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. |