Publications
Publications
2023
| Authors | Publication |
|---|---|
| Arrue, J., Arellano-Valle, RB., Calderin-Ojeda, E., Venegas, O., Gomez, HW. | Likelihood Based Inference and Bias Reduction in the Modified Skew-t-Normal Distribution Mathematics, Vol. 11, Issue 15 https://dx.doi.org/10.3390/math11153287 |
| Avanzi, B., Chen, P., Henriksen, LFB., Wong, B. | On the surplus management of funds with assets and liabilities in presence of solvency requirements Scandinavian Actuarial Journal, Vol. 2023, Issue 5 https://dx.doi.org/10.1080/03461238.2022.2116725 |
| Avanzi, B., Falden, DK., Steffensen, M. | Stable dividends under linear-quadratic optimisation Quantitative Finance, Vol. 23, Issue 9, pp. 1199-1215 https://dx.doi.org/10.1080/14697688.2023.2227661 |
| Boudreault, M., Clacher, I., Li, JS-H., Pigott, C., Zhou, R. | A changing climate for actuarial science Annals of Actuarial Science, Vol. 17, Issue 3, pp. 415-419 https://dx.doi.org/10.1017/S1748499523000222 |
| Calderin-Ojeda, E., Gomez-Deniz, E., Vazquez-Polo, FJ. | Conditional Tail Expectation and Premium Calculation under Asymmetric Loss Axioms, Vol. 12, Issue 5 https://dx.doi.org/10.3390/axioms12050496 |
| Chen, P., Yao, H., Yang, H., Zhu, D. | Target benefit versus defined contribution scheme: A multi-period framework ASTIN Bulletin, Vol. 53, Issue 3 https://dx.doi.org/10.1017/asb.2023.27 |
| Chen, Y., Liu, P., Tan, KS., Wang, R. | Trade-off Between Validity and Efficiency of Merging P-Values Under Arbitrary Dependence Statistica Sinica, Vol. 33, Issue 2, pp. 851-872 https://dx.doi.org/10.5705/ss.202021.0071 |
| Gracianti, G., Zhou, R., Li, JS-H., Wu, X. | An assessment of model risk in pricing wind derivatives Annals of Actuarial Science, Vol. 17, Issue 3, pp. 479-502 https://dx.doi.org/10.1017/S1748499523000192 |
| Khemka, G., Pitt, D., Zhang, J. | On Fitting Probability Distribution to Univariate Grouped Actuarial Data with Both Group Mean and Relative Frequencies North American Actuarial Journal, Vol. 27, Issue 1, pp. 185-205 https://dx.doi.org/10.1080/10920277.2022.2069124 |
| Li, H., Liu, H., Tang, Q., Yuan, Z. | Pricing extreme mortality risk in the wake of the COVID-19 pandemic Insurance Mathematics and Economics, Vol. 108, pp. 84-106 https://dx.doi.org/10.1016/j.insmatheco.2022.11.002 |
| Li, H., Zhou, R., Ji, M. | Nonlinear Modeling of Mortality Data and Its Implications for Longevity Bond Pricing Risks, Vol. 11, Issue 12 https://dx.doi.org/10.3390/risks11120207 |
| Osatakul, D., Li, S., Wu, X. | Discrete-time risk models with surplus-dependent premium corrections Applied Mathematics and Computation, Vol. 437 https://dx.doi.org/10.1016/j.amc.2022.127495 |
| Qiu, M., Jin, Z., Li, S. | Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach Insurance Mathematics and Economics, Vol. 113, pp. 1-23 https://dx.doi.org/10.1016/j.insmatheco.2023.07.002 |
| Zhang, A., Li, S., Wang, W. | A scale function based approach for solving integral-differential equations in insurance risk models Applied Mathematics and Computation, Vol. 450 https://dx.doi.org/10.1016/j.amc.2023.127965 |
| Zhang, J., Chen, P., Jin, Z., Li, S. | A class of non-zero-sum stochastic differential games between two mean-variance insurers under stochastic volatility Probability in the Engineering and Informational Sciences, Vol. 37, Issue 2, pp. 491-517 https://dx.doi.org/10.1017/S0269964822000353 |
| Zhang, J., Trück, S., Truong, C., Pitt, D. | Time trends in losses from major tornadoes in the United States Weather and Climate Extremes, Vol. 41 https://dx.doi.org/10.1016/j.wace.2023.100579 |
| Zhang, P., Calderin-Ojeda, E., Li, S., Wu, X. | Bayesian Multivariate Mixed Poisson Models with Copula-Based Mixture North American Actuarial Journal, Vol. 27, Issue 3, pp. 560-578 https://dx.doi.org/10.1080/10920277.2022.2112233 |
| Zhang, P., Wu, X. | Multivariate Poisson model adjusting for unidirectional covariate misrepresentation Statistics and Probability Letters, Vol. 197 https://dx.doi.org/10.1016/j.spl.2023.109837 |
2022
| Authors | Publication |
|---|---|
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Al-Mudafer, MT., Avanzi, B., Taylor, G., Wong, B. | Stochastic loss reserving with mixture density neural networks INSURANCE MATHEMATICS & ECONOMICS, Vol. 105, pp. 144-174 https://dx.doi.org/10.1016/j.insmatheco.2022.03.010 |
| Avanzi, B., Taylor, G., Wang, M. | SPLICE: a synthetic paid loss and incurred cost experience simulator ANNALS OF ACTUARIAL SCIENCE, https://dx.doi.org/10.1017/S1748499522000057 |
| Calderin-Ojeda, E., Lopez-Campos, G., Gomez-Deniz, E. | A Copula Type-Model for Examining the Role of Microbiome as a Potential Tool in Diagnosis MATHEMATICAL PROBLEMS IN ENGINEERING, Vol. 2022 https://dx.doi.org/10.1155/2022/8033806 |
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Gomez-Deniz, E., Calderin-Ojeda, E., Gomez, HW. | Asymmetric versus Symmetric Binary Regresion: A New Proposal with Applications SYMMETRY-BASEL, Vol. 14, Issue 4 https://dx.doi.org/10.3390/sym14040733 |
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Gómez-Déniz, E., Calderín-Ojeda, E., Gómez, HW. | Symmetric and Asymmetric Distributions: Theoretical Developments and Applications III Symmetry, Vol. 14, Issue 10 https://dx.doi.org/10.3390/sym14102143 |
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Gomez-Deniz, E., Calderin-Ojeda, E., Maria, Sarabia. | The arctan family of distributions: New results with applications CHILEAN JOURNAL OF STATISTICS, Vol. 13, Issue 1, pp. 113-132 https://dx.doi.org/10.32372/ChJS.13-01-06 |
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Gomez-Deniz, E., Leiva, V., Calderin-Ojeda, E., Chesneau, C. | A novel claim size distribution based on a Birnbaum-Saunders and gamma mixture capturing extreme values in insurance: estimation, regression, and applications COMPUTATIONAL & APPLIED MATHEMATICS, Vol. 41, Issue 4 https://dx.doi.org/10.1007/s40314-022-01875-6 |
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Huang, X., Shang, HL., Pitt, D. | A model sufficiency test using permutation entropy JOURNAL OF FORECASTING, Vol. 41, Issue 5, pp. 1017-1036 https://dx.doi.org/10.1002/for.2849 |
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Huang, X., Shang, HL., Pitt, D. | Permutation entropy and its variants for measuring temporal dependence Australian & New Zealand Journal of Statistics, Vol. 64, Issue 4, pp. 442-477 https://dx.doi.org/10.1111/anzs.12376 |
2021
| Authors | Publication |
|---|---|
| Avanzi, B., Beaulieu, GB., de, Micheaux., Ouimet, F., Wong, B. | A counterexample to the existence of a general central limit theorem for pairwise independent identically distributed random variables JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, Vol. 90, pp. 35-45 https://dx.doi.org/10.1016/j.jmaa.2021.124982 |
| Avanzi, B., Lau, H., Wong, B. | Optimal periodic dividend strategies for spectrally negative Levy processes with fixed transaction costs SCANDINAVIAN ACTUARIAL JOURNAL, Vol. 8, Issue 1 https://dx.doi.org/10.1080/03461238.2020.1869069 |
| Avanzi, B., Lau, H., Wong, B. | On the optimality of joint periodic and extraordinary dividend strategies European Journal of Operational Research, https://dx.doi.org/10.1016/j.ejor.2021.04.033 |
| Avanzi, B., Taylor, G., Wang, M., Wong, B. | SynthETIC: An individual insurance claim simulator with feature control Insurance: Mathematics and Economics, Vol. 24, Issue 2, pp. 228-250 https://dx.doi.org/10.1016/j.insmatheco.2021.06.004 |
| Avanzi, B., Taylor, G., Wong, B., Xian, A. | Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework European Journal of Operational Research, Vol. 93, pp. 50-71 https://dx.doi.org/10.1016/j.ejor.2020.07.022 |
