. [Author・s Manuscript]
Willmot, G.E. and Woo, J.K. (2015). On some properties of a class of multivariate Erlang mixtures with insurance applications. ASTIN Bulletin, 45(1): 151-173. [Author・s Manuscript]
Yang, Y. and Yuen, K.C. (2015). Asymptotics for a discrete-time risk model with Gamma-like insurance risks. Scandinavian Actuarial Journal, accepted, DOI: 10.1080/03461238.2015.1004802. [Author・s Manuscript]
Yuen, K.C., Liang, Z. and Zhou, M. (2015). Optimal proportional reinsurance with common shock dependence. Insurance: Mathematics and Economics, 64(1), 1-13. [Author・s Manuscript]
Zhang, Z., Cheung, E.C.K. and Yang, H. (2015). Lévy insurance risk process with Poissonian taxation. Scandinavian Actuarial Journal, accepted for publication. [Author・s Manuscript]
Zhou, M. and Yuen, K.C. (2015). Portfolio selection by minimizing the present value of capital injection costs. ASTIN Bulletin, 45(1), 207-238. [Author・s Manuscript]
|
| 2014 |
|---|
|
Chen, M., Yuen, K.C. and Guo, Y. (2014). Survival probabilities in a discrete semi-Markov risk model. Applied Mathematics and Computation, 232, 205-215. [Author・s Manuscript]
Cheung, E.C.K. and Woo, J.K. (2014). On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes. Scandinavian Actuarial Journal, accepted for publication. [Author・s Manuscript]
Dong, Y., Yuen, K.C. and Wu, C. (2014). A multivariate regime-switching mean reverting process and its application to the valuation of credit risk. Stochastic Analysis and Applications, 32(4), 687-710. [Author・s Manuscript]
Li, L., Yuen, K.C. and Yang, J. (2014). Distorted mix method for constructing copulas with tail dependence. Insurance: Mathematics and Economics, 57, 77-89. [Author・s Manuscript]
Zhang, Z. and Yang, H. (2014). Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation. Insurance: Mathematics and Economics, 59, 168-177. [Author・s Manuscript]
|
|
|
|
|
|
|
