 |
|
|
|
Research output supported by the CAE 2013 research grant from the Society of Actuaries
|
[ALL]
[2017]
[2016]
[2015]
[2014]
2017
Dong, Y., Yuen, K.C. and Wang, G. (2017). Pricing credit derivatives under a correlated regime-switching hazard process. Journal of Industrial and Management Optimization, 13, 1395-1415. [Author・s Manuscript]
Liang, Z., Yuen, K.C. and Zhang, C. (2017). Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence. Journal of Applied Mathematics and Computing, to appear. [Author・s Manuscript]
Yuen, K.C., Chen, M. and Wat, K.P. (2017). On the expected penalty functions in a discrete semi-Markov risk model with randomized dividends. Journal of Computational and Applied Mathematics, 311, 239-251. [Author・s Manuscript]
2016
Chen, M. and Yuen, K.C. (2016). Optimal dividend and reinsurance in the presence of two reinsurers. Journal of Applied Probability, 53(2), 554-571. [Author・s Manuscript]
Cheung, E.C.K. and Liu, H. (2016). On the joint analysis of the total discounted payments to policyholders and shareholders: Threshold dividend strategy. Annals of Actuarial Science, Accepted for publication. [Author・s Manuscript]
Cheung, E.C.K. and Wong, J.T.Y. (2016). On the dual risk model with Parisian implementation delays in dividend payments. European Journal of Operational Research, Accepted for publication. [Author・s Manuscript]
Cheung, E.C.K. and Woo, J.K. (2016). On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes. Scandinavian Actuarial Journal, 2016(1), 63-91. [Author・s Manuscript]
Dong, Y., Wang, G. and Yuen K.C. (2016). A regime-switching model with jumps and its application to bond pricing and insurance. Stochastics and Dynamics, accepted. [Author・s Manuscript]
Dong, Y., Yuen, K.C. and Wang, G. (2016). Pricing credit derivatives under a correlated regime-switching hazard process. Journal of Industrial and Management Optimization, to appear. [Author・s Manuscript]
Dong, Y., Yuen, K.C., Wang, G. and Wu, C. (2016). A reduced-form model for correlated defaults with regime-switching shot noise intensities. Methodology and Computing in Applied Probability, 18(3), 459-486. [Author・s Manuscript]
Liang, Z., Bi, J., Yuen, K.C., and Zhang, C. (2016). Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence. Mathematical Methods of Operations Research, 84(1), 155-181. [Author・s Manuscript]
Wang, G.Q., Wang, G.J. and Yang, H. (2016). On a multi-dimensional risk models with regime switching, Insurance: Mathematics and Economics, Vol. 68, 73 - 83, May 2016. [Author・s Manuscript]
Woo, J.K. (2016). On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays, Insurance: Mathematics and Economics, Accepted for publication. [Author・s Manuscript]
Yang, Y. and Yuen, K.C. (2016). Asymptotics for a discrete-time risk model with Gamma-like insurance risks. Scandinavian Actuarial Journal, accepted, 2016(6), 565-579. [Author・s Manuscript]
Yang, Y. and Yuen, K.C. (2016). Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims. Journal of Mathematical Analysis and Application, 442(2), 600-626. [Author・s Manuscript]
Yao, D.J., Yang, H. and Wang, R.M. (2016). Optimal dividend and reinsurance strategies with financing and liquidation value, ASTIN Bulletin, Vol. 46, No. 2, 365-399, May, 2016. [Author・s Manuscript]
Yuen, K.C., Chen, M. and Wat, K.P. (2016). On the expected penalty functions in a discrete semi-Markov risk model with randomized dividends. Journal of Computational and Applied Mathematics, to appear. [Author・s Manuscript]
Zhang, Z. and Cheung, E.C.K. (2016). A note on a Lévy insurance risk model under periodic dividend decisions. Journal of Industrial and Management Optimization. Accepted for publication. [Author・s Manuscript]
Zhu, J. and Yang, H. (2016). Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy,
Insurance: Mathematics and Economics, accepted. [Author・s Manuscript]
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, E.C.K., Liu, H. and Woo, J.K. (2015) On the Joint Analysis of the Total Discounted Payments to Policyholders and Shareholders: Dividend Barrier Strategy. Risks, 3(4), 491-514. [Author・s Manuscript]
Cheung, K.C., Chong, W.F., Elliott, R., Yam, S.C.P. (2015). Disappointment Aversion Premium Principle. ASTIN Bulletin, Vol. 45, 679-702. [Author・s Manuscript]
Cheung, K.C., Chong, W.F., Yam, S.C.P. (2015). Convex Ordering for Insurance Preferences. Insurance: Mathematics and Economics, Vol. 64, 409-416. [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., Denuit M., Dhaene J. (2015). Tail Mutual Exclusivity and Tail-VaR Lower Bounds. To appear in Scandinavian Actuarial Journal. [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, Vol. 64, 313-325, Sept. 2015. [Author・s Manuscript]
Hu X., Yang, H. and Zhang L. (2015). Optimal retention for a stop-loss reinsurance
with incomplete information, Insurance: Mathematics and Economics, Vol. 65, 15-21, Nov. 2015. [Author・s Manuscript]
Jin Z., Yang, H. and Yin G. (2015). Optimal Debt Ratio and Dividend Payment Strategies
with Reinsurance, Insurance: Mathematics and Economics, Vol. 64, 351-363, Sept. 2015. [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]
Wong, J.T.Y. and Cheung, E.C.K. (2015). On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps. Insurance: Mathematics and Economics. 65, 280-290. [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]
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]
|
|
|
|
|
|
|