| Avanzi, B., Taylor, G., Wong, B., Yang, X. | On the modelling of multivariate counts with Cox processes and dependent shot noise intensities Insurance: Mathematics and Economics, Vol. 2020 https://dx.doi.org/10.1016/j.insmatheco.2021.01.002 |
| Avanzi, B., Taylor, GC., Phuong, AV., Wong, B. | On unbalanced data and common shock models in stochastic loss reserving Annals of Actuarial Science, Vol. 93, pp. 315-332 https://dx.doi.org/10.1017/S1748499520000196 |
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Bhati, D., Calderín-Ojeda, E. | On the rBell family of distributions with actuarial applications ASTIN Bulletin, https://dx.doi.org/10.1017/asb.2021.14 |
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Gomes, C., Jin, Z., Yang, H. | Insurance fraud detection with unsupervised deep learning JOURNAL OF RISK AND INSURANCE, https://dx.doi.org/10.1111/jori.12359 |
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Gomez-Deniz, E., Calderin-Ojeda, E. | Modeling the Conditional Dependence between Discrete and Continuous Random Variables with Applications in Insurance MATHEMATICS, Vol. 39, Issue 1, pp. 37-46 https://dx.doi.org/10.3390/math9010045 |
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Gomez-Deniz, E., Calderin-Ojeda, E. | A Priori Ratemaking Selection Using Multivariate Regression Models Allowing Different Coverages in Auto Insurance Risks, Vol. 16, Issue 2, pp. 531-551 https://dx.doi.org/10.3390/risks9070137 |
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Gomez-Deniz, E., Sarabia, JM., Calderin-Ojeda, E. | Bimodal normal distribution: Extensions and applications JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, https://dx.doi.org/10.1016/j.cam.2020.113292 |
| Jin, Z., Yang, H., Yin, G | A hybrid deep learning method for optimal insurance strategies: Algorithms and convergence analysis Insurance: Mathematics and Economics, Vol. 2, Issue 1, pp. 7-21 https://dx.doi.org/10.1016/j.insmatheco.2020.11.012 |
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Kyng, T., Pitt, D., Purcal, S., Zhang, J. | Financial metrics for comparing Australian retirement villages Accounting and Finance, Vol. 93, pp. 1-26 https://dx.doi.org/10.1111/acfi.12768 |
| Liu, G., Jin, Z., Li, S. | Household Lifetime Strategies under a Self-Contagious Market European Journal of Operational Research, Vol. 2020 https://dx.doi.org/10.1016/j.ejor.2020.05.060 |
| Liu, G., Jin, Z., Li, S. | Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market Insurance: Mathematics and Economics, Vol. 280, Issue 3, pp. 1130-1143 https://dx.doi.org/10.1016/j.insmatheco.2021.09.004 |
| Osatakul, D., Wu, X. | Discrete-Time Risk Models with Claim Correlated Premiums in a Markovian Environment RISKS, Vol. 16, Issue 2, pp. 813-834 https://dx.doi.org/10.3390/risks9010026 |
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Prieto, F., Sarabia, JM., Calderin-Ojeda, E. | The nonlinear distribution of employment across municipalities Journal of Economic Interaction and Coordination, Vol. 14, Issue 2, pp. 278-301 https://dx.doi.org/10.1007/s11403-020-00294-2 |
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Reyes, J., Gomez-Deniz, E., Gomez, HW., Calderin-Ojeda, E. | A Bimodal Extension of the Exponential Distribution with Applications in Risk Theory Symmetry, Vol. 50, Issue 2, pp. 381-417 https://dx.doi.org/10.3390/sym13040679 |
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Rivera, PA., Calderin-Ojeda, E., Gallardo, DI., Gomez, HW. | A Compound Class of the Inverse Gamma and Power Series Distributions Symmetry, Vol. 91, pp. 12-25 https://dx.doi.org/10.3390/sym13081328 |
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Wang, N., Jin, Z., Siu, TK., Qiu, M. | Household consumption-investment-insurance decisions with uncertain income and market ambiguity SCANDINAVIAN ACTUARIAL JOURNAL, https://dx.doi.org/10.1080/03461238.2021.1886981 |
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Wang, N., Zhang, N., Jin, Z., Qian, L. | Reinsurance-investment game between two mean-variance insurers under model uncertainty JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, Vol. 91, pp. 244-256 https://dx.doi.org/10.1016/j.cam.2020.113095 |
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Wang, N., Zhang, N., Jin, Z., Qian, L. | Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints Insurance: Mathematics and Economics, Vol. 50, Issue 2, pp. 449-477 https://dx.doi.org/10.1016/j.insmatheco.2020.11.004 |
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Wang, W., Wu, X., Chi, C. | Optimal implementation delay of taxation with trade-off for spectrally negative Levy risk processes European Actuarial Journal, Vol. 11, pp. 285-317 https://dx.doi.org/10.1007/s13385-020-00246-x |
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Zhang, J., Chen, P., Jin, Z., Li, S. | Open-loop equilibrium strategy for mean-variance portfolio selection: A log-return model Journal of Industrial and Management Optimization, https://dx.doi.org/10.3934/jimo.2019133 |
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Zhang, J., Chen, P., Jin, Z., Li, S. | On a class of non-zero-sum stochastic differential dividend games with regime switching APPLIED MATHEMATICS AND COMPUTATION, Vol. 90, pp. 35-45 https://dx.doi.org/10.1016/j.amc.2021.125956 |
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Zhang, N., Qian, L., Jin, Z., Wang, W. | OPTIMAL STOP-LOSS REINSURANCE WITH JOINT UTILITY CONSTRAINTS Journal of Industrial and Management Optimization, Vol. 2021, Issue 4, pp. 335-361 https://dx.doi.org/10.3934/jimo.2020001 |
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Zhong, W., Zhao, Y., Chen, P. | EQUILIBRIUM PERIODIC DIVIDEND STRATEGIES WITH NON-EXPONENTIAL DISCOUNTING FOR SPECTRALLY POSITIVE LEVY PROCESSES Journal of Industrial and Management Optimization, Vol. 91, pp. 12-25 https://dx.doi.org/10.3934/jimo.2020087 |
| Zhou, R., Ji, M. | Modelling Mortality Dependence: An Application of Dynamic Vine Copula Insurance: Mathematics and Economics, Vol. 380, pp. 112951-112951 https://dx.doi.org/10.1016/j.insmatheco.2021.03.022 |
2020
| Authors | Publication |
|---|---|
| Avanzi, B., Lau, H., Wong, B. | Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs Insurance: Mathematics and Economics, Vol. 93, pp. 315-332 https://dx.doi.org/10.1016/j.insmatheco.2020.05.012 |
| Avanzi, B., Taylor, G., Vu, PA., Wong, B. | A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving Insurance: Mathematics and Economics, Vol. 93, pp. 50-71 https://dx.doi.org/10.1016/j.insmatheco.2020.04.007 |
| Chen, P., Yao, H. | Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching Journal of Industrial and Management Optimization, Vol. 16, Issue 2, pp. 531-551 https://dx.doi.org/10.3934/jimo.2018166 |
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Cheng, X., Jin, Z., Yang, H. | OPTIMAL INSURANCE STRATEGIES: A HYBRID DEEP LEARNING MARKOV CHAIN APPROXIMATION APPROACH ASTIN Bulletin, Vol. 50, Issue 2, pp. 449-477 https://dx.doi.org/10.1017/asb.2020.9 |
| Fergusson, K. | Forecasting inflation using univariate continuous-time stochastic models Journal of Forecasting, Vol. 39, Issue 1, pp. 37-46 https://dx.doi.org/10.1002/for.2603 |
| Fergusson, K. | LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC ASTIN Bulletin, Vol. 50, Issue 2, pp. 381-417 https://dx.doi.org/10.1017/asb.2020.7 |
| Fergusson, K. | Fast maximum likelihood estimation of parameters for square root and Bessel processes Studies in Nonlinear Dynamics and Econometrics, https://dx.doi.org/10.1515/snde-2019-0079 |
