2021
| Authors | Publication |
|---|---|
| Avanzi, B., Beaulieu, GB., de, Micheaux., Ouimet, F., Wong, B. | A counterexample to the existence of a general central limit theorem for pairwise independent identically distributed random variables JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, Vol. 90, pp. 35-45 https://dx.doi.org/10.1016/j.jmaa.2021.124982 |
| Avanzi, B., Lau, H., Wong, B. | Optimal periodic dividend strategies for spectrally negative Levy processes with fixed transaction costs SCANDINAVIAN ACTUARIAL JOURNAL, Vol. 8, Issue 1 https://dx.doi.org/10.1080/03461238.2020.1869069 |
| Avanzi, B., Lau, H., Wong, B. | On the optimality of joint periodic and extraordinary dividend strategies European Journal of Operational Research, https://dx.doi.org/10.1016/j.ejor.2021.04.033 |
| Avanzi, B., Taylor, G., Wang, M., Wong, B. | SynthETIC: An individual insurance claim simulator with feature control Insurance: Mathematics and Economics, Vol. 24, Issue 2, pp. 228-250 https://dx.doi.org/10.1016/j.insmatheco.2021.06.004 |
| Avanzi, B., Taylor, G., Wong, B., Xian, A. | Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework European Journal of Operational Research, Vol. 93, pp. 50-71 https://dx.doi.org/10.1016/j.ejor.2020.07.022 |
| Avanzi, B., Taylor, G., Wong, B., Yang, X. | On the modelling of multivariate counts with Cox processes and dependent shot noise intensities Insurance: Mathematics and Economics, Vol. 2020 https://dx.doi.org/10.1016/j.insmatheco.2021.01.002 |
| Avanzi, B., Taylor, GC., Phuong, AV., Wong, B. | On unbalanced data and common shock models in stochastic loss reserving Annals of Actuarial Science, Vol. 93, pp. 315-332 https://dx.doi.org/10.1017/S1748499520000196 |
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Bhati, D., Calderín-Ojeda, E. | On the rBell family of distributions with actuarial applications ASTIN Bulletin, https://dx.doi.org/10.1017/asb.2021.14 |
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Gomes, C., Jin, Z., Yang, H. | Insurance fraud detection with unsupervised deep learning JOURNAL OF RISK AND INSURANCE, https://dx.doi.org/10.1111/jori.12359 |
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Gomez-Deniz, E., Calderin-Ojeda, E. | Modeling the Conditional Dependence between Discrete and Continuous Random Variables with Applications in Insurance MATHEMATICS, Vol. 39, Issue 1, pp. 37-46 https://dx.doi.org/10.3390/math9010045 |
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Gomez-Deniz, E., Calderin-Ojeda, E. | A Priori Ratemaking Selection Using Multivariate Regression Models Allowing Different Coverages in Auto Insurance Risks, Vol. 16, Issue 2, pp. 531-551 https://dx.doi.org/10.3390/risks9070137 |
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Gomez-Deniz, E., Sarabia, JM., Calderin-Ojeda, E. | Bimodal normal distribution: Extensions and applications JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, https://dx.doi.org/10.1016/j.cam.2020.113292 |
| Jin, Z., Yang, H., Yin, G | A hybrid deep learning method for optimal insurance strategies: Algorithms and convergence analysis Insurance: Mathematics and Economics, Vol. 2, Issue 1, pp. 7-21 https://dx.doi.org/10.1016/j.insmatheco.2020.11.012 |
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Kyng, T., Pitt, D., Purcal, S., Zhang, J. | Financial metrics for comparing Australian retirement villages Accounting and Finance, Vol. 93, pp. 1-26 https://dx.doi.org/10.1111/acfi.12768 |
| Liu, G., Jin, Z., Li, S. | Household Lifetime Strategies under a Self-Contagious Market European Journal of Operational Research, Vol. 2020 https://dx.doi.org/10.1016/j.ejor.2020.05.060 |
