2020

Authors	Publication
Avanzi, B., Lau, H., Wong, B.	Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs Insurance: Mathematics and Economics, Vol. 93, pp. 315-332 https://dx.doi.org/10.1016/j.insmatheco.2020.05.012
Avanzi, B., Taylor, G., Vu, PA., Wong, B.	A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving Insurance: Mathematics and Economics, Vol. 93, pp. 50-71 https://dx.doi.org/10.1016/j.insmatheco.2020.04.007
Chen, P., Yao, H.	Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching Journal of Industrial and Management Optimization, Vol. 16, Issue 2, pp. 531-551 https://dx.doi.org/10.3934/jimo.2018166
Cheng, X., Jin, Z., Yang, H.	OPTIMAL INSURANCE STRATEGIES: A HYBRID DEEP LEARNING MARKOV CHAIN APPROXIMATION APPROACH ASTIN Bulletin, Vol. 50, Issue 2, pp. 449-477 https://dx.doi.org/10.1017/asb.2020.9
Fergusson, K.	Forecasting inflation using univariate continuous-time stochastic models Journal of Forecasting, Vol. 39, Issue 1, pp. 37-46 https://dx.doi.org/10.1002/for.2603
Fergusson, K.	LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC ASTIN Bulletin, Vol. 50, Issue 2, pp. 381-417 https://dx.doi.org/10.1017/asb.2020.7
Fergusson, K.	Fast maximum likelihood estimation of parameters for square root and Bessel processes Studies in Nonlinear Dynamics and Econometrics, https://dx.doi.org/10.1515/snde-2019-0079
Gomez-Deniz, E., Calderin-Ojeda, E.	A Survey of the Individual Claim Size and Other Risk Factors Using Credibility Bonus-Malus Premiums Risks, Vol. 8, Issue 1 https://dx.doi.org/10.3390/risks8010020
Gomez-Deniz, E., Calderin-Ojeda, E.	On the Usefulness of the Logarithmic Skew Normal Distribution for Describing Claims Size Data Mathematical Problems in Engineering, Vol. 2020 https://dx.doi.org/10.1155/2020/1420618
Gomez-Deniz, E., Calderin-Ojeda, E.	Financial and Actuarial Properties of the Beta-Pareto as a Long-Tail Distribution Spanish Journal of Statistics, Vol. 2, Issue 1, pp. 7-21 https://dx.doi.org/10.37830/SJS.2020.1.02
Jin, Z., Liao, H., Yang, Y., Yu, X.	Optimal dividend strategy for an insurance group with contagious default risk SCANDINAVIAN ACTUARIAL JOURNAL, Vol. 2021, Issue 4, pp. 335-361 https://dx.doi.org/10.1080/03461238.2020.1845231
Jin, Z., Liu, G., Yang, H.	Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models European Journal of Operational Research, Vol. 280, Issue 3, pp. 1130-1143 https://dx.doi.org/10.1016/j.ejor.2019.07.066
Li, J., Li, S.	Some State-Specific Exit Probabilities in a Markov-Modulated Risk Model Mathematical Problems in Engineering, Vol. 2020 https://dx.doi.org/10.1155/2020/5830245
Li, JS-H., Zhou, R., Liu, Y., Graziani, G., Hall, D., Haid, J., Peterson, A., Pinzur, L.	Drivers of Mortality Dynamics: Identifying Age/Period/Cohort Components of Historical U.S. Mortality Improvements North American Actuarial Journal, Vol. 24, Issue 2, pp. 228-250 https://dx.doi.org/10.1080/10920277.2020.1716808
Li, JSH., Liu, Y.	The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty Insurance: Mathematics and Economics, Vol. 93, pp. 1-26 https://dx.doi.org/10.1016/j.insmatheco.2020.04.001
Liu, Z., Chen, P.	Dividend payments until draw-down time for risk models driven by spectrally negative Levy processes COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, https://dx.doi.org/10.1080/03610918.2020.1828918
Liu, Z., Chen, P., Hu, Y.	On the dual risk model with diffusion under a mixed dividend strategy Applied Mathematics and Computation, Vol. 376 https://dx.doi.org/10.1016/j.amc.2020.125115
Stoneham, G., Hester, SM., Li, JS-H., Zhou, R., Chaudhry, A.	The Boundary of the Market for Biosecurity Risk RISK ANALYSIS, https://dx.doi.org/10.1111/risa.13620
Wang, T., Jin, Z., Wei, J.	Mean-variance portfolio selection with non-negative state-dependent risk aversion QUANTITATIVE FINANCE, Vol. 21, Issue 4, pp. 657-671 https://dx.doi.org/10.1080/14697688.2020.1787492
Wang, W., Chen, P., Li, S.	Generalized expected discounted penalty function at general drawdown for Lévy risk processes Insurance: Mathematics and Economics, Vol. 91, pp. 12-25 https://dx.doi.org/10.1016/j.insmatheco.2019.12.002
Wei, J., Cheng, X., Jin, Z., Wang, H.	Optimal consumption–investment and life-insurance purchase strategy for couples with correlated lifetimes Insurance: Mathematics and Economics, Vol. 91, pp. 244-256 https://dx.doi.org/10.1016/j.insmatheco.2020.02.006
Yang, Y., Li, S.	On a Family of Log-Gamma-Generated Archimedean Copulas North American Actuarial Journal https://dx.doi.org/10.1080/10920277.2020.1856687
Zhang, J., Chen, P., Jin, Z., Li, S.	Open-loop equilibrium strategy for mean–variance asset–liability management portfolio selection problem with debt ratio Journal of Computational and Applied Mathematics, Vol. 380, pp. 112951-112951 https://dx.doi.org/10.1016/j.cam.2020.112951
Zhang, P., Calderin, E., Li, S., Wu, X.	On the Type I multivariate zero-truncated hurdle model with applications in health insurance Insurance: Mathematics and Economics, Vol. 90, pp. 35-45 https://dx.doi.org/10.1016/j.insmatheco.2019.10.010
Zhou, KQ., Li, JSH.	Asymmetry in mortality volatility and its implications on index-based longevity hedging Annals of Actuarial Science, Vol. 14, Issue 2, pp. 278-301 https://dx.doi.org/10.1017/S174849952000010X
Zhou, Z., Jin, Z.	Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time Insurance: Mathematics and Economics, Vol. 94, pp. 100-108 https://dx.doi.org/10.1016/j.insmatheco.2020.06.011
Zhu, H-N., Zhang, C-K., Jin, Z.	Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks Journal of Industrial and Management Optimization, Vol. 16, Issue 2, pp. 813-834 https://dx.doi.org/10.3934/jimo.2018180