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. |