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.