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Gomez-Deniz, E., Calderin-Ojeda, E. | A Survey of the Individual Claim Size and Other Risk Factors Using Credibility Bonus-Malus Premiums Risks, Vol. 8, Issue 1 https://dx.doi.org/10.3390/risks8010020 |
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Gomez-Deniz, E., Calderin-Ojeda, E. | On the Usefulness of the Logarithmic Skew Normal Distribution for Describing Claims Size Data Mathematical Problems in Engineering, Vol. 2020 https://dx.doi.org/10.1155/2020/1420618 |
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Gomez-Deniz, E., Calderin-Ojeda, E. | Financial and Actuarial Properties of the Beta-Pareto as a Long-Tail Distribution Spanish Journal of Statistics, Vol. 2, Issue 1, pp. 7-21 https://dx.doi.org/10.37830/SJS.2020.1.02 |
| Jin, Z., Liao, H., Yang, Y., Yu, X. | Optimal dividend strategy for an insurance group with contagious default risk SCANDINAVIAN ACTUARIAL JOURNAL, Vol. 2021, Issue 4, pp. 335-361 https://dx.doi.org/10.1080/03461238.2020.1845231 |
| Jin, Z., Liu, G., Yang, H. | Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models European Journal of Operational Research, Vol. 280, Issue 3, pp. 1130-1143 https://dx.doi.org/10.1016/j.ejor.2019.07.066 |
| Li, J., Li, S. | Some State-Specific Exit Probabilities in a Markov-Modulated Risk Model Mathematical Problems in Engineering, Vol. 2020 https://dx.doi.org/10.1155/2020/5830245 |
| Li, JS-H., Zhou, R., Liu, Y., Graziani, G., Hall, D., Haid, J., Peterson, A., Pinzur, L. | Drivers of Mortality Dynamics: Identifying Age/Period/Cohort Components of Historical U.S. Mortality Improvements North American Actuarial Journal, Vol. 24, Issue 2, pp. 228-250 https://dx.doi.org/10.1080/10920277.2020.1716808 |
| Li, JSH., Liu, Y. | The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty Insurance: Mathematics and Economics, Vol. 93, pp. 1-26 https://dx.doi.org/10.1016/j.insmatheco.2020.04.001 |
| Liu, Z., Chen, P. | Dividend payments until draw-down time for risk models driven by spectrally negative Levy processes COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, https://dx.doi.org/10.1080/03610918.2020.1828918 |
| Liu, Z., Chen, P., Hu, Y. | On the dual risk model with diffusion under a mixed dividend strategy Applied Mathematics and Computation, Vol. 376 https://dx.doi.org/10.1016/j.amc.2020.125115 |
| Stoneham, G., Hester, SM., Li, JS-H., Zhou, R., Chaudhry, A. | The Boundary of the Market for Biosecurity Risk RISK ANALYSIS, https://dx.doi.org/10.1111/risa.13620 |
| Wang, T., Jin, Z., Wei, J. | Mean-variance portfolio selection with non-negative state-dependent risk aversion QUANTITATIVE FINANCE, Vol. 21, Issue 4, pp. 657-671 https://dx.doi.org/10.1080/14697688.2020.1787492 |
| Wang, W., Chen, P., Li, S. | Generalized expected discounted penalty function at general drawdown for Lévy risk processes Insurance: Mathematics and Economics, Vol. 91, pp. 12-25 https://dx.doi.org/10.1016/j.insmatheco.2019.12.002 |
| Wei, J., Cheng, X., Jin, Z., Wang, H. | Optimal consumption–investment and life-insurance purchase strategy for couples with correlated lifetimes Insurance: Mathematics and Economics, Vol. 91, pp. 244-256 https://dx.doi.org/10.1016/j.insmatheco.2020.02.006 |
| Yang, Y., Li, S. | On a Family of Log-Gamma-Generated Archimedean Copulas North American Actuarial Journal https://dx.doi.org/10.1080/10920277.2020.1856687 |
| Zhang, J., Chen, P., Jin, Z., Li, S. | Open-loop equilibrium strategy for mean–variance asset–liability management portfolio selection problem with debt ratio Journal of Computational and Applied Mathematics, Vol. 380, pp. 112951-112951 https://dx.doi.org/10.1016/j.cam.2020.112951 |
| Zhang, P., Calderin, E., Li, S., Wu, X. | On the Type I multivariate zero-truncated hurdle model with applications in health insurance Insurance: Mathematics and Economics, Vol. 90, pp. 35-45 https://dx.doi.org/10.1016/j.insmatheco.2019.10.010 |
| Zhou, KQ., Li, JSH. | Asymmetry in mortality volatility and its implications on index-based longevity hedging Annals of Actuarial Science, Vol. 14, Issue 2, pp. 278-301 https://dx.doi.org/10.1017/S174849952000010X |
| Zhou, Z., Jin, Z. | Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time Insurance: Mathematics and Economics, Vol. 94, pp. 100-108 https://dx.doi.org/10.1016/j.insmatheco.2020.06.011 |
| Zhu, H-N., Zhang, C-K., Jin, Z. | Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks Journal of Industrial and Management Optimization, Vol. 16, Issue 2, pp. 813-834 https://dx.doi.org/10.3934/jimo.2018180 |
2019
| Authors | Publication |
|---|---|
| Bhati, D., Calderin, E., Gomez, E., Meenakshi, M., | A new heavy tailed class of distributions which includes the Pareto. Risks, 7(4), 99. |
| Bui, T., Cheng, X., Jin, Z., Yin, G, | Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models. Nonlinear Analysis: Hybrid Systems, 32, 276-293. |
| Calderin, E., Gomez, E., | The multivariate negative binomial-Lindley distribution. Properties and new representation for the univariate case. Journal of Computational and Applied Mathematics, 347, 36-48. |
| Calderin, E., Gomez, E., Barranco, I., | Modelling zero-inflated count data with a special case of the generalized Poisson distribution. ASTIN Bulletin, 49(3), 689-707. |
| Chen, Z., Wang, L., Chen, P., Yao, H., | Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching. International Journal of Theoretical and Applied Finance, 22(6), 1950029. |
| Dickson, D. | An identity based on the generalised negative binomial distribution with applications in ruin theory. Annals of Actuarial Science, 13, 308-319. |
| Fergusson, K. | Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure.Scandinavian Actuarial Journal, 10, 1-36. |
| Fergusson, K. | Forecasting inflation using univariate continuous-time stochastic models. Journal of Forecasting, 39(1), 37-46. |
| Gomez, E., Iriarte, Y., Calderin, E., Gomez, H., | Modified power-symmetric distribution.Symmetry, 11(11), 1410. |
| Gomez, E., Sarabia, J., Calderin, E., | Ruin probability functions and severity of ruin as a statistical decision problem.Risks, 7(2), 68. |
| Gomez, E., Sarabia, J., Calderin, E., | The geometric ArcTan distribution with applications to model demand for health services. Communications in Statistics-Simulation and Computation, 48(4), 1101- 1120. |
| Ji, M., Zhou, R. | A general semi-Markov model for coupled lifetimes. North American Actuarial Journal, 23, 98-119. |
| Jin, Z., Yang, Z., Yuan, Q., | A genetic algorithm for investment-consumption optimization with value-atrisk constraint and information processing cost. Risks, 7(1), 32. |
| Kwong, K., Chan, W., Li, J.S.-H., | Actuarial modelling and analysis of the Hong Kong life annuity scheme. Asia-Pacific Journal of Risk and Insurance, 14 (1) https://doi.org/10.1515/apjri-2018-0013 |
| Li, J., Tickle, L. Tan, C., Li, J.S.-H. | Assessing basis risk in index-based longevity swap transactions. Annals of Actuarial Science, 13(1), 166-197. |
| Li, J.S.-H., Zhou, K., Zhu, X., Chan, W., Chan, F., | A Bayesian approach to developing a stochastic mortality model for China. Journal of the Royal Statistical Society Series A, 182(4), 1523-1560. |
| Li, S., Lu, Y., Sendova, K., | The expected discounted penalty function: from infinite time to finite time. Scandinavian Actuarial Journal, 4, 336-354. |
| Mei, Y., Boyle, P., Li, J.S.-H., | Improving risk sharing and borrower incentives in mortgage design. North American Actuarial Journal, 23, 485-511. |
| Wang, N., Zhang, N., Jin, Z., Qian, L., | Robust non-zero-sum investment and reinsurance game with default risk Insurance: Mathematics and Economics, 84, 115-132. |
