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. |