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.