| Wang, T., Jin, Z., Wei, J., | Mean-variance portfolio selection under a non-Markovian regime-switching model: time-consistent solutions SIAM Journal on Control and Optimization, 57(5), 3249-3271. |
| Wang, Y., Zhang, N., Jin, Z., Ho, T., | Pricing longevity linked derivatives using a stochastic mortality model. Communications in Statistics-Theory and Methods, 48(24), 5923-5942. |
| Wei, J., Jin, Z., Yang, H., | Optimal dividend policy with liability constraint under a hidden Markov regime-switching model. Journal of Industrial and Management Optimization, 15(4), 1965-1993. |
| Wu, X., Lo, C., Yip, P. | A projection of future hospitalization needs in a rapidly ageing society: A Hong Kong experience International Journal of Environmental Research and Public Health, 16, 473 |
| Zhang, N., Jin, Z., Qian, L., Fan, K. | Stochastic differential reinsurance games with capital injections Insurance: Mathematics and Economics, 88, 7-18. |
| Zhang, Z., Li, S., | Beta transform and discounted aggregate claims under dependence.Annals of Actuarial Science, 13(2), 241-267. |
| Zhou, K., Li, J.S.-H., | Delta hedging longevity risk under the M7-M5 two-population model: The impact of cohort effect and population basis risk. Insurance: Mathematics and Economics, 84, 1-21. |
| Zhou, R., | Modelling multi-population mortality dependence with a regime-switching copula. ASTIN Bulletin: The Journal of the International Actuarial Association, 49, 373-407. |
| Zhou, R., Pai, J., Li, J.S.-H., | Pricing weather derivatives with a filtered historical simulation approach. European Journal of Finance, 25, 1462-1484. |
| Zhou, R., Xing, G., Ji, M. | Changes of relation in multi-population morality dependence: An application of threshold VECM Risks, 7, 14; DOI: 10.3390/risks7010014 |
2018
| Authors | Publication |
|---|---|
| Calderin, E. | A note on parameter estimation in the composite Weibull–Pareto distribution. Risks, 6 (1), 11. |
| Dickson, D., Qazvini, M. | Ruin problems in Markov-modulated risk models. Annals of Actuarial Science, 12, 23-48 |
| Li, S., Lu, Y. | On the moments and the distribution of aggregate discounted claims in a Markovian environment. Risks, 59 (6), 1-16. |
| Liu, Y., Li, J. | A Strategy for Hedging Risks Associated with Period and Cohort Effects Using q-Forwards. Insurance: Mathematics and Economics, 78, 267-285. |
| Gomez, E., Calderin, E. | Multivariate credibility in Bonus-Malus systems distinguishing between different types of claims. Risks, 6 (2), 34. |
| Gomez, E., Calderin, E. | Properties and applications of the Poisson-reciprocal Inverse Gaussian distribution. Journal of Statistical Computation and Simulation, 88 (2), 269-289. |
| Hillman, T., Zhang, N., Jin, Z. | Real-option valuation in a finitetime, incomplete market with jump diffusion and investor-utility inflation Risks, 6 (2), 51. |
| Jin, Z., Yang, H., Yin, G. | Approximation of optimal ergodic dividend strategies using controlled Markov chain IET Control Theory & Applications., 12 (16), 2194–2204. |
| Kang, M., Liu, Y., Li, J., Chan, W. | Mortality Forecasting for Multiple Populations: An Augmented Common Factor Model with a Penalized Log-Likelihood. Communications in Statistics – Case Studies and Data Analysis, 4, 118-141. |
| Qian, L., Chen, L., Jin, Z., Wang, R. | Optimal liability ratio and dividend payment strategies under catastrophic risk Journal of Industrial and Management Optimization, 14 (4), 1443–1461. |
| Qian, L., Jin, Z., Wang, W., Chen, L. | Pricing dynamic fund protections for a hyper-exponential jump diffusion process Communications in Statistics - Theory and Methods, 47 (1), 210–221. |
| Sarabia, J., Calderin, E. | Analytical expressions of risk quantities for composite models. Journal of Risk Model Validation, 12 (4), 75–101. |
| Tan, S., Jin, Z., Yin, G. | Optimal dividend payment strategies with debt constraint in a hybrid regime-switching jump diffusion model Nonlinear Analysis: Hybrid Systems, 27, 141–156. |
| Wang, W., Wu, X., Peng, X., Yuen, K. | A note on joint occupation times of spectrally negative Levy processes with tax Statistics and Probability Letters, 140, 13-22. |
| Wat, K., Yuen, K., Li, W., Wu, X. | On the compound binomial risk model with delayed claims and randomized dividends Risks, 6 (6), 13. |
| Wu, X., Yuen, K., Zhang, P. | Aggregate claim models with one-way and two-way dependence among individual claims. Statistics, Optimization and Information Computing, 6, 468-482. |
| Zhang, N., Jin, Z., Qian, L., Wang, R. | Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer Journal of Computational and Applied Mathematics, 342, 337– 351. |
| Zhang, Z. | Renewal sums under mixtures of exponentials. Applied Mathematics and Computation, 337, 281-301. |
| Zhao, Q., Jin, Z., Wei, J. | Optimal investment and dividend payment strategies with debt management and reinsurance Journal of Industrial and Management Optimization, 14 (4), 1323–1348. |
| Zhao, Q., Jin, Z., Wei, J. | Optimal debt ratio and dividend strategies with regime- switching Stochastic Models, 34 (4), 435–463. |
| Zhou, R., Li, J., Pai, J. | Evaluating Effectiveness of Rainfall Index Insurance. Agricultural Finance Review, 78, 611-625. |
2017
| Authors | Publication |
|---|---|
| Bai, L., Guo, J., Wu, X. | Dynamic Stochastic Cooperative Reinsurance Strategy in a Continuous Time Model, SCIENTIA SINICA Mathematica, 47(3), 445-456. |
| Calderin, E., Fergusson, K., Wu, X. | An EM Algorithm for Double-Pareto-Lognormal Generalized Linear Model Applied to Heavy-Tailed Insurance Claims Risks, 5 (4), 60. |
| Fergusson, K. | Asymptotics of Bond Yields and Volatilities for Extended Vasicek Models under the Real-World Measure” Annals of Financial Economics, 12(1), 1750005. |
| Fergusson, K. | Explicit Formulae for Parameters of Stochastic Models of a Discounted Equity Index using Maximum Likelihood Estimation with Applications Annals of Financial Economics, 12(2), 1750010. |
| Li, S., Lu, Yi. | Distributional study of finite time ruin related problems for the classical risk model. Applied Mathematics and Computations, 315, 319-330. |
| Jin, Z., Yang, H., Yin, G. | A numerical approach to optimal dividend policies with capital injections and transaction costs Acta Mathematicae Applicatae Sinica, English Series, 33(1), 221-238. |
| Joshi, M. S. | The Use of Power Numeraires in Option Pricing Operations Research Letters, 45(2), 133-138. |
| Thompson, P., Luo, H. and Fergusson, K. | “The Profit-andLoss Attribution Test” Journal of Risk Model Validation, 11(4), 37-55. |
| Zhang, M., Chen, P., Yao, H. | Mean-variance portfolio selection with only risky assets under regime switching Economic Modelling, 62, 35-42. |
| Zhang, N., Chen, P., Jin, Z., Li, S. | Markowitz’s mean-variance optimization with investment and constrained reinsurance Journal of Industrial and Management Optimization, 13(1), 373-395. |
| Zhao, Y., Chen, P., Yang, H. | Optimal Periodic Dividend and Capital Injection Problem for Spectrally Positive Levy Processes. Insurance: Mathematics and Economics, 74,135-146. |
2016
| Authors | Publication |
|---|---|
| Bulut Karageyik, B., Dickson, D.C.M. |
Optimal reinsurance under multiple attribute decision making. Annals of Actuarial Science, 10, 65-86. |
| Calderin, E., Azpitarte, F., Gomez-Deniz, E. |
Modelling income data using two extensions of the exponential distribution. Physica A: Statistical Mechanics and its Applications, 461, 756-766. |
| Calderin, E. |
The distribution of all French communes: A composite parametric approach. Physica A: Statistical Mechanics and its Applications, 450, 385-394. |
| Calderin, E.; Kwok, C. F. |
Modelling claims data with composite Stoppa models. Scandinavian Actuarial Journal, 9, 817-836. |