| Liu, G., Jin, Z., Li, S. | Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market Insurance: Mathematics and Economics, Vol. 280, Issue 3, pp. 1130-1143 https://dx.doi.org/10.1016/j.insmatheco.2021.09.004 |
| Osatakul, D., Wu, X. | Discrete-Time Risk Models with Claim Correlated Premiums in a Markovian Environment RISKS, Vol. 16, Issue 2, pp. 813-834 https://dx.doi.org/10.3390/risks9010026 |
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Prieto, F., Sarabia, JM., Calderin-Ojeda, E. | The nonlinear distribution of employment across municipalities Journal of Economic Interaction and Coordination, Vol. 14, Issue 2, pp. 278-301 https://dx.doi.org/10.1007/s11403-020-00294-2 |
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Reyes, J., Gomez-Deniz, E., Gomez, HW., Calderin-Ojeda, E. | A Bimodal Extension of the Exponential Distribution with Applications in Risk Theory Symmetry, Vol. 50, Issue 2, pp. 381-417 https://dx.doi.org/10.3390/sym13040679 |
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Rivera, PA., Calderin-Ojeda, E., Gallardo, DI., Gomez, HW. | A Compound Class of the Inverse Gamma and Power Series Distributions Symmetry, Vol. 91, pp. 12-25 https://dx.doi.org/10.3390/sym13081328 |
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Wang, N., Jin, Z., Siu, TK., Qiu, M. | Household consumption-investment-insurance decisions with uncertain income and market ambiguity SCANDINAVIAN ACTUARIAL JOURNAL, https://dx.doi.org/10.1080/03461238.2021.1886981 |
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Wang, N., Zhang, N., Jin, Z., Qian, L. | Reinsurance-investment game between two mean-variance insurers under model uncertainty JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, Vol. 91, pp. 244-256 https://dx.doi.org/10.1016/j.cam.2020.113095 |
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Wang, N., Zhang, N., Jin, Z., Qian, L. | Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints Insurance: Mathematics and Economics, Vol. 50, Issue 2, pp. 449-477 https://dx.doi.org/10.1016/j.insmatheco.2020.11.004 |
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Wang, W., Wu, X., Chi, C. | Optimal implementation delay of taxation with trade-off for spectrally negative Levy risk processes European Actuarial Journal, Vol. 11, pp. 285-317 https://dx.doi.org/10.1007/s13385-020-00246-x |
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Zhang, J., Chen, P., Jin, Z., Li, S. | Open-loop equilibrium strategy for mean-variance portfolio selection: A log-return model Journal of Industrial and Management Optimization, https://dx.doi.org/10.3934/jimo.2019133 |
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Zhang, J., Chen, P., Jin, Z., Li, S. | On a class of non-zero-sum stochastic differential dividend games with regime switching APPLIED MATHEMATICS AND COMPUTATION, Vol. 90, pp. 35-45 https://dx.doi.org/10.1016/j.amc.2021.125956 |
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Zhang, N., Qian, L., Jin, Z., Wang, W. | OPTIMAL STOP-LOSS REINSURANCE WITH JOINT UTILITY CONSTRAINTS Journal of Industrial and Management Optimization, Vol. 2021, Issue 4, pp. 335-361 https://dx.doi.org/10.3934/jimo.2020001 |
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Zhong, W., Zhao, Y., Chen, P. | EQUILIBRIUM PERIODIC DIVIDEND STRATEGIES WITH NON-EXPONENTIAL DISCOUNTING FOR SPECTRALLY POSITIVE LEVY PROCESSES Journal of Industrial and Management Optimization, Vol. 91, pp. 12-25 https://dx.doi.org/10.3934/jimo.2020087 |
| Zhou, R., Ji, M. | Modelling Mortality Dependence: An Application of Dynamic Vine Copula Insurance: Mathematics and Economics, Vol. 380, pp. 112951-112951 https://dx.doi.org/10.1016/j.insmatheco.2021.03.022 |