2019
| Authors | Publication |
|---|---|
| Bhati, D., Calderin, E., Gomez, E., Meenakshi, M., | A new heavy tailed class of distributions which includes the Pareto. Risks, 7(4), 99. |
| Bui, T., Cheng, X., Jin, Z., Yin, G, | Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models. Nonlinear Analysis: Hybrid Systems, 32, 276-293. |
| Calderin, E., Gomez, E., | The multivariate negative binomial-Lindley distribution. Properties and new representation for the univariate case. Journal of Computational and Applied Mathematics, 347, 36-48. |
| Calderin, E., Gomez, E., Barranco, I., | Modelling zero-inflated count data with a special case of the generalized Poisson distribution. ASTIN Bulletin, 49(3), 689-707. |
| Chen, Z., Wang, L., Chen, P., Yao, H., | Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching. International Journal of Theoretical and Applied Finance, 22(6), 1950029. |
| Dickson, D. | An identity based on the generalised negative binomial distribution with applications in ruin theory. Annals of Actuarial Science, 13, 308-319. |
| Fergusson, K. | Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure.Scandinavian Actuarial Journal, 10, 1-36. |
| Fergusson, K. | Forecasting inflation using univariate continuous-time stochastic models. Journal of Forecasting, 39(1), 37-46. |
| Gomez, E., Iriarte, Y., Calderin, E., Gomez, H., | Modified power-symmetric distribution.Symmetry, 11(11), 1410. |
| Gomez, E., Sarabia, J., Calderin, E., | Ruin probability functions and severity of ruin as a statistical decision problem.Risks, 7(2), 68. |
| Gomez, E., Sarabia, J., Calderin, E., | The geometric ArcTan distribution with applications to model demand for health services. Communications in Statistics-Simulation and Computation, 48(4), 1101- 1120. |
| Ji, M., Zhou, R. | A general semi-Markov model for coupled lifetimes. North American Actuarial Journal, 23, 98-119. |
| Jin, Z., Yang, Z., Yuan, Q., | A genetic algorithm for investment-consumption optimization with value-atrisk constraint and information processing cost. Risks, 7(1), 32. |
| Kwong, K., Chan, W., Li, J.S.-H., | Actuarial modelling and analysis of the Hong Kong life annuity scheme. Asia-Pacific Journal of Risk and Insurance, 14 (1) https://doi.org/10.1515/apjri-2018-0013 |
| Li, J., Tickle, L. Tan, C., Li, J.S.-H. | Assessing basis risk in index-based longevity swap transactions. Annals of Actuarial Science, 13(1), 166-197. |
| Li, J.S.-H., Zhou, K., Zhu, X., Chan, W., Chan, F., | A Bayesian approach to developing a stochastic mortality model for China. Journal of the Royal Statistical Society Series A, 182(4), 1523-1560. |
| Li, S., Lu, Y., Sendova, K., | The expected discounted penalty function: from infinite time to finite time. Scandinavian Actuarial Journal, 4, 336-354. |
| Mei, Y., Boyle, P., Li, J.S.-H., | Improving risk sharing and borrower incentives in mortgage design. North American Actuarial Journal, 23, 485-511. |
| Wang, N., Zhang, N., Jin, Z., Qian, L., | Robust non-zero-sum investment and reinsurance game with default risk Insurance: Mathematics and Economics, 84, 115-132. |
| Wang, T., Jin, Z., Wei, J., | Mean-variance portfolio selection under a non-Markovian regime-switching model: time-consistent solutions SIAM Journal on Control and Optimization, 57(5), 3249-3271. |
| Wang, Y., Zhang, N., Jin, Z., Ho, T., | Pricing longevity linked derivatives using a stochastic mortality model. Communications in Statistics-Theory and Methods, 48(24), 5923-5942. |
| Wei, J., Jin, Z., Yang, H., | Optimal dividend policy with liability constraint under a hidden Markov regime-switching model. Journal of Industrial and Management Optimization, 15(4), 1965-1993. |
| Wu, X., Lo, C., Yip, P. | A projection of future hospitalization needs in a rapidly ageing society: A Hong Kong experience International Journal of Environmental Research and Public Health, 16, 473 |
| Zhang, N., Jin, Z., Qian, L., Fan, K. | Stochastic differential reinsurance games with capital injections Insurance: Mathematics and Economics, 88, 7-18. |
| Zhang, Z., Li, S., | Beta transform and discounted aggregate claims under dependence.Annals of Actuarial Science, 13(2), 241-267. |
| Zhou, K., Li, J.S.-H., | Delta hedging longevity risk under the M7-M5 two-population model: The impact of cohort effect and population basis risk. Insurance: Mathematics and Economics, 84, 1-21. |
| Zhou, R., | Modelling multi-population mortality dependence with a regime-switching copula. ASTIN Bulletin: The Journal of the International Actuarial Association, 49, 373-407. |
| Zhou, R., Pai, J., Li, J.S.-H., | Pricing weather derivatives with a filtered historical simulation approach. European Journal of Finance, 25, 1462-1484. |
| Zhou, R., Xing, G., Ji, M. | Changes of relation in multi-population morality dependence: An application of threshold VECM Risks, 7, 14; DOI: 10.3390/risks7010014 |