| Dickson, D.C.M. |
A note on some joint distribution functions involving the time of ruin. Insurance: Mathematics & Economics, 67, 120-124. |
| Dickson, D.C.M., Qazvini, M. |
Gerber-Shiu analysis of a risk model with capital injections. European Actuarial Journal, 6, 409-440. |
| Gomez-Deniz, E., Calderin, E. |
The Poisson-conjugate Lindley mixture distribution. Communications in Statistics: Theory and Methods, 45(10), 2857-2872. |
| Jin, C., Li, S., Wu, X. |
On the occupation time in a delayed Sparre Andersen risk model with exponential claims. Insurance: Mathematics and Economics, 71, 304-316. |
| Jin, Z., Qian, L., Wang, W., Wang, R. |
Pricing dynamic fund protections with regime switching. Journal of Computational and Applied Mathematics, 297, 13-25. |
| Joshi, M.S. |
Analyzing the Bias in the Primal-Dual Upper Bound Method for Early Exercisable Derivatives: Bounds, Estimation and Removal. Quantitative Finance, 16(4), 519- 533. |
| Joshi, M.S., Kwon, O.K. | Least Squares Monte Carlo Credit Value Adjustment with Small and Unidirectional Bias. International Journal of Theoretical and Applied Finance, 19(8), 1650048. |
| Joshi, M.S., Ranasinghe, N. |
Non-Parametric Pricing of Long-Dated Volatility Derivatives Under Stochastic Interest Rates. Quantitative Finance, 16(7), 997-1008. |
| Joshi, M.S., Zhu, D. |
An Exact and Efficient Method for Computing Cross-Gammas of Bermudan Swaptions and Cancellable Swaps Under the Libor Market Model. Journal of Computational Finance, 20(1), 113-137. |
| Joshi, M.S., Zhu, D. |
An Exact Method for the Sensitivity Analysis of Systems Simulated by Rejection Techniques. European Journal of Operational Research, 254, 875-888. |
| Joshi, M.S., Zhu, D. |
Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs. Applied Mathematical Finance, 23(1), 22-56. |
| Joshi, M.S., Zhu, D. |
The Robust Computation and the Sensitivity Analysis of Finite-time ruin Probabilities and the Estimation of Risk-Based Regulatory Capital. ASTIN Bulletin, 46(2), 431-467. |
| Li, J., Dickson, D.C.M., Li, S. |
Analysis of some ruin-related quantities in a Markov-modulated risk model. Stochastic Models, 32, 351-365. |
| Li, S., Lu, Y. |
On the time and the number of claims when the surplus drops below a certain level. Scandinavian Actuarial Journal, 5, 420-445. |
| Li, S., Lu, Y., Jin, C. |
Number of jumps in two-sided first exit problems for the compound Poisson process. Methodology and Computing in Applied Probability, 18(3): 747-764. |
| Wang, W., Jin, Z., Qian, L., Su, X. |
Local risk minimization for vulnerable European contingent claims on non-tradable assets under regime switching models. Stochastic Analysis and Applications, 34(4), 662-678. |
| Wu, F., Yin, G., Jin, Z. |
Kolmogorov-type systems with regime-switching jump diffusion perturbations. Discrete and Continuous Dynamical Systems – Series B, 21(7), 2293- 2319. |
| Yao, H., Chen, P., Li, X. |
Multi-period defined contribution pension funds investment management with regime switching and mortality risk. Insurance: Mathematics and Economics, 71, 103-113. |
| Zhang, M., Chen, P. |
Mean-variance asset-liability management under constant elasticity of variance process. Insurance: Mathematics and Economics, 70, 11-18. |
| Zhang, M., Chen, P. |
Mean-variance portfolio selection with regime switching under shorting prohibition. Operation Research Letters, 44(5), 658-662. |
| Zhang, N., Jin, Z., Li, S., Chen, P. |
Optimal reinsurance under dynamic VaR constraint. Insurance Mathematics and Economics, 71, 232-243. |
2015
| Authors | Publication |
|---|---|
| Belomestny, D., Joshi, M.S., Schoenmakers, J. | Addendum to: Multilevel dual approach for pricing American style derivatives. Finance and Stochastics, 19(3), 681-684. |
| Chan, J.H., Joshi, M.S. | First and second order Greeks in the Heston model. Journal of Risk, 17(4), 19-69. |
| Chan, J.H., Joshi, M.S. | Optimal limit methods for computing sensitivities of discontinuous integrals including triggerable derivative securities. IIE Transactions, 47(9), 978-997. |
| Calderin, E. | On the composite Weibull-Burr model to describe claim data. Communication in Statistics: Case Studies, Data Analysis and Applications, 1(1), 59-69. |
| Gomez-Deniz, E., Calderin, E. | Credibility premiums for natural exponential family and general 0-1 loss function. Chilean Journal of Statistics, 6(2), 3-7. |
| Gomez-Deniz, E., Calderin, E. | Modelling insurance data with the Pareto ArcTan distribution. ASTIN Bulletin, 45(3), 639-660. |
| Gomez-Deniz, E., Calderin, E. | On the use of the Pareto ArcTan distribution for describing city size in Australia and New Zealand. Physica A: Statistical Mechanics and its Applications, 436, 821-832. |
| Gomez-Deniz, E., Calderin, E. | Parameters estimation for a new generalized geometric distribution. Communications in Statistics-Simulation and Computation, 44(8), 2023-2039. |
| Jin, Z., Yang, H., Yin, G. | Optimal debt ratio and dividend payment strategies with reinsurance. Insurance Mathematics and Economics, 64, 351-363. |
| Jin, Z. | Optimal debt ratio and consumption strategies in financial crisis. Journal of Optimization Theory and Applications, 166(3), 1029-1050. |
| Jin, Z., Qian, L. | Lookback option pricing for regimeswitching jump diffusion models. Mathematical Control and Related Fields, 5(2), 237-258. |
| Jin, Z., Stockbridge, R., Yin, G. | Some recent progress on numerical methods for controlled regime-switching models with applications to insurance and risk management. Computational Methods in Applied Mathematics, 15(3), 331-351. |
| Joshi, M.S. | A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds. Operations Research Letters, 43(6), 581-585. |
| Li, J., Dickson, D.C.M., Li, S. | Finite time ruin problems for the MAP risk model. Insurance: Mathematics and Economics, 65, 1-8. |
| Li, S., Lu, Y., Jin, C. | Number of jumps in two-sided first exit problems for the compound Poisson process. Methodology and Computing in Applied Probability, 17(2), 1-18. |
| Meng, H., Li, S., Jin, Z. | A reinsurance game between two insurance companies with non-linear risk processes. Insurance: Mathematics and Economics, 62, 91-97. |
| Nie, C., Dickson, D.C.M., Li, S. | The finite time ruin probability in a risk model with capital injections. Scandinavian Actuarial Journal, (4), 301-318. |
| Tan, S., Jin, Z., Wu, F. | Arbitrage and leverage strategies in bubbles under synchronization risks and noise-trader risks. Economic Modelling, 49, 331-343. |
| Wu, X., Chen, M., Guo, J., Jin, C. | On a discrete-time risk model with claim correlated premiums. Annals of Actuarial Science, 9(2), 322-342. |
| Zhao, Y., Wang, R., Yao, D., Chen P. | Optimal dividends and capital injections in the dual model with a random time horizon. Journal of Optimization Theory and Applications, 167(1), 272-295. |
2014
| Authors | Publications |
|---|---|
| Beveridge, C.J., Joshi, M.S. | The efficient computation of prices and Greeks for callable range accruals using the displaced diffusion LMM. International Journal of Theoretical and Applied Finance 17, 1. |
| Chen, M., Guo, J., Wu, X. | Expected discounted dividends in a discrete semi-Markov risk model. Journal of Computational and Applied Mathematics 266, 1-17. |
| Gómez-Déniz, E., Sordo, M.A., Calderín, E. | The Log– Lindley distribution as an alternative to the beta regression model with applications in insurance. Insurance: Mathematics and Economics 54, 49–57. |
| Gómez-Déniz, E., Calderín, E. | A suitable alternative to the Pareto distribution. Hacettepe Journal of Mathematics and Statistics 43, 843–860. |
| Gómez-Déniz, E., Calderín, E. | Unconditional distributions obtained from conditional specifications models with applications in risk theory. Scandinavian Actuarial Journal 7, 602–619. |
| Hariyanto, E.A., Dickson, D.C.M., Pitt, D.G.W. | Estimation of disability transition probabilities in Australia I: Preliminary. Annals of Actuarial Science 8, 131-155. |
| Hariyanto, E.A., Dickson, D.C.M., Pitt, D.G.W. | Estimation of disability transition probabilities in Australia II: Implementation. Annals of Actuarial Science 8, 156-175. |
| Jin, Z., Yin, G. | Capital injections with negative surplus and delays: models and analysis. Control Theory and Technology 12, 163-172. |
| Joshi, M.S., Tang, R. | Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies. Journal of Economic Dynamics and Control 40, 25-45. |
| Li, S, Lu, Y. | Some finite-time ruin probabilities in the classical risk model with barriers. Annals of Actuarial Science 8, 63-78. |
| Liu, Q., Pitt, D.G.W, Wu, X. | On the prediction of claim duration for income protection insurance policyholders. Annals of Actuarial Science 8, 42-62. |
| Zong, X., Wu, F., Yin, G., Jin, Z. | Stochastic stabilization of regime-switching jump diffusion systems. SIAM Journal on Control and Optimization 52, 2595-2622. |
2013
| Authors | Publications |
|---|---|
| Bertoin, J., Dufresne, D., and Yor, M. |
Some twodimensional extensions of Bougerol’s identity in law for the exponential functional of linear Brownian motion. Revista Matematica Iberoamericana 29: 1307- 1324. |
| Beveridge, C., Joshi, M., and Tang, R. | Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation 37: 1342-1361. |
| Calderín, E., and Gómez-Déniz, E. |
An extension of the discrete Lindley distribution with applications. Journal of the Korean Statistical Society 42: 371-373. |
| Chan, J.H., and Joshi, M. |
Fast and accurate long stepping simulation of the Heston stochastic volatility model. The Journal of Computational Finance 16: 47-97. |
| Chan, J.H., and Joshi, M. | Fast Monte Carlo Greeks for financial products with discontinuous pay-offs. Mathematical Finance 23: 459-495. |
| Chen, P., and Yam, S.C.P. |
Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers. Insurance: Mathematics and Economics 53: 871-883. |
| Dickson, D., and Li, S. |
The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model. Insurance: Mathematics & Economics 52: 490-497. |
| Dufresne, D., and Vázquez-Abad, F. |
Cobweb theorems with production lags and price forecasting. Economics EJournal 7 (2013-23): 1-49. |
| Gómez-Déniz E., and Calderín, E. |
The compound DGL/Erlang distribution in the collective risk model. Revista de Métodos Cuantitativos para la Economía y la Empresa 16: 121-142. |
| Gómez-Déniz, E. and Calderín, E., and Sarabia, J.M. | Gamma-generalized Inverse Gaussian class of distributions with applications. Communications in Statistics: Theory and Methods 42: 919-933. |
| Jin, Z., and Yin, G. |
An optimal dividend policy with delayed capital injections. ANZIAM Journal 55: 129-150. |
| Jin, Z., and Yin, G. |
Numerical methods for optimal dividend payment and investment strategy for Markov-modulated jump diffusion models with regular and singular controls. Journal of Optimization Theory and Applications 159: 246-271. |
| Jin, Z., Yin G., and Wu, F. |
Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods. Insurance: Mathematics and Economics 53: 733-746. |
| Jin, Z., Yang, H., and Yin, G. |
Numerical methods for optimal dividend payment and investment strategies of regimeswitching jump diffusion models with capital injections. Automatica 49: 2317-2329. |
| Li, S., and Lu, Y. |
On the generalised Gerber-Shiu function for a risk model with interest. Insurance: Mathematics and Economics 52: 127-134. |
| Li, S., and Ren, J. |
The time of recovery and the maximum severity of ruin in a perturbed MAP risk process. Statistics and Probability Letters 83: 993-998. |
| Li, S., and Sendova, K. |
Finite-time ruin probability for the compound binomial risk model. European Actuarial Journal 3: 249-271. |
| Li, S., Huang, F., and Jin, C. |
Joint distributions for some ruinrelated quantities in the compound binomial risk model. Stochastic Models 29: 518-539. |
| Liu, Q., Pitt, D., Wang, Y., Wu, X. | Survival analysis of left truncated income protection insurance data. Asia-Pacific Journal of Risk and Insurance 7: 1-22. |
| Wu, X. |
Equilibrium distributions of discrete phase type. Stochastic Models 29: 240 -257. |
| Yao, H., Yang, Z., and Chen, P. |
Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model. Insurance: Mathematics and Economics 53: 851-863. |
2012
| Authors | Publications |
|---|---|
| Chin S and Dufresne D. |
A general formula for option prices in a stochastic volatility model. Applied Mathematical Finance 19(4): 313-340. |
| Beveridge C. and Joshi M. |
Interpolation schemes in the displaced-diffusion LIBOR market model. SIAM Journal of Financial Mathematics, 3, 593 – 604. |
| Beveridge C., Joshi M. and Wright W. |
Efficient Pricing and Greeks in the Cross-Currency LIBOR Market Model. Journal of Risk, 14(4), 65-113. |
| Dickson D. |
The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model. Insurance: Mathematics and Economics, 50(4), 334-337. |
| Dickson D and Li S. |
Erlang risk models and finite time ruin problems. Scandinavian Actuarial Journal, 2012, 3, 183-202 . |
| Jin Z., Yin G., and Zhu C. |
Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation. Automatica, 48, 1489-1501 |
| Joshi M. and Chen T. | Truncation and acceleration of the Tian Tree for the pricing of American put options. Quantitative Finance, 33(3), 1695-1708. |
| Joshi M. and Staunton M. |
On the analytical/numerical pricing of American put options against binomial tree prices. Quantitative Finance, 12(1), 17-20. |
| Joshi M. and Wiguna A. |
Accelerating Pathwise Greeks in the Libor Market Model. International Journal of Theoretical and Applied Finance, 15(2), 1 - 33. |
| Wu X and Li S. |
On a discrete time risk model with timedelayed claims and a constant dividend barrier. Insurance Markets and Companies: Analyses and Actuarial Computations, 3(1), 50-57. |
2011
| Authors | Publication |
|---|---|
| Ametrano F and Joshi M. | Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions. Quantitative Finance 11(4): 547-558 |
| Beveridge C and Joshi M. |
Monte Carlo bounds for game options including convertible bonds. Management Science 57(5): 960-974 |
| Chen P and Yang H. |
Markowitz’s mean-variance assetliability management with regime switching: a multi-period model. Applied Mathematical Finance 18 (1): 29 - 50. |
| Denson N and Joshi M. |
Fast and accurate Greeks for the libor market model. The Journal of Computational Finance 14(4): 115-140 |
| Fries C and Joshi M. |
Perturbation stable conditional analytic Monte-Carlo pricing scheme for auto-callable products. International Journal of Theoretical and Applied Finance 14 (2): 197 - 219 |
| Gómez-Déniz E, Sarabia, J and Calderín E. |
A new discrete distribution with actuarial applications. Insurance: Mathematics and Economics 48 (3): 406 - 412 . |
| Jin Z, Yin G and Yang H. |
Numerical methods for dividend optimization using regime-switching jump-diffusion models. Mathematical Control and Related Fields 1: 21 - 40. |
| Jin Z, Wang Y and Yin G. |
Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching-jump-diffusion formulation. Journal of Computational and Applied Mathematics 235: 2842 - 2860. |
| Jin Z and Yin G. | A numerical method for annuitypurchasing decision making to minimize the probability of financial ruin for regime-switching wealth Models. International Journal of Computer Mathematics 88: 1256 - 1282 . |
| Joshi M and Yang C. |
Algorithmic Hessians and the fast computation of cross-gamma risk. IIE Transactions 43 (12): 878 - 892. |
| Joshi M and Yang C. |
Fast Delta computations in the swaprate market model. Journal of Economic Dynamics and Control 35 (5): 764 - 775 . |
| Joshi M and Yang C. | Efficient Greek estimation in generic swap-rate market models. Algorithmic Finance 1: 17 - 33. |
| Liu Q, Pitt D, Zhang X and Wu X. | A Bayesian approach to parameter estimation for kernel density estimation via transformations. Annals of Actuarial Science 5(2): 181-193. |
| Nie C, Dickson D and Li S. | Minimizing the ruin probability through capital injections. Annals of Actuarial Science 5(2): 195-209 |
| Siaw K, Wu X, Pitt D and Wang Y. | Matrix-form recursive evaluation of the aggregate claims distribution revisited. Annals of Actuarial Science 5(2): 163-179. |
| Taylor G. | Maximum likelihood and estimation efficiency of the Chain Ladder. ASTIN Bulletin 41 (1): 131-155. |
| Taylor G. | A statistical basis for claims experience monitoring. North American Actuarial Journal 15 (4): 535-552 |
2010
| Authors | Publication |
|---|---|
| Chen P and Yang H. |
Pension funding problem with regime switching geometric Brownian motion assets and liabilities. Applied Stochastic Models in Business and Industry 26 (2): 125-141. |
| Chen P and Luo S. |
Clocks and Fisher information. Theoretical and Mathematical Physics 156 (2): 1552-1564. |
| Dickson D and Li S. |
Finite time ruin problems for the Erlang(2) risk model. Insurance: Mathematics and Economics 46: 12-18. |
| Dufresne D. |
Beta products with complex parameters. Communications in Statistics-Theory and Methods (39): 837- 854. |
| Dufresne D. |
G distributions and beta-gamma algebra. Electronic Journal of Probability (15): 2163-2199. |
| Fitzherbert R and Pitt D. |
Investment return calculations and senior school mathematics. Australian Senior Mathematics Journal 24(1): 7-17. |
| Li S and Lu Y. |
On the maximum surplus before ruin and maximum severity of ruin in the compound Poisson risk model with a threshold dividend strategy. Scandinavian Actuarial Journal 2: 136-147. |
| Joshi M. |
Graphical Asian options. Wilmott Journal 2 (2): 97- 107. |
| Joshi M. | Achieving higher order convergence for the prices of European options in binomial trees. Mathematical Finance 20 (1): 89-103. |
| Joshi M and Tang R. |
Pricing and deltas of discretely monitored barrier options using stratified sampling on the hitting-times to the barrier. International Journal of Theoretical and Applied Finance 13(5): 717- 750. |
| Joshi M and Yang C. | Fast and accurate pricing and hedging of long-dated CMS spread options. International Journal of Theoretical and Applied Finance 13(6): 839 -865. |
| Pitt D and Joshi M. |
Fast sensitivity computations for Monte Carlo valuation of pension funds. Astin Bulletin 40(2): 655- 667. |
| Pitt D, Qian G and Cui J. |
Model selection and claim frequency for workers’ compensation insurance. Astin Bulletin 40(2): 779-796. |
| Wu X and Li S. |
Matrix-form recursions for a family of compound distributions. ASTIN Bulletin 40: 351-368. |
| Wu X. |
Ruin probabilities for a risk model with two classes of risk processes. Australian Actuarial Journal 16(1): 87-108 |
| Yip P, Pitt D, Wang Y, Wu X, Watson R, Huggins R and Xu Y. |
Assessing the impact of suicide exclusion periods on life insurance. Crisis: The Journal of Crisis Intervention and Suicide Prevention 31(4): 217-223. |
| Zhang Z, Yang H and Li S. |
The perturbed compound Poisson risk model with two-sided jumps. Journal of Computational and Applied Mathematic 23(8): 1783-1784. |
2009
| Authors | Publication |
|---|---|
| Beveridge C, Denson N and Joshi M. | Comparing discretisations of the LIBOR market model in the spot measure. Australian Actuarial Journal. 15 (2): 231-253 |
| Chan J, Joshi M, Tang R and Yang C. | Trinomial or binomial: Accelerating American put option price on trees. Journal of Futures Markets. 29 (9): 826-839. |
| Dufresne D, Garrido J and Morales M. | Fourier inversion formulas in option pricing and insurance. Methodology and Computing in Applied Probability. 3 (11): 359-383. |
| Denson NA and Joshi M. | Flaming logs. Wilmott Journal. 1 (5-6): 259-262. |
| Joshi M. | Achieving smooth asymptotics for the prices of European options in binomial trees. Quantitative Finance. 9 (2): 171-176. |
| Joshi M. | The convergence of binomial trees for pricing the American put. Journal of Risk. 11 (4): 87-108. |
| Li S and Lu Y. | The distribution of total dividend payments in a Sparre Andersen model. Statistics and Probability Letters. 79 (9): 1246-1251. |
| Li S, Lu Y and Garrido J. | A review of discrete-time risk models. Real Academia de Ciencias Exactas, Fisicas y Naturales. Revista. Serie A, Matematicas. 103 (2): 321-337. |
| Lu Y and Li S. | The Markovian regime-switching risk model with a threshold dividend strategy. Insurance: Mathematics and Economics. 44 (2): 296-303. |
| Tanthanongsakkun S, Pitt D and Treepongkaruna S. | A comparison of corporate bankruptcy models in Australia: The Merton vs accounting based models. Asia-Pacific Journal of Risk and Insurance, 3 (2): 93-112. |
| Taylor G. | The chain ladder and Tweedie distributed claims data. Variance. 3: 96-104. |
| Taylor G and McGuire G. | Adaptive reserving using Bayesian revision for the exponential dispersion family. Variance. 3:105-130. |
| Wu X and Li S. | On the discounted penalty function in a discrete time renewal risk model with general interclaim times. Scandinavian Actuarial Journal. 4 (109): 281-294. |
| Zhang Z, Li S and Yang H. | The Gerber-Shiu discounted penalty functions for a risk model with two classes of claims. Journal of Computational and Applied Mathematics. 230 (2): 643-655. |
2008
| Authors | Publication |
|---|---|
| Beveridge C., Dickson D & Wu W. | Optimal dividends under reinsurance. Bulletin of the Swizz Association of Actuaries. (2): 149-166. |
| Beveridge C. & Joshi M. | Juggling Snowballs. Risk. 21 (12): 100-104. |
| Borokov K & Dickson D. | On the ruin time distribution for a Sparre Anderson process with exponential claim sizes. Insurance: Mathematics & Economics. 42 (3): 1104-1108. |
| Cheung E., Dickson D. & Drekic S. | Moments of discounted dividends for a threshold strategy in the compound Poisson risk model. North American Actuarial Journal. 12 (3): 299-318. |
| Dickson D. | Some explicit solutions for the joint density of the time of ruin and the deficit at ruin. ASTIN Bulletin. 38 (1): 259-276. |
| Fries C. & Joshi M. | Partial proxy simulation schemes for generic and robust Monte Carlo greeks. The Journal of Computational Finance. 11 (3): 79-106. |
| Joshi M. & Stacey A. | New and robust drift approximations for the LIBOR market model. Quantitative Finance. 8 (4): 427-434 |
| Li S. | A note on the maximum severity of ruin in Erlang(n) risk process. Bulletin of the Swizz Association of Actuaries. (2): 167-180 |
| Li S. | The moments of the present value of total dividends under stochastic interest rates. Australian Actuarial Journal. 14 (2): 175-192 |
| Li S. | The time of recovery and the maximum severity of ruin in a Sparre Anderson model. North American Actuarial Journal. 12 (4): 413-425. |
| Li S. & Lu Y. | The decompositions of the discounted penalty function and dividends-penalty identity in a Markov-modulated risk model. ASTIN Bulletin. 38 (1): 53-71. |
| Taylor G. | Second order Bayesian revision of a generalised linear model. Scandanavian Actuarial Journal. 108, 202-242. |
| Taylor G. | A simple model of insurance market dynamics. North American Actuarial Journal. 12(3), 242-262 |
2007
| Authors | Publications |
|---|---|
| Dufresne D. | Fitting combinations of exponentials to probability distributions. Applied Stochastic Models in Business and Industry. 23 (1): 23-48. |
| Dufresne D. | Stochastic life annuities. North American Actuarial Journal. 11 (1): 136-157. |
| Joshi M. | A simple derivation of and improvements to Jamshidian's and Roger's upper bound methods for Bermudan options. Applied Mathematical Finance. 14 (3): 197-206. |
| Joshi M. & Leung T. | Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options. The Journal of Computational Finance. 10 (4): 93-105. |
| Joshi M. & Liesch L. | Effective implementation of generic market models. ASTIN Bulletin. 37 (2): 453-473. |
| Li S. & Lu Y. | Moments of the dividend payments and market models. North American Actuarial Journal. 11 (2): 65-76. |
| Pitt D. | Modelling the claim duration of income protection insurance policyholders using parametric mixture models. Annals of Actuarial Science. 2 (1): 1-24. |
| Taylor G. | Credibility, hypothesis testing and regression software. ASTIN Bulletin. 37 (2): 517-535. |
| Taylor G. & McGuire G. | A synchronous bootstrap to account for dependencies between lines of business in the estimation of loss reserve predict error. North American Actuarial Journal. 11 (1): 70-88. |
| Taylor G. & Mulquiney P. | Modelling mortgage insurance as a multi-state process. Variance. 1: 81-102. |
2006
| Authors | Publications |
|---|---|
| Dickson D. | Premiums and reserves for life insurance products. Australian Actuarial Journal. 12 (2): 259-279. |
| Dickson D. & Drekic S. | Optimal dividends under a ruin probability constraint. Annals of Actuarial Science. 1 (2): 291-306. |
| Dickson D. & Waters H. | Optimal dynamic reinsurance. Astin Bulletin. 36 (2): 415-432. |
| Fitzherbert R. | Australian equity returns: another look at the historical record. JASSA - Journal of the Securities Institute of Australia. Spring (3): 20-24. |
| Fitzherbert R. | Paradigms, research and recognition of the Actuarial profession. Australian Actuarial Journal. 12 (1): 103-140. |
| Joshi M. | Achieving decorrelation and speed simultaneously in the Libor market model. Journal of Risk. 9 (1): 147-153. |
| Joshi M. | Option pricing and the Dirichlet problem. Wilmott Magazine. 4 (4): 100-103. |
| Joshi M. & Stacey A. | Intensity gamma: a new approach for pricing portfolio credit derivatives. Risk Magazine. 19 (7): 78-83. |
| Li S. | The distribution of the dividend payments in the compound Poission risk model perturbed by diffusion. Scandanavian Actuarial Journal. 2006 (2): 73-85. |
| Li S. & Dicskon D. | The maximum surplus before ruin in an Erlang(Nn) risk process and related problems. Insurance Mathematics & Economics. 38 (3): 529-539. |
| Pitt D. | Regression quantile analysis of claim termination rates for income protection insurance. Annals of Actuarial Science. 1 (2): 345-357. |
| Taylor G. | APRA general insurance risk margins. Australian Actuarial Journal. 12 (3): 367-397. |
| Taylor G. & Mulquiney P. | Modelling mortgage insurance as a multi-state process. Journal of the Casualty Actuarial Society. |
| Yuen KC., Guo J. & Wu X. | On the first time of ruin in the bivariate compound Poisson model. Insurance Mathematics & Economics. 38 (2): 298-308. |
2005
| Authors | Publications |
|---|---|
| Dickson D.C.M., Hughes B.D and Lianzeng, Z. | The Density of the Time to Ruin for a Sparre Andersen Process with Erlang Arrivals and Exponential Claims. Scandinavian Actuarial Journal. 2005, 5. |
| Dickson D.C.M. and Wilmott G.E. | The Density of the Time to Ruin in the Classical Poisson Risk Model. ASTIN Bulletin. 35, 1. |
| Fitzherbert R.M. | What Causes the Equity Premium? Journal of the Securities Institute of Australia. 2005, 3. |
| Joshi M.S. | Applying Importance Sampling to Pricing Single Tranches of CDOs in a One-Factor Li Model. Wilmott Magazine. 2005, March. |
| Li S. | Discussion of the Time Value of Ruin in a Sparre Andersen Model. North American Actuarial Journal. 9, 2. |
| Li S. | On a Class of Discrete Renewal Risk Models. Scandinavian Actuarial Journal. 2005, 4. |
| Li S. | Distributions of the Surplus Before Ruin, the Deficit at Ruin and the Claim Causing Ruin in a Class of Discrete Time Risk Model. Scandinavian Actuarial Journal. 2005, 4. |
| Li S. and Garrido J. | On the Gerber-Shiu functions in a Sparre Andersen Risk Model Perturbed by Diffusion. Scandinavian Actuarial Journal. 2005, 3. |
| Li S. and Garrido J. | On a General Class of Risk Processes: Analysis of the Gerber-Shiu Function. Advances in Applied Probability. 37, 3. |
| Li S. and Garrido J. | Ruin Probabilities for Two Classes of Risk Processes. ASTIN Bulletin. 35, 1. |
| Li S. and Lu Y. | On the Expected Discounted Penalty Functions for Two Classes of Risk Processes. Insurance: Mathematics & Economics. 36, 2. |
| Lu Y. and Li S. | On the Probability of Ruin in a Markov-Modulated Risk Model. Insurance: Mathematics & Economics. 37, 3. |
| Pitt D., O'Neill T. and Puza B. | The Monty Hall Three Doors Problem. Teaching Statistics. 27, 1. |
| Rebonato R., Mahal S., Joshi M.S. and Bucholz L. | Evolving Yield Curves in the Real-World Measures: A Semi-Parametric Approach. Journal of Risk. 7, 4. |
2004
| Authors | Publications |
|---|---|
| Cai, J. and Dickson D.C.M., | Ruin probabilities with a Markov chain interest model. Insurance: Mathematics & Economics 35, 513 – 525. |
| Dickson, D.C.M. and Drekic, S., | The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models. Insurance: Mathematics & Economics 34, 97 – 107. |
| Dickson, D.C.M. and Waters, H.R., | Some optimal dividends problems. ASTIN Bulletin 34, 49 -74. |
| Dickson, D.C.M. and Wong, K.S., | De Vylder approximations to the moments and distribution of the time to ruin. Australian Actuarial Journal 10, 707-724. |
| Drekic, S., Dickson, D.C.M., Stanford, D.A. and Willmot, G.E., | On the distribution of the deficit at ruin when claims are phase-type. Scandinavian Actuarial Journal 2004, 105 – 120. |
| Dufresne, D., | The log-normal approximation in financial and other computations. Advances in Applied Probability 36, 747 – 773. |
| Leung, E., | Projecting the needs and costs of long term care in Australia. Australian Actuarial Journal 10, 343-385. |
| Li, S. and Garrido, J., | On ruin for Erlang(n) risk process. Insurance: Mathematics & Economics 34, 391-408. |
| Li, S. and Garrido, J., | On a class of renewal risk models with a constant dividend barrier. Insurance: Mathematics & Economics 35, 691-701. |
| Taylor, G.C., | Risk and discounted loss reserves. North American Actuarial Journal 8, 1, 37-44. |
| Taylor, G.C. and McGuire, G., | Loss reserving with GLMs: a case study. Casualty Actuarial Society 2004 Discussion Paper Program, 327-392. |
| Willmot, G.E., Dickson, D.C.M., Drekic, S. and Stanford D.A. | The deficit at ruin in the stationary renewal risk. Scandinavian Actuarial Journal 2004, 241 – 255. |
2003
| Authors | Publications |
|---|---|
| Cai, J. and Dickson, D.C.M., | Upper bounds for ruin probabilities in the Sparre Andersen model with interest. Insurance: Mathematics & Economics 32, 61-71. |
| Fitzherbert, R.M., | The identification and measurement of speculative risk. Australian Actuarial Journal 9, 445-476. |
| Sato, M., Dickson, D.C.M. and Fitzherbert, R.M., | Initial capital and margins required to secure a Japanese life insurance portfolio under variable interest rates. Australian Actuarial Journal 9, 251-289. |
| Taylor, G.C., | Chain ladder bias. ASTIN Bulletin 33, 313-330. |
| Willmot, G.E. and Dickson, D.C.M., | The Gerber-Shiu discounted penalty function in the stationary renewal risk model. Insurance: Mathematics & Economics 32, 403- 411. |